Eurodollar Futures and Options: Controlling Money Market Risk (Institutional Investor Publication)

Innovation in the US money markets over the past 10 years has spawned a rich variety of over-the-counter financial derivatives including interest-rate swaps, floating-rate agreements, caps, floors, collars, swaptions, cancellable swaps, putable swaps, captions and floortions. While the majority of the business in derivative products is done in dollars, the concepts are spilling over into the British, French, German and Japanese money markets as well. Eurodollar futures and options are the foundation on which the derivatives market has been built. Prices for OTC derivatives are geared to prices in the futures and options markets. And, because the Eurodollar futures market is so huge and can be traded nearly around the clock, this is where derivatives traders turn to hedge or augment what they do in the OTC markets. The authors are specialists in futures and options and show professional money managers how to fold futures and options into a portfolio of conventional and derivative interest-rate products.