Interest Rate Option Sensitivity: Delta and Gamma
Interactive

Interest Rate Option Sensitivity: Delta and Gamma

Intuition Publishing Pty Ltd
Updated Sep 24, 2020

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 look at the calculation of delta for call and put interest rate options, and graphically analyse the characteristics of delta. We then discuss the calculation of gamma for calls and puts, and also analyse the gamma characteristics on a graph.

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