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

NAG FL Interface Introduction
Example description

 S30CBF Example Program Results

 Binary (Digital): Cash-or-Nothing
 European Call :
  Spot       =  110.0000
  Payout     =    5.0000
  Volatility =    0.3500
  Rate       =    0.0500
  Dividend   =    0.0400


 Time to Expiry :    0.7500
   Strike    Price    Delta    Gamma     Vega    Theta     Rho      CRho
  87.0000   3.5696   0.0467  -0.0013  -4.2307   1.1142   1.1788   3.8560
   Strike    Price    Vanna    Charm    Speed   Colour    Zomma    Vomma
  87.0000   3.5696  -0.0514   0.0153   0.0000  -0.0019   0.0079  12.8874