Rho

Rho ( IDataHolder Volatility );

Default values:

Volatility: imp_volatility(getUnderlyingSymbol())

Description

Calculates the rho option greek.

Input parameters

Parameter Default value Description
Underlying Price close(getUnderlyingSymbol()) Defines price to be used in calculation of rho.
Volatility imp_volatility(getUnderlyingSymbol()) Defines volatility to be used in calculation of rho.

Example

declare lower;
def epsilon = 0.0001;
plot approxRho = (OptionPrice(interestRate = GetInterestRate() + epsilon) - OptionPrice()) / epsilon / 100;
plot Rho = Rho();

This example illustrates the approximate calculation of rho by dividing a change in the theoretical option price by a change in the risk-free interest rate.