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opt_bs_call_rho(strike,price,volatility,days_to_maturity,rate) |
Uses the Black-Scholes model to calculate the "rho" of a European call option struck at @strike on an asset with price @price.
(The rho of an option is the rate of change of its price with respect to the risk free interest rate.)
@volatility is the annualized volatility, in percent, of the asset for the period through to the exercise date. @days_to_maturity the number of days to exercise, and @rate is the risk-free interest rate to the exercise date, in percent.
The returned value will be expressed as the rate of change of option value, per 100% change in @rate.
opt_bs_call, opt_bs_put, opt_bs_call_delta, opt_bs_put_delta, opt_bs_put_rho, opt_bs_call_theta, opt_bs_put_theta, opt_bs_vega, opt_bs_gamma.
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opt_bs_call_delta | Up | opt_bs_call_theta |