/* nag_heston_price (s30nac) Example Program. * * Copyright 2009, Numerical Algorithms Group. * * Mark 9, 2009. */ #include #include #include #include #include #include int main(void) { /*Integer scalar and array declarations */ Integer exit_status = 0; Integer i, j, m, n; NagError fail; Nag_CallPut putnum; /*Double scalar and array declarations */ double corr, eta, gamma, kappa, q, r, s, sigmav, var0; double *p = 0, *t = 0, *x = 0; /*Character scalar and array declarations */ char put[8+1]; Nag_OrderType order; INIT_FAIL(fail); printf("nag_heston_price (s30nac) Example Program Results\n"); printf("Heston's Stochastic volatility Model\n\n"); /* Skip heading in data file*/ scanf("%*[^\n] "); /* Read put*/ scanf("%s%*[^\n] ", put); /* * nag_enum_name_to_value (x04nac). * Converts NAG enum member name to value */ putnum = (Nag_CallPut) nag_enum_name_to_value(put); /* Read s, r, q*/ scanf("%lf%lf%lf%*[^\n] ", &s, &r, &q); /* Read kappa,eta,var0,sigmav,corr,gamma*/ scanf("%lf%lf%lf%lf%lf%lf%*[^\n] ", &kappa, &eta, &var0, &sigmav, &corr, &gamma); /* Read m, n*/ scanf("%ld%ld%*[^\n] ", &m, &n); #ifdef NAG_COLUMN_MAJOR #define P(I, J) p[(J-1)*m + I-1] order = Nag_ColMajor; #else #define P(I, J) p[(I-1)*n + J-1] order = Nag_RowMajor; #endif if ( !(p = NAG_ALLOC(m*n, double)) || !(t = NAG_ALLOC(n, double)) || !(x = NAG_ALLOC(m, double))) { printf("Allocation failure\n"); exit_status = -1; goto END; } /* Read array of strike/exercise prices, X*/ for (i = 0; i < m; i++) scanf("%lf ", &x[i]); scanf("%*[^\n] "); for (i = 0; i < n; i++) scanf("%lf ", &t[i]); scanf("%*[^\n] "); /* * nag_heston_price (s30nac) * Heston's model option pricing formula */ nag_heston_price(order, putnum, m, n, x, s, t, sigmav, kappa, corr, var0, eta, gamma, r, q, p, &fail); if (fail.code != NE_NOERROR) { printf("Error from nag_heston_price (s30nac).\n%s\n", fail.message); exit_status = 1; goto END; } if (putnum == Nag_Call) { printf("%s\n\n", "European Call :"); } else if (putnum == Nag_Put) { printf("%s\n\n", "European Put :"); } printf("%s%8.4f\n", " Spot = ", s); printf("%s%8.4f\n", " Volatility of vol = ", sigmav); printf("%s%8.4f\n", " Mean reversion = ", kappa); printf("%s%8.4f\n", " Correlation = ", corr); printf("%s%8.4f\n", " Variance = ", var0); printf("%s%8.4f\n", " Mean of variance = ", eta); printf("%s%8.4f\n", " Risk aversion = ", gamma); printf("%s%8.4f\n", " Rate = ", r); printf("%s%8.4f\n", " Dividend = ", q); printf("\n"); printf("%s\n", " Strike Expiry Option Price"); for (i = 1; i <= m; i++) { for (j = 1; j <= n; j++) printf("%9.4f %9.4f %11.4f\n", x[i-1], t[j-1], P(i, j)); } END: if (p) NAG_FREE(p); if (t) NAG_FREE(t); if (x) NAG_FREE(x); return exit_status; }