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 option
  • x - The strike price of the option
  • t - time to expiration as a percentage of the year
  • r - continuously compounded risk-free interest rate
  • q - continuously compounded divident yield
  • sigma - volatility