/* nag_pde_bs_1d_means (d03nec) Example Program. * * Copyright 2001 Numerical Algorithms Group. * * Mark 7, 2001. */ #include #include #include #include #include #include #define F(I, J) f[ns*((J) -1)+(I) -1] #define THETA(I, J) theta[ns*((J) -1)+(I) -1] #define DELTA(I, J) delta[ns*((J) -1)+(I) -1] #define GAMMA(I, J) gamma[ns*((J) -1)+(I) -1] #define LAMBDA(I, J) lambda[ns*((J) -1)+(I) -1] #define RHO(I, J) rho[ns*((J) -1)+(I) -1] int main(void) { double ds, dt, tmat, x; Integer i, igreek, j, ns, nt, ntd, exit_status = 0; double *delta = 0, *f = 0, *gamma = 0, *lambda = 0, q[3], ra[3], *rho = 0, *s = 0; double siga[3], *t = 0, *theta = 0, *td = 0, *rd = 0, *sigd = 0, smin, smax, tmin, tmax; Nag_Boolean gprnt[5] = { Nag_TRUE, Nag_TRUE, Nag_TRUE, Nag_TRUE, Nag_TRUE }; Nag_Boolean tdpar[3]; const char *gname[5] = { "Theta", "Delta", "Gamma", "Lambda", "Rho" }; NagError fail; INIT_FAIL(fail); printf("nag_pde_bs_1d_means (d03nec) Example Program Results\n\n"); /* Skip heading in data file */ scanf("%*[^\n] "); /* Read problem parameters */ scanf("%lf", &x); scanf("%lf", &tmat); scanf("%ld%ld", &ns, &nt); scanf("%lf%lf", &smin, &smax); scanf("%lf%lf", &tmin, &tmax); scanf("%ld", &ntd); /* Allocate memory */ if (!(s = NAG_ALLOC(ns, double)) || !(t = NAG_ALLOC(nt, double)) || !(f = NAG_ALLOC(ns*nt, double)) || !(theta = NAG_ALLOC(ns*nt, double)) || !(delta = NAG_ALLOC(ns*nt, double)) || !(gamma = NAG_ALLOC(ns*nt, double)) || !(lambda = NAG_ALLOC(ns*nt, double)) || !(rho = NAG_ALLOC(ns*nt, double)) || !(td = NAG_ALLOC(ntd, double)) || !(rd = NAG_ALLOC(ntd, double)) || !(sigd = NAG_ALLOC(ntd, double))) { printf("Allocation failure\n"); exit_status = 1; goto END; } /* Read discrete times and data values for r and sigma */ for (i = 0; i < ntd; i++) scanf("%lf", &td[i]); for (i = 0; i < ntd; i++) scanf("%lf", &rd[i]); for (i = 0; i < ntd; i++) scanf("%lf", &sigd[i]); /* Set up input parameters for nag_pde_bs_1d_analytic (d03ndc) */ s[0] = smin; s[ns-1] = smax; t[0] = tmin; t[nt-1] = tmax; tdpar[0] = Nag_TRUE; tdpar[1] = Nag_FALSE; tdpar[2] = Nag_TRUE; q[0] = 0.0; ds = (s[ns-1]-s[0])/(ns-1.0); dt = (t[nt-1]-t[0])/(nt-1.0); /* Loop over times */ for (j = 1; j <= nt; j++) { t[j-1] = t[0] + (j-1)*dt; /* Find average values of r and sigma */ /* nag_pde_bs_1d_means (d03nec). * Compute average values for nag_pde_bs_1d_analytic * (d03ndc) */ nag_pde_bs_1d_means(t[j-1], tmat, ntd, td, rd, ra, &fail); if (fail.code != NE_NOERROR) { printf("Error from nag_pde_bs_1d_means (d03nec).\n%s\n", fail.message); exit_status = 1; goto END; } /* nag_pde_bs_1d_means (d03nec), see above. */ nag_pde_bs_1d_means(t[j-1], tmat, ntd, td, sigd, siga, &fail); if (fail.code != NE_NOERROR) { printf("Error from nag_pde_bs_1d_means (d03nec).\n%s\n", fail.message); exit_status = 1; goto END; } /* Loop over stock prices */ for (i = 1; i <= ns; i++) { s[i-1] = s[0] + (i-1)*ds; /* Evaluate analytic solution of Black-Scholes equation */ /* nag_pde_bs_1d_analytic (d03ndc). * Analytic solution of the Black-Scholes equations */ nag_pde_bs_1d_analytic(Nag_AmericanCall, x, s[i-1], t[j-1], tmat, tdpar, ra, q, siga, &F(i, j), &THETA(i, j), &DELTA(i, j), &GAMMA(i, j), &LAMBDA(i, j), &RHO(i, j), &fail); if (fail.code != NE_NOERROR) { printf( "Error from nag_pde_bs_1d_analytic (d03ndc).\n%s\n", fail.message); exit_status = 1; goto END; } } } /* Output option values */ printf("\n"); printf("Option Values\n"); printf("-------------\n"); printf("%14s | %s\n", "Stock Price", "Time to Maturity (months)"); printf("%14s | ", ""); for (i = 0; i < nt; i++) printf(" %13.4e", 12.0*(tmat-t[i])); printf("\n"); for (i = 0; i < 74; i++) printf("-"); printf("\n"); for (i = 1; i <= ns; i++) { printf(" %13.4e | ", s[i-1]); for (j = 1; j <= nt; j++) printf(" %13.4e", F(i, j)); printf("\n"); } for (igreek = 0; igreek < 5; igreek++) { if (!gprnt[igreek]) continue; printf("\n"); printf("%s\n", gname[igreek]); for (i = 0; i < (Integer) strlen(gname[igreek]); i++) printf("-"); printf("\n"); printf("%14s | %s\n", "Stock Price", "Time to Maturity (months)"); printf("%14s | ", ""); for (i = 0; i < nt; i++) printf(" %13.4e", 12.0*(tmat-t[i])); printf("\n"); for (i = 0; i < 74; i++) printf("-"); printf("\n"); for (i = 1; i <= ns; i++) { printf(" %13.4e | ", s[i-1]); switch (igreek) { case 0: for (j = 1; j <= nt; j++) printf(" %13.4e", THETA(i, j)); break; case 1: for (j = 1; j <= nt; j++) printf(" %13.4e", DELTA(i, j)); break; case 2: for (j = 1; j <= nt; j++) printf(" %13.4e", GAMMA(i, j)); break; case 3: for (j = 1; j <= nt; j++) printf(" %13.4e", LAMBDA(i, j)); break; case 4: for (j = 1; j <= nt; j++) printf(" %13.4e", RHO(i, j)); break; default: break; } printf("\n"); } } END: NAG_FREE(s); NAG_FREE(t); NAG_FREE(f); NAG_FREE(theta); NAG_FREE(delta); NAG_FREE(gamma); NAG_FREE(lambda); NAG_FREE(rho); NAG_FREE(td); NAG_FREE(rd); NAG_FREE(sigd); return exit_status; }