blsrho (Financial Toolbox)

Black-Scholes sensitivity to interest rate change.

Syntax

[cr, pr]= blsrho(so, x, r, t, sig, q)
[cr, pr]= blsrho(so, x, r, t, sig, q)

Arguments

sig: Standard deviation of the annualized continuously compounded rate of return of the security (also known as the volatility).

q: Dividend rate of the security. Enter as a decimal fraction. Default = 0.

Description

[cr, pr]= blsrho(so, x, r, t, sig, q)

returns the call option rho cr, and the put option rho pr. Rho is the rate of change in value of securities with respect to interest rates.

Note: This function uses normcdf, the normal cumulative distribution function in the Statistics Toolbox.

Example

[cr, pr] = blsrho(50, 50, 0.12, 0.25, 0.3, 0)
cr =
    6.6686
pr =
   -5.4619