Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps Paperback – August 7, 2022

If you’re a practitioner or an aspiring one, this book is brilliant. Trading/ quant finance has a lot of aspects one doesn’t learn through conventional textbooks or through university.The author doesn’t produce just another book that’s similar to the hundreds already out there. He provides practical insight into what life is like in an actual trading environment and aspects one has to consider when working with a quant library or developing solutions for a desk.One has to appreciate his efforts in compiling this book in conjunction with the Rateslib library behind it.

A great book for an introduction to swaps - SOFR, SONIA etc, but also very relevant for Euribor.Oftentimes academic authors focus on the complicated aspects of fixed income - stochastic differential equations, new techniques for exotic options etc. NOT here though. This book presents topics for linear derivatives traders: curve building (single currency and multi-currency), managing PnL, generating risks, how electronic market making is structured, statistical techniques for analysis such as VaR and PCA, reset risk management, regulatory impacts.It makes a huge difference to learning on the job and provides a wholesome reference for spreadsheet and tactical development.

Being a swap trader, I really enjoyed reading this book. It is apparently from an expert who has both the technical background and real trading experience. This book built solid foundations to both understanding the product, markets and mechanisms to advanced knowledges on monetize profitable opportunities. I would recommend anyone, who may not even be a trader but want to learn more about the dealers view, to read this book.Suggestions: I would expect more thoughts on the relative value trades, both in terms of macro or micro angel. This is understandably hard to interpolate without real market examples and a deep understanding of the flows, but I am really interested in knowing the author's idea on this.

I started as a Trading Analyst sometime ago on a linear rates desk and I am glad I found this book at the right time. It's very different from other trading books I have read. The balance between theory and practice is spot on . The programming bit is especially refreshing to have some hands-on practice.I would highly recommend this book for anyone working with IRDs. 5 STARS !!

Book explains everything about interest rates and derivatives