/* nag_bsm_greeks (s30abc) Example Program.
 *
 * Copyright 2014 Numerical Algorithms Group.
 *
 * Mark 9, 2009.
 */
#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        q, r, s, sigma;
  double        *charm = 0, *colour = 0, *crho = 0, *delta = 0, *gamma = 0;
  double        *p = 0, *rho = 0, *speed = 0, *t = 0, *theta = 0, *vanna = 0;
  double        *vega = 0, *vomma = 0, *x = 0, *zomma = 0;
  /* Character scalar and array declarations */
  char          put[8+1];
  Nag_OrderType order;

  INIT_FAIL(fail);

  printf("nag_bsm_greeks (s30abc) Example Program Results\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 sigma, r */
  scanf("%lf%lf%lf%lf%*[^\n] ", &s, &sigma, &r, &q);
  /* Read m, n */
  scanf("%ld%ld%*[^\n] ", &m, &n);
    #ifdef NAG_COLUMN_MAJOR
    #define CHARM(I, J)  charm[(J-1)*m + I-1]
    #define COLOUR(I, J) colour[(J-1)*m + I-1]
    #define CRHO(I, J)   crho[(J-1)*m + I-1]
    #define DELTA(I, J)  delta[(J-1)*m + I-1]
    #define GAMMA(I, J)  gamma[(J-1)*m + I-1]
    #define P(I, J)      p[(J-1)*m + I-1]
    #define RHO(I, J)    rho[(J-1)*m + I-1]
    #define SPEED(I, J)  speed[(J-1)*m + I-1]
    #define THETA(I, J)  theta[(J-1)*m + I-1]
    #define VANNA(I, J)  vanna[(J-1)*m + I-1]
    #define VEGA(I, J)   vega[(J-1)*m + I-1]
    #define VOMMA(I, J)  vomma[(J-1)*m + I-1]
    #define ZOMMA(I, J)  zomma[(J-1)*m + I-1]
  order = Nag_ColMajor;
    #else
    #define CHARM(I, J)  charm[(I-1)*n + J-1]
    #define COLOUR(I, J) colour[(I-1)*n + J-1]
    #define CRHO(I, J)   crho[(I-1)*n + J-1]
    #define DELTA(I, J)  delta[(I-1)*n + J-1]
    #define GAMMA(I, J)  gamma[(I-1)*n + J-1]
    #define P(I, J)      p[(I-1)*n + J-1]
    #define RHO(I, J)    rho[(I-1)*n + J-1]
    #define SPEED(I, J)  speed[(I-1)*n + J-1]
    #define THETA(I, J)  theta[(I-1)*n + J-1]
    #define VANNA(I, J)  vanna[(I-1)*n + J-1]
    #define VEGA(I, J)   vega[(I-1)*n + J-1]
    #define VOMMA(I, J)  vomma[(I-1)*n + J-1]
    #define ZOMMA(I, J)  zomma[(I-1)*n + J-1]
  order = Nag_RowMajor;
    #endif
  if (!(charm = NAG_ALLOC(m*n, double)) ||
      !(colour = NAG_ALLOC(m*n, double)) ||
      !(crho = NAG_ALLOC(m*n, double)) ||
      !(delta = NAG_ALLOC(m*n, double)) ||
      !(gamma = NAG_ALLOC(m*n, double)) ||
      !(p = NAG_ALLOC(m*n, double)) ||
      !(rho = NAG_ALLOC(m*n, double)) ||
      !(speed = NAG_ALLOC(m*n, double)) ||
      !(t = NAG_ALLOC(n, double)) ||
      !(theta = NAG_ALLOC(m*n, double)) ||
      !(vanna = NAG_ALLOC(m*n, double)) ||
      !(vega = NAG_ALLOC(m*n, double)) ||
      !(vomma = NAG_ALLOC(m*n, double)) ||
      !(x = NAG_ALLOC(m, double)) ||
      !(zomma = NAG_ALLOC(m*n, 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] ");
  /* Read array of times to expiry */
  for (i = 0; i < n; i++)
    scanf("%lf ", &t[i]);
  scanf("%*[^\n] ");
  /*
   * nag_bsm_greeks (s30abc)
   * Black-Scholes-Merton option pricing formula with Greeks
   */
  nag_bsm_greeks(order, putnum, m, n, x, s, t, sigma, r, q, p,
                 delta, gamma, vega, theta, rho, crho, vanna, charm,
                 speed, colour, zomma, vomma, &fail);
  if (fail.code != NE_NOERROR)
    {
      printf("Error from nag_bsm_greeks (s30abc).\n%s\n", fail.message);
      exit_status = 1;
      goto END;
    }
  if (putnum == Nag_Call)
    printf("European Call :\n\n");
  else if (putnum == Nag_Put)
    printf("European Put :\n\n");
  printf("%s%8.4f\n", "  Spot       = ", s);
  printf("%s%8.4f\n", "  Volatility = ", sigma);
  printf("%s%8.4f\n", "  Rate       = ", r);
  printf("%s%8.4f\n", "  Dividend   = ", q);
  printf("\n");
  for (j = 1; j <= n; j++)
    {
      printf("  Time to Expiry :    %8.4f\n", t[j-1]);
      printf("  Strike    Price    Delta    Gamma     Vega    "
              "Theta      Rho     CRho\n");
      for (i = 1; i <= m; i++)
        printf("%8.4f %8.4f %8.4f %8.4f %8.4f %8.4f %8.4f %8.4f\n",
                x[i-1], P(i, j), DELTA(i, j), GAMMA(i, j), VEGA(i, j),
                THETA(i, j), RHO(i, j), CRHO(i, j));
      printf("                     Vanna    Charm    Speed   "
              "Colour    Zomma    Vomma\n");
      for (i = 1; i <= m; i++)
        printf("%26.4f %8.4f %8.4f %8.4f %8.4f %8.4f\n",
                VANNA(i, j), CHARM(i, j), SPEED(i, j),
                COLOUR(i, j), ZOMMA(i, j), VOMMA(i, j));
    }

 END:
  NAG_FREE(charm);
  NAG_FREE(colour);
  NAG_FREE(crho);
  NAG_FREE(delta);
  NAG_FREE(gamma);
  NAG_FREE(p);
  NAG_FREE(rho);
  NAG_FREE(speed);
  NAG_FREE(t);
  NAG_FREE(theta);
  NAG_FREE(vanna);
  NAG_FREE(vega);
  NAG_FREE(vomma);
  NAG_FREE(x);
  NAG_FREE(zomma);

  return exit_status;
}