/* nag_heston_price (s30nac) Example Program.
 *
 * Copyright 2017 Numerical Algorithms Group.
 *
 * Mark 26.2, 2017.
 */
#include <stdio.h>
#include <math.h>
#include <string.h>
#include <nag.h>
#include <nag_stdlib.h>
#include <nags.h>

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("%8s%*[^\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("%" NAG_IFMT "%" NAG_IFMT "%*[^\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:
  NAG_FREE(p);
  NAG_FREE(t);
  NAG_FREE(x);

  return exit_status;
}