Program s30ncfe
! S30NCF Example Program Text
! Mark 30.3 Release. nAG Copyright 2024.
! .. Use Statements ..
Use nag_library, Only: nag_wp, s30ncf
! .. Implicit None Statement ..
Implicit None
! .. Parameters ..
Integer, Parameter :: nin = 5, nout = 6
! .. Local Scalars ..
Real (Kind=nag_wp) :: disc, fwd, t, var0
Integer :: i, ifail, m, numts
Character (1) :: calput
! .. Local Arrays ..
Real (Kind=nag_wp), Allocatable :: alpha(:), corr(:), lambda(:), p(:), &
sigmat(:), ts(:), x(:)
! .. Executable Statements ..
Write (nout,*) 'S30NCF Example Program Results'
! Skip heading in data file
Read (nin,*)
Read (nin,*) calput
Read (nin,*) m, numts
Allocate (p(m),ts(numts),x(m),alpha(numts),corr(numts),lambda(numts), &
sigmat(numts))
Read (nin,*) fwd, disc, var0
Read (nin,*) x(1:m)
Read (nin,*) ts(1:numts)
Read (nin,*) t
Read (nin,*) alpha(1:numts)
Read (nin,*) corr(1:numts)
Read (nin,*) lambda(1:numts)
Read (nin,*) sigmat(1:numts)
ifail = 0
Call s30ncf(calput,m,numts,x,fwd,disc,ts,t,alpha,lambda,corr,sigmat, &
var0,p,ifail)
If (ifail/=0) Then
Go To 100
End If
Write (nout,*)
Write (nout,*) &
'Heston''s Stochastic volatility Model with Term Structure'
Select Case (calput)
Case ('C','c')
Write (nout,*) 'European Call :'
Case ('P','p')
Write (nout,*) 'European Put :'
End Select
Write (nout,99998) ' Forward = ', fwd
Write (nout,99998) ' Discount Factor = ', disc
Write (nout,99998) ' Variance = ', var0
Write (nout,*) ' ts alpha lambda corr sigmat'
Do i = 1, numts
Write (nout,99997) ts(i), alpha(i), lambda(i), corr(i), sigmat(i)
End Do
Write (nout,*)
Write (nout,*) ' Strike Expiry Option Price'
Do i = 1, m
Write (nout,99999) x(i), t, p(i)
End Do
100 Continue
99999 Format (1X,2(F9.4,1X),3X,F9.4)
99998 Format (A,1X,F8.4)
99997 Format (1X,5(F9.4,1X))
End Program s30ncfe