Financial Toolbox

blsrho

Syntax

[CallRho, PutRho]= blsrho(Price, Strike, Rate, Time, Volatility, 
DividendRate)

Arguments

Price	Current security price.
Strike	Exercise or strike price.
Rate	Interest rate. Enter as a decimal fraction.
Time	Time to maturity of the option in years.
Volatility	Standard deviation of the annualized continuously compounded rate of return of the security (also known as the volatility).
DividendRate	(Optional) Dividend rate of the security. Enter as a decimal fraction. Default = 0.

Description
[CallRho, PutRho]= blsrho(Price, Strike, Rate, Time, Volatility, DividendRate) returns the call option rho CallRho, and the put option rho PutRho. Rho is the rate of change in value of derivative securities with respect to interest rates.

Note:   This function uses normcdf, the normal cumulative distribution function in the Statistics Toolbox.

Examples

[CallRho, PutRho] = blsrho(50, 50, 0.12, 0.25, 0.3, 0)

CallRho =
    6.6686
PutRho =
   -5.4619

See Also
blsdelta, blsgamma, blslambda, blsprice, blstheta, blsvega

References
Hull, Options, Futures, and Other Derivative Securities, 2nd edition, Chapter 13.

blsprice

blstheta