! D03NDF Example Program Text
! Mark 30.1 Release. NAG Copyright 2024.
Module d03ndfe_mod
! D03NDF Example Program Module:
! Parameters and User-defined Routines
! .. Use Statements ..
Use nag_library, Only: nag_wp
! .. Implicit None Statement ..
Implicit None
! .. Accessibility Statements ..
Private
Public :: print_greek
! .. Parameters ..
Integer, Parameter, Public :: nin = 5, nout = 6
Contains
Subroutine print_greek(ns,nt,tmat,s,t,grname,greek)
! .. Scalar Arguments ..
Real (Kind=nag_wp), Intent (In) :: tmat
Integer, Intent (In) :: ns, nt
Character (*), Intent (In) :: grname
! .. Array Arguments ..
Real (Kind=nag_wp), Intent (In) :: greek(ns,nt), s(ns), t(nt)
! .. Local Scalars ..
Integer :: i, j
! .. Intrinsic Procedures ..
Intrinsic :: len
! .. Executable Statements ..
Write (nout,*)
Write (nout,*) grname
Write (nout,*)('-',i=1,len(grname))
Write (nout,*) ' Stock Price | Time to Maturity (months)'
Write (nout,99999) '|', (12.0_nag_wp*(tmat-t(i)),i=1,nt)
Write (nout,*) ' -----------------', ('------------',i=1,nt)
Do i = 1, ns
Write (nout,99998) s(i), '|', (greek(i,j),j=1,nt)
End Do
Return
99999 Format (16X,A,1X,12(1P,E12.4))
99998 Format (1X,1P,E12.4,3X,A,1X,12(1P,E12.4))
End Subroutine print_greek
End Module d03ndfe_mod
Program d03ndfe
! D03NDF Example Main Program
! .. Use Statements ..
Use d03ndfe_mod, Only: nin, nout, print_greek
Use nag_library, Only: d03ndf, nag_wp
! .. Implicit None Statement ..
Implicit None
! .. Parameters ..
Logical, Parameter :: gprnt(5) = .True.
! .. Local Scalars ..
Real (Kind=nag_wp) :: ds, dt, tmat, x
Integer :: i, ifail, j, kopt, ns, nt
! .. Local Arrays ..
Real (Kind=nag_wp), Allocatable :: delta(:,:), f(:,:), gamma(:,:), &
lambda(:,:), rho(:,:), s(:), t(:), &
theta(:,:)
Real (Kind=nag_wp) :: q(3), r(3), sigma(3)
Logical :: tdpar(3)
! .. Intrinsic Procedures ..
Intrinsic :: real
! .. Executable Statements ..
Write (nout,*) 'D03NDF Example Program Results'
Write (nout,*)
! Skip heading in data file
Read (nin,*)
Read (nin,*) ns, nt
Allocate (delta(ns,nt),f(ns,nt),gamma(ns,nt),lambda(ns,nt),rho(ns,nt), &
s(ns),t(nt),theta(ns,nt))
! Read problem parameters
Read (nin,*) kopt
Read (nin,*) x
Read (nin,*) tmat
Read (nin,*) q(1), r(1), sigma(1)
Read (nin,*) s(1), s(ns)
Read (nin,*) t(1), t(nt)
Read (nin,*) tdpar(1:3)
If (ns<2) Then
Write (nout,*) 'NS invalid.'
Else If (nt<2) Then
Write (nout,*) 'NT invalid.'
Else
ds = (s(ns)-s(1))/real(ns-1,kind=nag_wp)
dt = (t(nt)-t(1))/real(nt-1,kind=nag_wp)
! Loop over times
Do j = 1, nt
t(j) = t(1) + real(j-1,kind=nag_wp)*dt
! Loop over stock prices
Do i = 1, ns
s(i) = s(1) + real(i-1,kind=nag_wp)*ds
! Call Black-Scholes solver
ifail = 0
Call d03ndf(kopt,x,s(i),t(j),tmat,tdpar,r,q,sigma,f(i,j), &
theta(i,j),delta(i,j),gamma(i,j),lambda(i,j),rho(i,j),ifail)
End Do
End Do
! Output option values and possibly Greeks.
Call print_greek(ns,nt,tmat,s,t,'Option Values',f)
If (gprnt(1)) Then
Call print_greek(ns,nt,tmat,s,t,'Theta',theta)
End If
If (gprnt(2)) Then
Call print_greek(ns,nt,tmat,s,t,'Delta',delta)
End If
If (gprnt(3)) Then
Call print_greek(ns,nt,tmat,s,t,'Gamma',gamma)
End If
If (gprnt(4)) Then
Call print_greek(ns,nt,tmat,s,t,'Lambda',lambda)
End If
If (gprnt(5)) Then
Call print_greek(ns,nt,tmat,s,t,'Rho',rho)
End If
End If
End Program d03ndfe