Rho ( IDataHolder Volatility);
Default values:
Volatility: imp_volatility(getUnderlyingSymbol())
Description
Calculates the rho option greek.
Input parameters
| Parameter | Default value | Description |
|---|---|---|
| Underlying Price | close(getUnderlyingSymbol()) | Defines price to be used in calculation of rho. |
| Volatility | imp_volatility(getUnderlyingSymbol()) | Defines volatility to be used in calculation of rho. |
Example
declare lower;
def epsilon = 0.0001;
plot approxRho = (OptionPrice(interestRate = GetInterestRate() + epsilon) - OptionPrice()) / epsilon / 100;
plot Rho = Rho();
This example illustrates the approximate calculation of rho by dividing a change in the theoretical option price by a change in the risk-free interest rate.