webcab.lib.finance.options
Class EuropeanRho

java.lang.Object
  |
  +--webcab.lib.finance.options.EuropeanRho

All Implemented Interfaces:

Serializable

public class EuropeanRho

extends Object

implements Serializable

Within this class we consider the evaluation of the Rho of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.

Recall that the Rho of an option contract is the rate of change (i.e. the first derivative) of the option price with respect to changes of the risk free interest rate.

See Also:

Serialized Form

Constructor Summary

EuropeanRho()
Creates a new instance.

Method Summary

double	callRho(double stockPrice, double strike, double riskFreeRate, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Evaluates Rho for a European call option whether or not the underlying asset pays a dividend.
double	callRho(double stockPrice, double strike, double riskFreeRate, double volatility, double timeToMaturity) Evaluates Rho for a European call option whether or not the underlying asset pays a dividend.
double	callRhoOnBaseCurrency(double exchangeRate, double strike, double riskFreeRate, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Returns the Rho for a European call option on a currency with respect to the base currencies interest rate.
double	callRhoOnBaseCurrency(double exchangeRate, double strike, double riskFreeRate, double volatility, double timeToMaturity) Returns the Rho for a European call option on a currency with respect to the base currencies interest rate.
double	callRhoOnForeignCurrency(double foreignRiskFree, double exchangeRate, double strike, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Evaluates the Rho for a European call option on a currency with respect to the foreign currencies interest rate.
double	callRhoOnForeignCurrency(double foreignRiskFree, double exchangeRate, double strike, double volatility, double timeToMaturity) Evaluates the Rho for a European call option on a currency with respect to the foreign currencies interest rate.
double	callRhoOnIndex(double indexValue, double strike, double riskFreeRate, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Evaluate the Rho for a European call option on an index.
double	callRhoOnIndex(double indexValue, double strike, double riskFreeRate, double volatility, double timeToMaturity) Evaluate the Rho for a European call option on an index.
double	putRho(double stockPrice, double strike, double riskFreeRate, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Evaluate the Rho for a European put option whether or not the underlying asset pays a dividend.
double	putRho(double stockPrice, double strike, double riskFreeRate, double volatility, double timeToMaturity) Evaluate the Rho for a European put option whether or not the underlying asset pays a dividend.
double	putRhoOnBaseCurrency(double exchangeRate, double strike, double riskFreeRate, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Returns the Rho for a European put option on a currency with respect to the base currencies interest rate.
double	putRhoOnBaseCurrency(double exchangeRate, double strike, double riskFreeRate, double volatility, double timeToMaturity) Returns the Rho for a European put option on a currency with respect to the base currencies interest rate.
double	putRhoOnForeignCurrency(double foreignRiskFree, double exchangeRate, double strike, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Evaluates the rho for a European put option on a currency with respect to the foreign currencies interest rate.
double	putRhoOnForeignCurrency(double foreignRiskFree, double exchangeRate, double strike, double volatility, double timeToMaturity) Evaluates the rho for a European put option on a currency with respect to the foreign currencies interest rate.
double	putRhoOnIndex(double indexValue, double strike, double riskFreeRate, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Evaluate the Rho for a European put option on an index.
double	putRhoOnIndex(double indexValue, double strike, double riskFreeRate, double volatility, double timeToMaturity) Evaluate the Rho for a European put option on an index.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

EuropeanRho

public EuropeanRho()

Creates a new instance.

Method Detail

callRho

public double callRho(double stockPrice,
                      double strike,
                      double riskFreeRate,
                      double volatility,
                      Date evaluationDate,
                      Date maturityDate,
                      BusinessCalendar businessCalendar)
               throws EuropeanRhoDemoException

Evaluates Rho for a European call option whether or not the underlying asset pays a dividend.

Parameters:

stockPrice - the price of the underlying asset

strike - the strike of the option contract

riskFreeRate - the continuously compounded risk free interest rate

volatility - the volatility of the underlying asset

evaluationDate - the date when the Rho of the option is evaluated

maturityDate - the date when the option matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanRhoDemoException

callRho

public double callRho(double stockPrice,
                      double strike,
                      double riskFreeRate,
                      double volatility,
                      double timeToMaturity)
               throws EuropeanRhoDemoException

Evaluates Rho for a European call option whether or not the underlying asset pays a dividend.

Parameters:

stockPrice - the price of the underlying asset

strike - the strike of the option contract

riskFreeRate - the continuously compounded risk free interest rate

volatility - the volatility of the underlying asset

timeToMaturity - the time period until the option expires

EuropeanRhoDemoException

putRho

public double putRho(double stockPrice,
                     double strike,
                     double riskFreeRate,
                     double volatility,
                     Date evaluationDate,
                     Date maturityDate,
                     BusinessCalendar businessCalendar)
              throws EuropeanRhoDemoException

Evaluate the Rho for a European put option whether or not the underlying asset pays a dividend.

Parameters:

stockPrice - the price of the underlying asset

strike - the strike of the option contract

riskFreeRate - the continuously compounded risk free interest rate

volatility - the volatility of the underlying asset

evaluationDate - the date when the Rho of the option is evaluated

maturityDate - the date when the option matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanRhoDemoException

putRho

public double putRho(double stockPrice,
                     double strike,
                     double riskFreeRate,
                     double volatility,
                     double timeToMaturity)
              throws EuropeanRhoDemoException

Evaluate the Rho for a European put option whether or not the underlying asset pays a dividend.

Parameters:

stockPrice - the price of the underlying asset

strike - the strike of the option contract

timeToMaturity - the time period until the option expires

riskFreeRate - the continuously compounded risk free interest rate

volatility - the volatility of the underlying asset

EuropeanRhoDemoException

callRhoOnIndex

public double callRhoOnIndex(double indexValue,
                             double strike,
                             double riskFreeRate,
                             double volatility,
                             Date evaluationDate,
                             Date maturityDate,
                             BusinessCalendar businessCalendar)
                      throws EuropeanRhoDemoException

Evaluate the Rho for a European call option on an index.

Parameters:

indexValue - the value of the index

strike - the value at which the option is exercised

riskFreeRate - the continuously compounded risk free interest rate

volatility - the volatility of the index

evaluationDate - the date when the Rho of the option is evaluated

maturityDate - the date when the option matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanRhoDemoException

callRhoOnIndex

public double callRhoOnIndex(double indexValue,
                             double strike,
                             double riskFreeRate,
                             double volatility,
                             double timeToMaturity)
                      throws EuropeanRhoDemoException

Evaluate the Rho for a European call option on an index.

Parameters:

indexValue - the value of the index

strike - the value at which the option is exercised

timeToMaturity - the period until the option expires

riskFreeRate - the continuously compounded risk free interest rate

volatility - the volatility of the index

EuropeanRhoDemoException

putRhoOnIndex

public double putRhoOnIndex(double indexValue,
                            double strike,
                            double riskFreeRate,
                            double volatility,
                            Date evaluationDate,
                            Date maturityDate,
                            BusinessCalendar businessCalendar)
                     throws EuropeanRhoDemoException

Evaluate the Rho for a European put option on an index.

Parameters:

indexValue - the value of the index

strike - the value at which the option is exercised

riskFreeRate - the continuously compounded risk free interest rate

volatility - the volatility of the index

evaluationDate - the date when the Rho of the option is evaluated

maturityDate - the date when the option matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanRhoDemoException

putRhoOnIndex

public double putRhoOnIndex(double indexValue,
                            double strike,
                            double riskFreeRate,
                            double volatility,
                            double timeToMaturity)
                     throws EuropeanRhoDemoException

Evaluate the Rho for a European put option on an index.

Parameters:

indexValue - the value of the index

strike - the value at which the option is exercised

timeToMaturity - the period until the option expires

riskFreeRate - the continuously compounded risk free interest rate

volatility - the volatility of the index

EuropeanRhoDemoException

callRhoOnBaseCurrency

public double callRhoOnBaseCurrency(double exchangeRate,
                                    double strike,
                                    double riskFreeRate,
                                    double volatility,
                                    Date evaluationDate,
                                    Date maturityDate,
                                    BusinessCalendar businessCalendar)
                             throws EuropeanRhoDemoException

Returns the Rho for a European call option on a currency with respect to the base currencies interest rate.

Parameters:

exchangeRate - the price of the underlying asset

strike - exchange rate at which the option contract is exercised

riskFreeRate - the continuously compounded risk free interest rate

volatility - the volatility of the underlying asset

evaluationDate - the date when the Rho of the option is evaluated

maturityDate - the date when the option matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanRhoDemoException

callRhoOnBaseCurrency

public double callRhoOnBaseCurrency(double exchangeRate,
                                    double strike,
                                    double riskFreeRate,
                                    double volatility,
                                    double timeToMaturity)
                             throws EuropeanRhoDemoException

Returns the Rho for a European call option on a currency with respect to the base currencies interest rate.

Parameters:

exchangeRate - the price of the underlying asset

strike - exchange rate at which the option contract is exercised

timeToMaturity - the time period until the option expires

riskFreeRate - the continuously compounded risk free interest rate

volatility - the volatility of the underlying asset

EuropeanRhoDemoException

putRhoOnBaseCurrency

public double putRhoOnBaseCurrency(double exchangeRate,
                                   double strike,
                                   double riskFreeRate,
                                   double volatility,
                                   Date evaluationDate,
                                   Date maturityDate,
                                   BusinessCalendar businessCalendar)
                            throws EuropeanRhoDemoException

Returns the Rho for a European put option on a currency with respect to the base currencies interest rate.

Parameters:

exchangeRate - the present exchange rate between the two currencies

strike - exchange rate at which the option contract is exercised

riskFreeRate - the continuously compounded risk free interest rate

volatility - the volatility of the underlying asset

evaluationDate - the date when the Rho of the option is evaluated

maturityDate - the date when the option matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanRhoDemoException

putRhoOnBaseCurrency

public double putRhoOnBaseCurrency(double exchangeRate,
                                   double strike,
                                   double riskFreeRate,
                                   double volatility,
                                   double timeToMaturity)
                            throws EuropeanRhoDemoException

Returns the Rho for a European put option on a currency with respect to the base currencies interest rate.

Parameters:

exchangeRate - the present exchange rate between the two currencies

strike - exchange rate at which the option contract is exercised

timeToMaturity - the time period until the option expires

riskFreeRate - the continuously compounded risk free interest rate

volatility - the volatility of the underlying asset

EuropeanRhoDemoException

callRhoOnForeignCurrency

public double callRhoOnForeignCurrency(double foreignRiskFree,
                                       double exchangeRate,
                                       double strike,
                                       double volatility,
                                       Date evaluationDate,
                                       Date maturityDate,
                                       BusinessCalendar businessCalendar)
                                throws EuropeanRhoDemoException

Evaluates the Rho for a European call option on a currency with respect to the foreign currencies interest rate.

Parameters:

foreignRiskFree - the continuously compounded risk free interest rate in the foreign currency

exchangeRate - the exchange rate between the two currencies

strike - the exchange rate at which the option is settled

volatility - the volatility of the exchange rate

evaluationDate - the date when the Rho of the option is evaluated

maturityDate - the date when the option matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanRhoDemoException

callRhoOnForeignCurrency

public double callRhoOnForeignCurrency(double foreignRiskFree,
                                       double exchangeRate,
                                       double strike,
                                       double volatility,
                                       double timeToMaturity)
                                throws EuropeanRhoDemoException

Evaluates the Rho for a European call option on a currency with respect to the foreign currencies interest rate.

Parameters:

foreignRiskFree - the continuously compounded risk free interest rate in the foreign currency

exchangeRate - the exchange rate between the two currencies

strike - the exchange rate at which the option is settled

timeToMaturity - the time period until the option contract expires

volatility - the volatility of the exchange rate

EuropeanRhoDemoException

putRhoOnForeignCurrency

public double putRhoOnForeignCurrency(double foreignRiskFree,
                                      double exchangeRate,
                                      double strike,
                                      double volatility,
                                      Date evaluationDate,
                                      Date maturityDate,
                                      BusinessCalendar businessCalendar)
                               throws EuropeanRhoDemoException

Evaluates the rho for a European put option on a currency with respect to the foreign currencies interest rate.

Parameters:

foreignRiskFree - the continuously compounded risk free interest rate in the foreign currency

exchangeRate - the exchange rate between the two currencies

strike - the exchange rate at which the option is settled

volatility - the volatility of the exchange rate

evaluationDate - the date when the Rho of the option is evaluated

maturityDate - the date when the option matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanRhoDemoException

putRhoOnForeignCurrency

public double putRhoOnForeignCurrency(double foreignRiskFree,
                                      double exchangeRate,
                                      double strike,
                                      double volatility,
                                      double timeToMaturity)
                               throws EuropeanRhoDemoException

Evaluates the rho for a European put option on a currency with respect to the foreign currencies interest rate.

Parameters:

foreignRiskFree - the continuously compounded risk free interest rate in the foreign currency

exchangeRate - the exchange rate between the two currencies

strike - the exchange rate at which the option is settled

timeToMaturity - the time period until the option contract expires

volatility - the volatility of the exchange rate

EuropeanRhoDemoException