Program s30safe ! S30SAF Example Program Text ! Mark 24 Release. NAG Copyright 2012. ! .. Use Statements .. Use nag_library, Only: nag_wp, s30saf ! .. Implicit None Statement .. Implicit None ! .. Parameters .. Integer, Parameter :: nin = 5, nout = 6 ! .. Local Scalars .. Real (Kind=nag_wp) :: b, r, s, sigma Integer :: i, ifail, j, ldp, m, n Character (1) :: calput ! .. Local Arrays .. Real (Kind=nag_wp), Allocatable :: p(:,:), t(:), x(:) ! .. Executable Statements .. Write (nout,*) 'S30SAF Example Program Results' ! Skip heading in data file Read (nin,*) Read (nin,*) calput Read (nin,*) s, sigma, r, b Read (nin,*) m, n ldp = m Allocate (p(ldp,n),t(n),x(m)) Read (nin,*)(x(i),i=1,m) Read (nin,*)(t(i),i=1,n) ifail = 0 Call s30saf(calput,m,n,x,s,t,sigma,r,b,p,ldp,ifail) Write (nout,*) Write (nout,*) 'Asian Option: Geometric Continuous Average-Rate' Select Case (calput) Case ('C','c') Write (nout,*) 'Asian Call :' Case ('P','p') Write (nout,*) 'Asian Put :' End Select Write (nout,99998) ' Spot = ', s Write (nout,99998) ' Volatility = ', sigma Write (nout,99998) ' Rate = ', r Write (nout,99998) ' Cost of carry = ', b Write (nout,*) Write (nout,*) ' Strike Expiry Option Price' Do i = 1, m Do j = 1, n Write (nout,99999) x(i), t(j), p(i,j) End Do End Do 99999 Format (1X,2(F9.4,1X),6X,F9.4) 99998 Format (A,1X,F8.4) End Program s30safe