Function greeks::rho_call
[−]
[src]
pub fn rho_call(s0: f64, x: f64, t: f64, r: f64, q: f64, sigma: f64) -> f64
Calculates the Rho of a call option
Rho measures the sensitivity to the interest rate. Rho is the derivative of the option value with respect to the risk free interest rate.
Arguments
s0
- The underlying price of the optionx
- The strike price of the optiont
- time to expiration as a percentage of the yearr
- continuously compounded risk-free interest rateq
- continuously compounded divident yieldsigma
- volatility