```/* nag_specfun_opt_jumpdiff_merton_greeks (s30jbc) Example Program.
*
* Copyright 2019 Numerical Algorithms Group.
*
* Mark 27.0, 2019.
*/
#include <stdio.h>
#include <string.h>
#include <nag.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_specfun_opt_jumpdiff_merton_greeks (s30jbc) Example Program Results\n");
printf("Merton Jump-Diffusion Model\n\n");
/* Skip heading in data file */
scanf("%*[^\n] ");
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);
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_specfun_opt_jumpdiff_merton_greeks (s30jbc)
* Jump-diffusion, Merton's model, option pricing formula with Greeks
*/
nag_specfun_opt_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_specfun_opt_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;
}
```