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Interest Rate Option Sensitivity: Theta, Vega, and Rho
Updated Sep 16, 2024
What you'll learn
- Here we discuss theta, vega and rho for call and put interest rate options, demonstrate the calculation of each using examples, and then graphically analyse the characteristics of each greek.
Course Description
Like other options, it is important to be aware of the sensitivities of interest rate options prices to movements in the underlying parameters. Here we discuss theta, vega and rho for call and put interest rate options, demonstrate the calculation of each using examples, and then graphically analyse the characteristics of each greek.
