callrho {optionstrat} | R Documentation |
Call Rho
Description
Calculates the rho of the European- style call option
Usage
callrho(s, x, sigma, t, r, d = 0)
Arguments
s |
Spot price of the underlying asset |
x |
Strike price of the option |
sigma |
Implied volatility of the underlying asset price, defined as the annualized standard deviation of the asset returns |
t |
Time to maturity in years |
r |
Annual continuously-compounded risk-free rate, use the function r.cont |
d |
Annual continuously-compounded dividend yield, use the function r.cont |
Details
Rho measures the change in the option's value given a 1
Value
Returns the call rho
Examples
callrho(100, 100, 0.20, (45/365), 0.02, 0.02)
[Package optionstrat version 1.4.1 Index]