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Interest Rate Options: Basics
Updated Sep 18, 2024
What you'll learn
- We give an overview of call and put interest rate options, and then calculate the payoff to the long and short positions in each. we then discuss options on futures based on Treasuries, options on futures based on time deposits, and options on futures bas
Course Description
The underlying assets for exchange-traded interest rate options are interest rate futures contracts. We give an overview of call and put interest rate options, and then calculate the payoff to the long and short positions in each. We then discuss options on futures based on Treasuries, options on futures based on time deposits, and options on futures based on overnight rates.
