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Black-Scholes sensitivity to interest-rate change

`[`

returns the call option rho `CallRho`

,`PutRho`

] = blsrho(`Price`

,`Strike`

,`Rate`

,`Time`

,`Volatility`

)`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™.

**Note**

`blsrho`

can also handle an underlying asset such as
currencies. When pricing currencies (Garman-Kohlhagen model), enter the
input argument `Yield`

as:

Yield = ForeignRate

`ForeignRate`

is the continuously compounded,
annualized risk-free interest rate in the foreign country.

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