*     S30NAF Example Program Text
*     Mark 22 Release. NAG Copyright 2007.
*     .. Parameters ..
      INTEGER          NIN, NOUT
      PARAMETER        (NIN=5,NOUT=6)
      INTEGER          LDP, MMAX, NMAX
      PARAMETER        (LDP=50,MMAX=50,NMAX=50)
*     .. Local Scalars ..
      DOUBLE PRECISION CORR, ETA, GAMMA, KAPPA, Q, R, S, SIGMAV, VAR0
      INTEGER          I, IFAIL, J, M, N
      CHARACTER        PUT
*     .. Local Arrays ..
      DOUBLE PRECISION P(LDP,NMAX), T(NMAX), X(MMAX)
*     .. External Subroutines ..
      EXTERNAL         S30NAF
*     .. Executable Statements ..
      WRITE (NOUT,*) 'S30NAF Example Program Results'
      WRITE (NOUT,*)
      WRITE (NOUT,*) 'Heston''s Stochastic volatility Model'
*     Skip heading in data file
      READ (NIN,*)
*     Read problem parameters.
      READ (NIN,*) PUT
      READ (NIN,*) S, R, Q
      READ (NIN,*) KAPPA, ETA, VAR0, SIGMAV, CORR, GAMMA
*     Read M, N
      READ (NIN,*) M, N
*
      IF (M.LE.MMAX .AND. N.LE.NMAX) THEN
*        Read array of strike/exercise prices, X
         READ (NIN,*) (X(I),I=1,M)
         READ (NIN,*) (T(I),I=1,N)
*
         IFAIL = 1
*
         CALL S30NAF(PUT,M,N,X,S,T,SIGMAV,KAPPA,CORR,VAR0,ETA,GAMMA,R,Q,
     +               P,LDP,IFAIL)
*
         IF (IFAIL.EQ.0) THEN
            IF (PUT.EQ.'C' .OR. PUT.EQ.'c') THEN
               WRITE (NOUT,*) 'European Call :'
            ELSE IF (PUT.EQ.'P' .OR. PUT.EQ.'p') THEN
               WRITE (NOUT,*) 'European Put :'
            END IF
            WRITE (NOUT,'(A,1X,F8.4)') '  Spot                   = ', S
            WRITE (NOUT,'(A,1X,F8.4)') '  Volatility of vol      = ',
     +        SIGMAV
            WRITE (NOUT,'(A,1X,F8.4)') '  Mean reversion         = ',
     +        KAPPA
            WRITE (NOUT,'(A,1X,F8.4)') '  Correlation            = ',
     +        CORR
            WRITE (NOUT,'(A,1X,F8.4)') '  Variance               = ',
     +        VAR0
            WRITE (NOUT,'(A,1X,F8.4)') '  Mean of variance       = ',
     +        ETA
            WRITE (NOUT,'(A,1X,F8.4)') '  Risk aversion          = ',
     +        GAMMA
            WRITE (NOUT,'(A,1X,F8.4)') '  Rate                   = ', R
            WRITE (NOUT,'(A,1X,F8.4)') '  Dividend               = ', Q
*
            WRITE (NOUT,*)
            WRITE (NOUT,*) '   Strike    Expiry    Option Price'
*
            DO 40 I = 1, M
               DO 20 J = 1, N
                  WRITE (NOUT,99999) X(I), T(J), P(I,J)
   20          CONTINUE
   40       CONTINUE
         ELSE
            WRITE (NOUT,*)
            WRITE (NOUT,99998) IFAIL
         END IF
      END IF
*
99999 FORMAT (1X,2(F9.4,1X),6X,F9.4)
99998 FORMAT (1X,' ** S30AAF returned with IFAIL = ',I5)
      END