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 and Machine Learning Toolbox™

Yield = Rate `Yield` as:Yield = ForeignRate `ForeignRate` is
the continuously compounded, annualized risk free interest rate in
the foreign country. |

Hull, John C., *Options, Futures, and Other Derivatives*,
Prentice Hall, 5th edition, 2003.

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