NAG Library Manual, Mark 30.1
Interfaces:  FL   CL   CPP   AD 

NAG FL Interface Introduction
Example description

 S30SBF Example Program Results

 Asian Option: Geometric Continuous Average-Rate
 Asian Call :
  Spot          =   80.0000
  Volatility    =    0.2000
  Rate          =    0.0500
  Cost of carry =    0.0800


 Time to Expiry :    0.2500
   Strike    Price    Delta    Gamma     Vega     Theta     Rho     CRho
  97.0000   0.0010   0.0008   0.0006   0.0638  -0.0281   0.0079   0.0081
   Strike    Price    Vanna    Charm    Speed    Colour   Zomma    Vomma
  97.0000   0.0010   0.0443  -0.0196   0.0004  -0.0122   0.0272   3.1893