Program s30nafe

!     S30NAF Example Program Text

!     Mark 27.1 Release. NAG Copyright 2020.

!     .. Use Statements ..
      Use nag_library, Only: nag_wp, s30naf
!     .. Implicit None Statement ..
      Implicit None
!     .. Parameters ..
      Integer, Parameter               :: nin = 5, nout = 6
!     .. Local Scalars ..
      Real (Kind=nag_wp)               :: corr, eta, grisk, kappa, q, r, s,    &
                                          sigmav, var0
      Integer                          :: i, ifail, j, ldp, m, n
      Character (1)                    :: calput
!     .. Local Arrays ..
      Real (Kind=nag_wp), Allocatable  :: p(:,:), t(:), x(:)
!     .. Executable Statements ..
      Write (nout,*) 'S30NAF Example Program Results'

!     Skip heading in data file
      Read (nin,*)

      Read (nin,*) calput
      Read (nin,*) s, r, q
      Read (nin,*) kappa, eta, var0, sigmav, corr, grisk
      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 s30naf(calput,m,n,x,s,t,sigmav,kappa,corr,var0,eta,grisk,r,q,p,ldp, &
        ifail)

      Write (nout,*)
      Write (nout,*) 'Heston''s Stochastic volatility Model'

      Select Case (calput)
      Case ('C','c')
        Write (nout,*) 'European Call :'
      Case ('P','p')
        Write (nout,*) 'European Put :'
      End Select

      Write (nout,99998) '  Spot                   = ', s
      Write (nout,99998) '  Volatility of vol      = ', sigmav
      Write (nout,99998) '  Mean reversion         = ', kappa
      Write (nout,99998) '  Correlation            = ', corr
      Write (nout,99998) '  Variance               = ', var0
      Write (nout,99998) '  Mean of variance       = ', eta
      Write (nout,99998) '  Risk aversion          = ', grisk
      Write (nout,99998) '  Rate                   = ', r
      Write (nout,99998) '  Dividend               = ', q

      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 s30nafe