interest rate option

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Interest Rate Option

An option contract giving the holder to buy (for a call) or sell (for a put) a security with a certain interest rate at a given strike price on or before the expiration date. An interest-rate option is useful to hedge the interest rate risk inherent to portfolios consisting mainly of bonds.

interest rate option

An option contract on interest-bearing securities or on a futures contract on interest-bearing securities. These options are generally used as a means to manage the risk of a bond portfolio.
References in periodicals archive ?
Until February 2012, she was an interest rate options trader at State Street Bank.
In line with the findings of Ritchken and Sankarasubramanian (1999) our results show, first, that interest rate options prices are quite sensitive to the elasticity parameter in the volatility structure.
Applications for some of the models are given for regular bonds, Treasury futures and Eurodollar futures, bond options and callable bonds, forward rate agreement, interest rate options, swaps, swaptions, mortgage securities, and default- prone corporate bonds.
Treasury note contract -- one of CME Group's most active interest rate options products.
We base our approach in large part on the hypothesis that the hedging transactions of interest rate options dealers generate systematic trading flows in the underlying fixed-income markets following a shock to interest rates.
The initial lineup of lenders participating in the Loan Center offers a range of loan and interest rate options for consumers.
IFC offers fixed and floating interest rate options that are not readilty available in the local market
Over the next 18 years he did pioneering work in derivatives and developed the Black-Derman-Toy interest rate options model.
Monthly interest rate options are also available on all three products.
America is clearly willing to deploy hi-tech novel approaches, while Europe and emerging markets have more prosaic, traditional interest rate options still available.
However, interest rate options experienced a 21 percent decline at the same time.
We are offering two very attractive interest rate options on these loans with flexible repayment tenures, fast approvals and a simple process," said NBK-Jordan general manager Jabra Ghandour.