## Documentation Center |

Black-Scholes sensitivity to interest rate change

`[CallRho, PutRho]= blsrho(Price, Strike, Rate, Time, Volatility,`

Yield)

| Current price of the underlying asset. |

| Exercise price of the option. |

| Annualized, continuously compounded risk-free rate of return over the life of the option, expressed as a positive decimal number. |

| Time to expiration of the option, expressed in years. |

| Annualized asset price volatility (annualized standard deviation of the continuously compounded asset return), expressed as a positive decimal number. |

| (Optional) Annualized, continuously compounded
yield of the underlying asset over the life of the option, expressed
as a decimal number. (Default = 0.) For example, for options written
on stock indices, |

`[CallRho, PutRho]= blsrho(Price, Strike, Rate, Time,
Volatility, Yield)` 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. `blsrho` uses `normcdf`,
the normal cumulative distribution function in the Statistics Toolbox™

Yield = Rate When
pricing currencies (Garman-Kohlhagen model), enter the input argument Yield = ForeignRate where |

`blsdelta` | `blsgamma` | `blslambda` | `blsprice` | `blstheta` | `blsvega`

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