Program s30bbfe ! S30BBF Example Program Text ! Mark 24 Release. NAG Copyright 2012. ! .. Use Statements .. Use nag_library, Only: nag_wp, s30bbf ! .. Implicit None Statement .. Implicit None ! .. Parameters .. Integer, Parameter :: nin = 5, nout = 6 ! .. Local Scalars .. Real (Kind=nag_wp) :: q, r, s, sigma Integer :: i, ifail, j, ldp, m, n Character (1) :: calput ! .. Local Arrays .. Real (Kind=nag_wp), Allocatable :: charm(:,:), colour(:,:), crho(:,:), & delta(:,:), gamma(:,:), p(:,:), & rho(:,:), sm(:), speed(:,:), t(:), & theta(:,:), vanna(:,:), vega(:,:), & vomma(:,:), zomma(:,:) ! .. Executable Statements .. Write (nout,*) 'S30BBF Example Program Results' ! Skip heading in data file Read (nin,*) Read (nin,*) calput Read (nin,*) s, sigma, r, q Read (nin,*) m, n ldp = m Allocate (charm(ldp,n),colour(ldp,n),crho(ldp,n),delta(ldp,n), & gamma(ldp,n),p(ldp,n),rho(ldp,n),sm(m),speed(ldp,n),t(n),theta(ldp,n), & vanna(ldp,n),vega(ldp,n),vomma(ldp,n),zomma(ldp,n)) Read (nin,*)(sm(i),i=1,m) Read (nin,*)(t(i),i=1,n) ifail = 0 Call s30bbf(calput,m,n,sm,s,t,sigma,r,q,p,ldp,delta,gamma,vega,theta, & rho,crho,vanna,charm,speed,colour,zomma,vomma,ifail) Write (nout,*) Write (nout,*) 'Floating-Strike Lookback' Select Case (calput) Case ('C','c') Write (nout,*) 'European Call :' Case ('P','p') Write (nout,*) 'European Put :' End Select Write (nout,99997) ' Spot = ', s Write (nout,99997) ' Volatility = ', sigma Write (nout,99997) ' Rate = ', r Write (nout,99997) ' Dividend = ', q Write (nout,*) Do j = 1, n Write (nout,*) Write (nout,99999) t(j) Write (nout,*) 'S-Max/Min Price Delta Gamma' // & ' Vega Theta Rho CRho' Do i = 1, m Write (nout,99998) sm(i), p(i,j), delta(i,j), gamma(i,j), vega(i,j), & theta(i,j), rho(i,j), crho(i,j) End Do Write (nout,*) 'S-Max/Min Price Vanna Charm' // & ' Speed Colour Zomma Vomma' Do i = 1, m Write (nout,99998) sm(i), p(i,j), vanna(i,j), charm(i,j), & speed(i,j), colour(i,j), zomma(i,j), vomma(i,j) End Do End Do 99999 Format (1X,'Time to Expiry : ',1X,F8.4) 99998 Format (8(1X,F9.4)) 99997 Format (A,1X,F8.4) End Program s30bbfe