Re: Eurodollar futures

Posted by Laurent Lefort on Feb 24, 2009; 7:38pm
URL: http://quantlib.414.s1.nabble.com/Eurodollar-futures-tp7206p7209.html

The price of an option should match the value of a replicating portfolio composed of the underlying and cash. So the interest rate that you need to use should reflect your funding costs (how much you pay to borrow money or how much interest you get on it). Using a standard libor curve should do it. Anyway i'm sure the rho of your option is going to be small enough so that it's not really going to make a huge difference on your price.

 

Laurent

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