/* nag_jumpdiff_merton_greeks (s30jbc) Example Program.
 *
 * NAGPRODCODE Version.
 *
 * Copyright 2016 Numerical Algorithms Group.
 *
 * Mark 26, 2016.
 */
#include <stdio.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 jvol, lambda, r, s, sigma;
  double *charm = 0, *colour = 0, *delta = 0, *gamma = 0, *p = 0;
  double *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_jumpdiff_merton_greeks (s30jbc) Example Program Results\n");
  printf("Merton Jump-Diffusion 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 lambda, sigma, r, jvol */
  scanf("%lf%lf%lf%lf%lf%*[^\n] ", &lambda, &s, &sigma, &r, &jvol);
  /* Read m, n */
  scanf("%" NAG_IFMT "%" NAG_IFMT "%*[^\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 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 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)) ||
      !(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_jumpdiff_merton_greeks (s30jbc)
   * Jump-diffusion, Merton's model, option pricing formula with Greeks
   */
  nag_jumpdiff_merton_greeks(order, putnum, m, n, x, s, t, sigma, r,
                             lambda, jvol, p, delta, gamma, vega,
                             theta, rho, vanna, charm, speed, colour,
                             zomma, vomma, &fail);
  if (fail.code != NE_NOERROR) {
    printf("Error from nag_jumpdiff_merton_greeks (s30jbc).\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("  Spot       = %8.4f\n", s);
  printf("  Volatility = %8.4f\n", sigma);
  printf("  Rate       = %8.4f\n", r);
  printf("  Jumps      = %8.4f\n", lambda);
  printf("  Jump vol   = %8.4f\n", jvol);
  printf("\n");
  for (j = 1; j <= n; j++) {
    printf("\n  Time to Expiry :    %8.4f\n", t[j - 1]);
    printf("  Strike    Price    Delta    Gamma     Vega    "
           "Theta     Rho\n");
    for (i = 1; i <= m; i++)
      printf("%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));
    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(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;
}