The article explores how economic and political changes in Europe impact interest rates. A two-factor model is developed to analyze interest rates in EMU countries, incorporating both domestic and European short-term rates. The model suggests that domestic rates converge towards a stochastic mean represented by the European rate. The study provides solutions for pricing zero coupon bonds and options, with a focus on the Spanish bond market. Empirical evidence shows that the convergence model outperforms the Vasicek model in fitting bond market data, especially for longer maturity bonds.