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 ?
Moreover, for interest rate options, the underlying asset price doesn't follow a geometric Brownian motion.
In this case, differences in interest rate options prices result directly from the difference in assumptions regarding the volatilities structures.
Models to value interest rate options are not free from error, but their consistent application can yield valuations that tend to reduce opportunities for earnings manipulation.
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).
We are also pleased with the lower interest rate option now available to the Company, which based on today's LIBOR rates, should reduce our interest expense by over $500,000 over the next twelve months".
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.
Borrowing costs, under the LIBOR interest rate option only, increased approximately half a percent from LIBOR plus 1.
com/) Bitwala is moving into the digital banking industry over the next year, eventually offering investment brokerage and short-term, P2P bitcoin loans where customers choose their own payment schedules and interest rate options.
The loan comes with lucrative interest rates and customers can choose between fixed and floating interest rate options.
The scandal was uncovered last year and it was originally thought 2,000 customers were unlawfully taken off tracker mortgages and put on to higher interest rate options.
Second-quarter 2017 Interest Rate options and Energy options average daily volume grew 37 percent and 22 percent, respectively.
Until February 2012, she was an interest rate options trader at State Street Bank.