  We derive explicit valuation formulae for an exotic path-dependent interest
rate derivative, namely an option on the composition of LIBOR rates. The
formulae are based on Fourier transform methods for option pricing. We consider
two models for the evolution of interest rates: an HJM-type forward rate model
and a LIBOR-type forward price model. Both models are driven by a
time-inhomogeneous L\'evy process.
