NAG Library Manual, Mark 28.3
Interfaces:  FL   CL   CPP   AD 

NAG FL Interface Introduction
Example description

 D03NEF Example Program Results


 Option Values
 -------------
   Stock Price  |   Time to Maturity (months)
                |   5.0000E+00  4.5000E+00  4.0000E+00  3.5000E+00
  -----------------------------------------------------------------
   0.0000E+00   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   5.0000E+00   |   3.3671E-13  7.7404E-14  7.3210E-15  2.0179E-16
   1.0000E+01   |   5.2088E-07  2.4281E-07  7.2216E-08  1.1540E-08
   1.5000E+01   |   2.6607E-04  1.6753E-04  8.0943E-05  2.7179E-05
   2.0000E+01   |   8.9697E-03  6.6505E-03  4.1780E-03  2.0942E-03
   2.5000E+01   |   8.3647E-02  6.8467E-02  5.0375E-02  3.2105E-02
   3.0000E+01   |   3.8221E-01  3.3331E-01  2.7117E-01  2.0119E-01
   3.5000E+01   |   1.1298E+00  1.0275E+00  8.9292E-01  7.3146E-01
   4.0000E+01   |   2.5164E+00  2.3541E+00  2.1380E+00  1.8699E+00
   4.5000E+01   |   4.6249E+00  4.4110E+00  4.1267E+00  3.7700E+00
   5.0000E+01   |   7.4287E+00  7.1797E+00  6.8531E+00  6.4449E+00
   5.5000E+01   |   1.0830E+01  1.0564E+01  1.0221E+01  9.7996E+00
   6.0000E+01   |   1.4707E+01  1.4436E+01  1.4097E+01  1.3689E+01
   6.5000E+01   |   1.8937E+01  1.8671E+01  1.8348E+01  1.7968E+01
   7.0000E+01   |   2.3421E+01  2.3164E+01  2.2860E+01  2.2514E+01
   7.5000E+01   |   2.8080E+01  2.7833E+01  2.7550E+01  2.7234E+01
   8.0000E+01   |   3.2857E+01  3.2620E+01  3.2354E+01  3.2064E+01
   8.5000E+01   |   3.7713E+01  3.7484E+01  3.7233E+01  3.6963E+01
   9.0000E+01   |   4.2620E+01  4.2398E+01  4.2158E+01  4.1904E+01
   9.5000E+01   |   4.7561E+01  4.7344E+01  4.7112E+01  4.6868E+01
   1.0000E+02   |   5.2523E+01  5.2310E+01  5.2084E+01  5.1848E+01

 Theta
 -----
   Stock Price  |   Time to Maturity (months)
                |   5.0000E+00  4.5000E+00  4.0000E+00  3.5000E+00
  -----------------------------------------------------------------
   0.0000E+00   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   5.0000E+00   |  -8.9082E-12 -3.4507E-12 -5.0884E-13 -2.1236E-14
   1.0000E+01   |  -7.2097E-06 -5.5915E-06 -2.5721E-06 -6.1830E-07
   1.5000E+01   |  -2.2499E-03 -2.3259E-03 -1.7227E-03 -8.6349E-04
   2.0000E+01   |  -4.9483E-02 -5.9355E-02 -5.6562E-02 -4.1921E-02
   2.5000E+01   |  -3.1200E-01 -4.0620E-01 -4.4765E-01 -4.1683E-01
   3.0000E+01   |  -9.8578E-01 -1.3408E+00 -1.6092E+00 -1.7186E+00
   3.5000E+01   |  -2.0479E+00 -2.8395E+00 -3.5745E+00 -4.1390E+00
   4.0000E+01   |  -3.2501E+00 -4.5165E+00 -5.8147E+00 -7.0323E+00
   4.5000E+01   |  -4.3144E+00 -5.9349E+00 -7.6762E+00 -9.4488E+00
   5.0000E+01   |  -5.0802E+00 -6.8543E+00 -8.7919E+00 -1.0815E+01
   5.5000E+01   |  -5.5225E+00 -7.2603E+00 -9.1500E+00 -1.1104E+01
   6.0000E+01   |  -5.7006E+00 -7.2722E+00 -8.9491E+00 -1.0625E+01
   6.5000E+01   |  -5.7014E+00 -7.0446E+00 -8.4366E+00 -9.7565E+00
   7.0000E+01   |  -5.6037E+00 -6.7093E+00 -7.8142E+00 -8.7951E+00
   7.5000E+01   |  -5.4653E+00 -6.3555E+00 -7.2107E+00 -7.9170E+00
   8.0000E+01   |  -5.3218E+00 -6.0329E+00 -6.6903E+00 -7.1974E+00
   8.5000E+01   |  -5.1920E+00 -5.7627E+00 -6.2736E+00 -6.6481E+00
   9.0000E+01   |  -5.0833E+00 -5.5487E+00 -5.9563E+00 -6.2492E+00
   9.5000E+01   |  -4.9969E+00 -5.3857E+00 -5.7234E+00 -5.9700E+00
   1.0000E+02   |  -4.9306E+00 -5.2651E+00 -5.5570E+00 -5.7797E+00

 Delta
 -----
   Stock Price  |   Time to Maturity (months)
                |   5.0000E+00  4.5000E+00  4.0000E+00  3.5000E+00
  -----------------------------------------------------------------
   0.0000E+00   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   5.0000E+00   |   1.6086E-12  3.8832E-13  3.9572E-14  1.2111E-15
   1.0000E+01   |   8.9933E-07  4.3972E-07  1.4063E-07  2.4884E-08
   1.5000E+01   |   2.3975E-04  1.5810E-04  8.1943E-05  3.0366E-05
   2.0000E+01   |   4.9150E-03  3.8095E-03  2.5596E-03  1.4100E-03
   2.5000E+01   |   3.0345E-02  2.5906E-02  2.0311E-02  1.4153E-02
   3.0000E+01   |   9.6991E-02  8.7980E-02  7.5946E-02  6.1231E-02
   3.5000E+01   |   2.0863E-01  1.9675E-01  1.8053E-01  1.5957E-01
   4.0000E+01   |   3.4875E-01  3.3719E-01  3.2158E-01  3.0109E-01
   4.5000E+01   |   4.9361E-01  4.8480E-01  4.7356E-01  4.5924E-01
   5.0000E+01   |   6.2450E-01  6.1931E-01  6.1363E-01  6.0735E-01
   5.5000E+01   |   7.3200E-01  7.3000E-01  7.2907E-01  7.2954E-01
   6.0000E+01   |   8.1439E-01  8.1462E-01  8.1681E-01  8.2145E-01
   6.5000E+01   |   8.7440E-01  8.7589E-01  8.7961E-01  8.8602E-01
   7.0000E+01   |   9.1650E-01  9.1850E-01  9.2260E-01  9.2911E-01
   7.5000E+01   |   9.4522E-01  9.4726E-01  9.5107E-01  9.5679E-01
   8.0000E+01   |   9.6441E-01  9.6624E-01  9.6946E-01  9.7406E-01
   8.5000E+01   |   9.7704E-01  9.7856E-01  9.8111E-01  9.8461E-01
   9.0000E+01   |   9.8526E-01  9.8646E-01  9.8839E-01  9.9094E-01
   9.5000E+01   |   9.9057E-01  9.9148E-01  9.9290E-01  9.9470E-01
   1.0000E+02   |   9.9397E-01  9.9464E-01  9.9567E-01  9.9691E-01

 Gamma
 -----
   Stock Price  |   Time to Maturity (months)
                |   5.0000E+00  4.5000E+00  4.0000E+00  3.5000E+00
  -----------------------------------------------------------------
   0.0000E+00   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   5.0000E+00   |   7.2334E-12  1.8390E-12  2.0276E-13  6.9267E-15
   1.0000E+01   |   1.4139E-06  7.2829E-07  2.5205E-07  4.9786E-08
   1.5000E+01   |   1.8932E-04  1.3153E-04  7.3756E-05  3.0494E-05
   2.0000E+01   |   2.2528E-03  1.8392E-03  1.3360E-03  8.2017E-04
   2.5000E+01   |   8.6933E-03  7.8126E-03  6.6135E-03  5.1251E-03
   3.0000E+01   |   1.8099E-02  1.7264E-02  1.6056E-02  1.4350E-02
   3.5000E+01   |   2.5953E-02  2.5691E-02  2.5315E-02  2.4683E-02
   4.0000E+01   |   2.9260E-02  2.9618E-02  3.0194E-02  3.0968E-02
   4.5000E+01   |   2.8046E-02  2.8736E-02  2.9814E-02  3.1368E-02
   5.0000E+01   |   2.4005E-02  2.4715E-02  2.5793E-02  2.7346E-02
   5.5000E+01   |   1.8950E-02  1.9500E-02  2.0296E-02  2.1401E-02
   6.0000E+01   |   1.4105E-02  1.4449E-02  1.4903E-02  1.5476E-02
   6.5000E+01   |   1.0054E-02  1.0221E-02  1.0396E-02  1.0555E-02
   7.0000E+01   |   6.9401E-03  6.9861E-03  6.9806E-03  6.8890E-03
   7.5000E+01   |   4.6779E-03  4.6538E-03  4.5552E-03  4.3505E-03
   8.0000E+01   |   3.0978E-03  3.0414E-03  2.9096E-03  2.6800E-03
   8.5000E+01   |   2.0250E-03  1.9598E-03  1.8291E-03  1.6205E-03
   9.0000E+01   |   1.3114E-03  1.2499E-03  1.1365E-03  9.6637E-04
   9.5000E+01   |   8.4362E-04  7.9138E-04  7.0024E-04  5.7052E-04
   1.0000E+02   |   5.4033E-04  4.9856E-04  4.2893E-04  3.3442E-04

 Lambda
 ------
   Stock Price  |   Time to Maturity (months)
                |   5.0000E+00  4.5000E+00  4.0000E+00  3.5000E+00
  -----------------------------------------------------------------
   0.0000E+00   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   5.0000E+00   |   3.6558E-11  8.6441E-12  8.6672E-13  2.6259E-14
   1.0000E+01   |   2.8583E-05  1.3693E-05  4.3098E-06  7.5495E-07
   1.5000E+01   |   8.6115E-03  5.5645E-03  2.8375E-03  1.0404E-03
   2.0000E+01   |   1.8217E-01  1.3832E-01  9.1376E-02  4.9748E-02
   2.5000E+01   |   1.0984E+00  9.1808E-01  7.0676E-01  4.8574E-01
   3.0000E+01   |   3.2931E+00  2.9214E+00  2.4708E+00  1.9584E+00
   3.5000E+01   |   6.4272E+00  5.9173E+00  5.3025E+00  4.5851E+00
   4.0000E+01   |   9.4643E+00  8.9101E+00  8.2604E+00  7.5135E+00
   4.5000E+01   |   1.1481E+01  1.0941E+01  1.0323E+01  9.6323E+00
   5.0000E+01   |   1.2132E+01  1.1617E+01  1.1026E+01  1.0367E+01
   5.5000E+01   |   1.1588E+01  1.1091E+01  1.0498E+01  9.8169E+00
   6.0000E+01   |   1.0265E+01  9.7801E+00  9.1734E+00  8.4486E+00
   6.5000E+01   |   8.5872E+00  8.1198E+00  7.5104E+00  6.7621E+00
   7.0000E+01   |   6.8747E+00  6.4363E+00  5.8487E+00  5.1188E+00
   7.5000E+01   |   5.3194E+00  4.9219E+00  4.3812E+00  3.7109E+00
   8.0000E+01   |   4.0081E+00  3.6599E+00  3.1840E+00  2.6009E+00
   8.5000E+01   |   2.9578E+00  2.6623E+00  2.2597E+00  1.7754E+00
   9.0000E+01   |   2.1474E+00  1.9036E+00  1.5741E+00  1.1870E+00
   9.5000E+01   |   1.5392E+00  1.3429E+00  1.0806E+00  7.8078E-01
   1.0000E+02   |   1.0923E+00  9.3740E-01  7.3341E-01  5.0711E-01

 Rho
 ---
   Stock Price  |   Time to Maturity (months)
                |   5.0000E+00  4.5000E+00  4.0000E+00  3.5000E+00
  -----------------------------------------------------------------
   0.0000E+00   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   5.0000E+00   |   3.2110E-12  6.9908E-13  6.3513E-14  1.7073E-15
   1.0000E+01   |   3.5302E-06  1.5579E-06  4.4470E-07  6.9214E-08
   1.5000E+01   |   1.3876E-03  8.2648E-04  3.8273E-04  1.2492E-04
   2.0000E+01   |   3.7221E-02  2.6077E-02  1.5671E-02  7.6142E-03
   2.5000E+01   |   2.8124E-01  2.1719E-01  1.5247E-01  9.3836E-02
   3.0000E+01   |   1.0531E+00  8.6478E-01  6.6907E-01  4.7709E-01
   3.5000E+01   |   2.5718E+00  2.1971E+00  1.8086E+00  1.4156E+00
   4.0000E+01   |   4.7641E+00  4.1750E+00  3.5750E+00  2.9673E+00
   4.5000E+01   |   7.3281E+00  6.5270E+00  5.7279E+00  4.9280E+00
   5.0000E+01   |   9.9152E+00  8.9196E+00  7.9427E+00  6.9774E+00
   5.5000E+01   |   1.2262E+01  1.1095E+01  9.9592E+00  8.8448E+00
   6.0000E+01   |   1.4232E+01  1.2915E+01  1.1637E+01  1.0383E+01
   6.5000E+01   |   1.5791E+01  1.4348E+01  1.2942E+01  1.1557E+01
   7.0000E+01   |   1.6973E+01  1.5424E+01  1.3907E+01  1.2403E+01
   7.5000E+01   |   1.7838E+01  1.6204E+01  1.4594E+01  1.2987E+01
   8.0000E+01   |   1.8457E+01  1.6755E+01  1.5067E+01  1.3376E+01
   8.5000E+01   |   1.8890E+01  1.7135E+01  1.5387E+01  1.3629E+01
   9.0000E+01   |   1.9189E+01  1.7393E+01  1.5599E+01  1.3790E+01
   9.5000E+01   |   1.9393E+01  1.7567E+01  1.5738E+01  1.3891E+01
   1.0000E+02   |   1.9531E+01  1.7683E+01  1.5827E+01  1.3954E+01