blsrho (Financial Toolbox)

Black-Scholes sensitivity to interest rate change

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.

`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