Rho

Description

Describes the sensitivity of the option price, based on the Black-Scholes model, with regards to changes in the interest rate. Hence, the Rho does not include the impact that a change in the interest rate has on the exchange rate. For foreign exchange options, their values depend on both the interest rate on the base currency (which is the euro for the EUR/USD) and the interest rate on the reference currency (which is the dollar for the EUR/USD).