| layout | title | schemas |
|---|---|---|
| property | rho | derivative |
rho
The rho attribute measures the sensitivity of the derivative’s value to changes in the relevant interest-rate curve or curves and is a numeric field.
The Options Industry Council explanation of rho, opening paragraph describes interest-rate sensitivity for options. In the EU prudential framework, Regulation (EU) 528/2014, recital 3 also identifies interest-rate risk as rho risk. FIRE stores the rate sensitivity used for the derivative.