NAG Library Manual, Mark 27.2
Interfaces:  FL   CL   CPP   AD
```/* nag_specfun_opt_binary_aon_greeks (s30cdc) Example Program.
*
* Copyright 2021 Numerical Algorithms Group.
*
* Mark 27.2, 2021.
*/
#include <math.h>
#include <nag.h>
#include <stdio.h>
#include <string.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, *delta = 0, *gamma = 0, *p = 0;
double *rho = 0, *rhoq = 0, *speed = 0, *t = 0, *theta = 0;
double *vanna = 0, *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_specfun_opt_binary_aon_greeks (s30cdc) Example Program Results\n");
printf("Binary (Digital): Asset-or-Nothing\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, sigma, r, q */
scanf("%lf%lf%lf%lf%*[^\n] ", &s, &sigma, &r, &q);
/* 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 RHOQ(I, J) rhoq[(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 RHOQ(I, J) rhoq[(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)) || !(rhoq = 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_specfun_opt_binary_aon_greeks (s30cdc)
* Binary option: asset-or-nothing pricing formula with Greeks
*/
nag_specfun_opt_binary_aon_greeks(
order, putnum, m, n, x, s, t, sigma, r, q, p, delta, gamma, vega, theta,
rho, rhoq, vanna, charm, speed, colour, zomma, vomma, &fail);
if (fail.code != NE_NOERROR) {
printf("Error from nag_specfun_opt_binary_aon_greeks (s30cdc).\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("\n");
printf("  Time to Expiry :    %8.4f\n", t[j - 1]);
printf("   Strike     Price     Delta     Gamma      Vega"
"     Theta       Rho      Rhoq\n");
for (i = 1; i <= m; i++)
printf("%9.4f %9.4f %9.4f %9.4f %9.4f %9.4f %9.4f %9.4f\n", x[i - 1],
P(i, j), DELTA(i, j), GAMMA(i, j), VEGA(i, j), THETA(i, j),
RHO(i, j), RHOQ(i, j));
printf("                        Vanna     Charm     Speed"
"    Colour     Zomma     Vomma\n");
for (i = 1; i <= m; i++)
printf("%29.4f %9.4f %9.4f %9.4f %9.4f %9.4f\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(rhoq);
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;
}
```