mafipy.function.black_scholes_call_rho¶
-
mafipy.function.
black_scholes_call_rho
(underlying, strike, rate, maturity, vol, today)[source]¶ calculates black scholes rho.
\[\frac{\partial}{\partial t} c(t, S, K, r, T, \sigma) = (T - t) e^{-r (T - t)} K \Phi(d_{2})\]where \(S\) is underlying, \(K\) is strike, \(r\) is rate, \(T\) is maturity, \(\sigma\) is volatility, \(\phi\) is standard normal p.d.f, \(d_{2}\) is defined in
func_d2()
.See
black_scholes_call_value()
.Parameters: - underlying (float) –
- strike (float) –
- rate (float) –
- maturity (float) – must be non-negative.
- vol (float) – volatility. This must be positive.
Returns: value of rho.
Return type: float.