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Rho


The rate of change in price of a derivative with respect to a change in the risk-free rate. This “Greek” metric determines the sensitivity of an option or options portfolio to the movement in interest rates. If, for instance, the rho of an options portfolio is 10.25, that indicates that the value of this portfolio would increase (or decrease) by 10.25% relative to a percentage point increase (or decrease) in the benchmark interest rate.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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