The annual risk-free rates are with continuous compounding. Use DERIVAGEM. Consider Call A, with K = $70; r = 0.06; T - t = 90 days; = 0.4; and S = $60 and Put A, on the same 0 stock, with: K = $70; r = 0.06; T - t = 90 days; = 0.4. You short a straddle comprised of 100 Calls A and 100 Puts A. 1.1 Compute the initial cash flow of the straddle. 1.2 Calculate the DELTA, GAMMA, THETA, VEGA, and RHO of this straddle.