I have the following code:
#define MY_MACRO(PARAM) int PARAM_int; double PARAM_double; [subsequent instructions]
Unfortunately, it does not wor
PARAM_int is considered to be a single token, that is distinct from PARAM. You can concatenate tokens in a macro definition with ##:
#define MY_MACRO(PARAM) int PARAM ## _int; double PARAM ## _double;
Now, PARAM will expand to whatever you invoke the macro with, and then the resulting token will be pasted together with _int and _double.