O'Reilly logo

The Eurodollar Futures and Options Handbook by Galen Burghardt

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

CHAPTER 6Pricing and Hedging a Swap with Eurodollar Futures

Interest rate swaps make up the lion’s share of the over-the-counter interest rate derivatives market. They are extremely useful for both hedging and trading, are used extensively in corporate funding programs, and are rapidly becoming the core of fixed-income markets throughout the world. The market for interest rate swaps really began to open up in the early 1980s and quickly evolved to the point where most interest rate swaps use LIBOR as the basic reference rate.

The swap market is, in some sense, the end user or retail market for interest rate derivatives, while the Eurodollar futures market is the wholesale market where swap dealers get the raw material for pricing and hedging ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required