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 ?
In this case, differences in interest rate options prices result directly from the difference in assumptions regarding the volatilities structures.
dollar interest rate options market, however, significant residual risks are concentrated among dealers, who have sold 50 percent more options to customers than they have purchased (Table 1, top panel).
com) the leading independent provider of award winning cross-asset analytics for the structuring, valuation and risk analysis of derivatives and structured products, today announced that it has been selected to provide REMATE, a specialized Interdealer firm active in Mexican foreign exchange and interest rates markets, with interest rate option pricing models, risk analytics and volatility calculations through its Numerix Rates Trader - trading application.
CME Group, the world's largest and most diverse derivatives exchange, today announced plans to modify its block trading thresholds and reporting time requirements for CME and CBOT interest rate futures and options, and also to extend CME Globex request-for-cross (RFC) functionality to all CBOT interest rate options.
It bears features of both a conventional accounts receivable line and a more flexible cash flow line, and allows us to choose the best interest rate options for us based on the purpose and anticipated length of our short-term borrowings.
During August, a record 10 percent of Eurodollar options traded electronically and 24 percent of Treasury and Bond options were traded electronically, and a combined 12 percent of interest rate options were traded electronically.
Financial institutions, in particular, are under an enormous amount of pressure to strengthen internal controls," said Benn Shepherd, CEO of JB Drax Honore, the world's largest broker of listed European interest rate options.
Treasury note contract -- one of CME Group's most active interest rate options products.
Until February 2012, she was an interest rate options trader at State Street Bank.
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.