NAG Library Manual, Mark 30.2
Interfaces:  FL   CL   CPP   AD 

NAG FL Interface Introduction
Example description

 S30FAF Example Program Results

 Standard Barrier Option
 Put :
 Down-and-In
  Spot       =  100.0000
  Barrier    =   95.0000
  Rebate     =    3.0000
  Volatility =    0.3000
  Rate       =    0.0800
  Dividend   =    0.0400

    Strike    Expiry    Option Price
  100.0000    0.5000          7.7988