Interest Rate Option Sensitivity: Theta, Vega, and Rho
Interactive

Interest Rate Option Sensitivity: Theta, Vega, and Rho

Intuition Publishing
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 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.

;