Investments, tenth edition

  Interest Rate Options   

Options are traded on Treasury notes and bonds, Treasury 

bills, and government bonds of other major economies such as the U.K. or Japan. Options 

on several interest rates also trade. Among these are contracts on Treasury bond, Treasury 

note, federal funds, LIBOR, Euribor,  

2

   and Eurodollar futures.

      

  

2

 The Euribor market is similar to the LIBOR market (see Chapter 2), but the interest rate charged in the Euribor 

market is the interbank rate for euro-denominated deposits.