blackcalculator rho seem incorrect for option on future

Posted by jazzup on Jul 11, 2017; 9:54pm
URL: http://quantlib.414.s1.nabble.com/blackcalculator-rho-seem-incorrect-for-option-on-future-tp18425.html

Hi,

The rho for blackcalculator seems take the derivative on the spot instead of future instrument.  

I would expect the value to be negative for rho for call option on future, but the blackcalculator shows positive instead. (https://www.glynholton.com/notes/black_1976/)

Any suggestion?

Thanks,

Jianwen