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The Eurodollar Futures and Options Handbook by Galen Burghardt

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CHAPTER 1The Emergence of the Eurodollar Market

Galen Burghardt, Terry Belton, Morton Lane, Geoffrey Luce, and Rick McVey

The Eurodollar market—the market for dollar-denominated deposits outside of the United States—is perhaps the largest and most liquid of the world’s short-term dollar markets. At the same time, swaps based on the London Interbank Offered Rate (LIBOR) and Eurodollar futures, together with their option counterparts, are without question the most liquid and actively traded money market derivatives. For that matter, the LIBOR-based swap market has become so large and liquid that swap rates have largely displaced government bonds as the standard of value against which fixed income instruments are compared.

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