NAG Library Manual, Mark 31
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NAG FL Interface Introduction
Example description

 S30NDF Example Program Results

 Heston's Stochastic volatility Model
 European Call :
  Spot                   =    100.0000
  Volatility of vol      =      0.5751
  Mean reversion         =      1.5768
  Correlation            =     -0.5711
  Variance               =      0.0175
  Mean of variance       =      0.0398
  Risk aversion          =      1.0000

 Time to Expiry :    1.0000
     Strike     Price      Rate       Dividend
   100.0000     6.5961     0.0250     0.0100
     Delta      Gamma      Vega       Theta      Rho
     0.6616     0.0270    53.0023    -4.2941    59.5669
     Vanna      Charm      Speed      Zomma      Vomma
    -0.3415    -0.0172    -0.0024    -0.2394  -330.2868
     dp_dx      dp_dq      dp_deta    dp_dkappa  dp_dsigmav dp_dcorr   dp_dgrisk
    -0.5957   -66.1630    60.3297     0.8097    -1.9804     0.3217    -0.3090
 Time to Expiry :    1.0000
     Strike     Price      Rate       Dividend
   100.0000     7.9845     0.0250    -0.0100
     Delta      Gamma      Vega       Theta      Rho
     0.7258     0.0233    51.8864    -5.7466    64.5969
     Vanna      Charm      Speed      Zomma      Vomma
    -0.7490    -0.0465    -0.0022    -0.1593  -307.9860
     dp_dx      dp_dq      dp_deta    dp_dkappa  dp_dsigmav dp_dcorr   dp_dgrisk
    -0.6460   -72.5815    57.9418     0.7434    -1.7047     0.0353    -0.3116
 Time to Expiry :    1.0000
     Strike     Price      Rate       Dividend
   100.0000     3.9303    -0.0250     0.0100
     Delta      Gamma      Vega       Theta      Rho
     0.5004     0.0369    53.4520    -1.8232    46.1108
     Vanna      Charm      Speed      Zomma      Vomma
     1.4163     0.0401    -0.0018    -0.4401  -282.7637
     dp_dx      dp_dq      dp_deta    dp_dkappa  dp_dsigmav dp_dcorr   dp_dgrisk
    -0.4611   -50.0410    63.0731     0.9105    -2.4431     1.2480    -0.2953
 Time to Expiry :    1.0000
     Strike     Price      Rate       Dividend
   100.0000     5.0138    -0.0250    -0.0100
     Delta      Gamma      Vega       Theta      Rho
     0.5825     0.0341    55.4531    -2.8639    53.2321
     Vanna      Charm      Speed      Zomma      Vomma
     0.6002     0.0025    -0.0024    -0.3866  -336.8896
     dp_dx      dp_dq      dp_deta    dp_dkappa  dp_dsigmav dp_dcorr   dp_dgrisk
    -0.5323   -58.2459    64.6644     0.9138    -2.3868     0.8716    -0.3113