  An empirical analysis on Eurodollar interest rates daily data in the time
period 1990-1996, is performed and compared with Libor data in the time period
1984-1998. The complementary cumulative distributions for the daily
fluctuations at different maturity dates and the Power Spectral Density are
computed. We find that the probability distribution shows `fat' tails with
non-Gaussian behaviours. Moreover, we study the correlations among Eurodollar
interest rates fluctuations with different maturity dates. By using an original
clustering linkage, we show how the collective motion of the interest rates
curve can be analyzed in sub-groups of maturity dates with similar behaviours.
