Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps Darbyshire J. Hamish M.
The 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…
Specifikacia Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps Darbyshire J. Hamish M.
The 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
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