/* nag_specfun_opt_heston_greeks (s30nbc) Example Program.
*
* Copyright 2024 Numerical Algorithms Group.
*
* Mark 30.1, 2024.
*/
#include <nag.h>
int main(void) {
#ifdef NAG_COLUMN_MAJOR
#define K(I, J) (J - 1) * pdp + I - 1
#else
#define K(I, J) (I - 1) * pdp + J - 1
#endif
/* Scalars */
Integer exit_status = 0;
double corr, eta, grisk, kappa, q, r, s, sigmav, var0;
Integer i, j, pdp, m, n;
/* Arrays */
double *charm = 0, *delta = 0, *gamma = 0, *p = 0, *rho = 0, *speed = 0,
*t = 0, *theta = 0, *vanna = 0, *vega = 0, *vomma = 0, *x = 0,
*zomma = 0;
char put[8 + 1];
/* Nag types */
Nag_OrderType order;
Nag_CallPut putnum;
NagError fail;
INIT_FAIL(fail);
printf("nag_specfun_opt_heston_greeks (s30nbc) Example Program Results\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, r, q */
scanf("%lf%lf%lf%*[^\n] ", &s, &r, &q);
/* Read kappa,eta,var0,sigmav,corr,grisk */
scanf("%lf%lf%lf%*[^\n]", &kappa, &eta, &var0);
scanf("%lf%lf%lf%*[^\n]", &sigmav, &corr, &grisk);
/* Read m, n */
scanf("%" NAG_IFMT "%" NAG_IFMT "%*[^\n]", &m, &n);
if (!(charm = 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;
}
#ifdef NAG_COLUMN_MAJOR
order = Nag_ColMajor;
pdp = m;
#else
order = Nag_RowMajor;
pdp = n;
#endif
for (i = 0; i < m; i++)
scanf("%lf", &x[i]);
scanf("%*[^\n] ");
for (i = 0; i < n; i++)
scanf("%lf", &t[i]);
scanf("%*[^\n] ");
/* nag_specfun_opt_heston_greeks (s30nbc).
Heston's model option pricing formula with Greeks
*/
nag_specfun_opt_heston_greeks(order, putnum, m, n, x, s, t, sigmav, kappa,
corr, var0, eta, grisk, r, q, p, delta, gamma,
vega, theta, rho, vanna, charm, speed, zomma,
vomma, &fail);
if (fail.code != NE_NOERROR) {
printf("Error from nag_specfun_opt_heston_greeks (s30nbc).\n%s\n",
fail.message);
exit_status = 1;
goto END;
}
printf("\nHeston's Stochastic volatility Model\n");
switch (putnum) {
case Nag_Call:
printf("European Call :\n\n");
break;
case Nag_Put:
printf("European Put :\n\n");
}
printf(" Spot = %10.4f\n", s);
printf(" Volatility of vol = %10.4f\n", sigmav);
printf(" Mean reversion = %10.4f\n", kappa);
printf(" Correlation = %10.4f\n", corr);
printf(" Variance = %10.4f\n", var0);
printf(" Mean of variance = %10.4f\n", eta);
printf(" Risk aversion = %10.4f\n", grisk);
printf(" Rate = %10.4f\n", r);
printf(" Dividend = %10.4f\n\n", q);
for (j = 1; j <= n; j++) {
printf("Time to Expiry : %8.4f\n", t[j - 1]);
printf("%10s%11s%11s%11s%11s%11s%11s\n", "Strike", "Price", "Delta",
"Gamma", "Vega", "Theta", "Rho");
for (i = 1; i <= m; i++)
printf("%10.4f %10.4f %10.4f %10.4f %10.4f %10.4f %10.4f\n", x[i - 1],
p[K(i, j)], delta[K(i, j)], gamma[K(i, j)], vega[K(i, j)],
theta[K(i, j)], rho[K(i, j)]);
printf("%32s%11s%11s%11s%11s\n", "Vanna", "Charm", "Speed", "Zomma",
"Vomma");
for (i = 1; i <= m; i++)
printf("%21s %10.4f %10.4f %10.4f %10.4f %10.4f\n", "", vanna[K(i, j)],
charm[K(i, j)], speed[K(i, j)], zomma[K(i, j)], vomma[K(i, j)]);
}
END:
NAG_FREE(charm);
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;
}