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Pricing and Trading Interest Rate Derivatives : A Practical Guide to Swaps by J. Hamish M. Darbyshire (2022, Trade Paperback)

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About this product

Product Identifiers

PublisherAitch & Dee The Limited

ISBN-100995455538

ISBN-139780995455535

eBay Product ID (ePID)15058369117

Product Key Features

Book TitlePricing and Trading Interest Rate Derivatives : a Practical Guide to Swaps

Number of Pages448 Pages

LanguageEnglish

Publication Year2022

TopicInvestments & Securities / Derivatives

GenreBusiness & Economics

AuthorJ. Hamish M. Darbyshire

FormatTrade Paperback

Dimensions

Item Height0.9 in

Item Weight25 oz

Item Length9.6 in

Item Width6.7 in

Additional Product Features

Intended AudienceTrade

Dewey Edition23

Dewey Decimal332.6457

SynopsisThe most professional and industry relatable text currently available for linear interest rate derivatives. Written by a practicing derivatives portfolio manager with over fifteen years of fixed income trading experience, this book focuses on core trading concepts; pricing, curve building (single and multi-currency), risk, credit and CSAs, regulations, VaR and PCA, volatility, cross-gamma, trade strategy analysis and market moving influences. The book's focus is interest rate swaps and cross-currency swaps, updated for a risk free rate (RFR, such as SOFR and ESTR) framework as opposed to LIBOR. Topics are presented from that perspective, outlining the importance of regulations in an IRD capacity, with volatility and swaptions taught from a practical point of view rather than an overly cumbersome academic one. This third edition (2022) markedly expands the second edition (2017), by not only providing extensive analysis but also building up a modern codebase, step-by-step, in Python. It constructs and solves interest rate curves and goes on to implement risk and cross-gamma calculations, demonstrating the implementation of automatic differentiation for superior efficiency. Read more at https: //github.com/attack68/book_irds3. The treatment of risk is expansive and thorough. The author formally analyses modern market-maker techniques to accurately predict PnL, and successfully implement multiple, consistent perspectives to view all details of risks. Almost everything included here is compulsory knowledge for a modern, successful, swaps trader or interest rate risk portfolio manager. Certainly this book sets the benchmark for the level of expertise that swaps traders should strive for, and the style is aimed at the novice and professional alike.