RhoCall: Rho of a European Call Option

In grfiv/ustreasuries: Treasury Data Download, Fixed-Income Models and Derivative Analyses

Description

Rho is the sensitivity of an option price to changes in the risk-free rate of interest

Usage

RhoCall(Stock, Exercise, Time, Interest, Yield, sigma)

Arguments

Stock	S0, the initial stock price
Exercise	K, the strike price
Time	T, the time to maturity in fractional years
Interest	r, the risk-free rate of return
Yield	q, the dividend yield
sigma	the asset volatility

Value

The Rho of the call option

Note

for futures and foreign exchange, use the specialized functions RhoFuturesCall, RhoFuturesPut, RhoFXCall, RhoFXPut

Author(s)

George Fisher [e-mail]

References

Hull, 7th edition ch 17 p375-376

Examples

# Hull, 7th edition Ch 17 p 376
library(ustreasuries)
Stock    <- 49     # S_0
Exercise <- 50     # K
Time     <- 20/52  # T
Interest <- 0.05   # r
Yield    <- 0      # q
sigma    <- 0.20

rho <- RhoCall(Stock, Exercise, Time, Interest, Yield, sigma)
round(rho, 2) # 8.91

grfiv/ustreasuries documentation built on May 17, 2019, 8:36 a.m.