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The PRICING and TRADING of Interest Rate Derivatives.

A Practical Guide to Swaps.
By J H M Darbyshire

A comprehensive guide for pricing and trading linear interest rate derivatives. The author focuses on practical aspects, aided by numerous examples. A wealth of topics are covered including the basics of interest rate products, cash and collateral, curve modelling, single currency risks and risk modelling, cost-of-carry, value at risk (VaR), principal component analysis (PCA), reset risk, cross-currency swaps, multi-currency curve modelling, multi-currency risks, regulatory impact on pricing and earnings, using differing CSAs, and over-arching risk management techniques. Appendix entries complement the main text with the mathematics for clear instruction.

With over ten years of fixed income trading experience, comparing pre-financial crisis approaches with modern approaches, the author completely rewrites the literature. By choosing to focus directly on linear derivatives and omitting options and volatility this book provides a level of specific detail that none of the modern generalist derivatives books can give. This holistic approach offers the reader a host of different perspectives from which to appreciate pricing and trading. Almost everything included here is compulsory knowledge for a modern, successful, swaps trader or interest rate risk portfolio manager. 


  • “This is a book with sound structure. Darbyshire's goal of producing something that is practical, explanatory and ultimately very useful is well met. His all round trading experience of interest rate swaps and cross-currency basis swaps shines through and is complimented by a thorough technical understanding. Overall, a great success.”

    Head of Sterling IRS Broking, ICAP Plc.
  • “Darbyshire has written a book that could only be written by an individual who has traded a swaps portfolio at the highest level. The focus of each chapter is on the issues that matter in the day to day trading of swaps, while at the same time showing an obvious talent for clear and lucid explanation. He combines the knowledge of a high-level practitioner with the clarity and rigour of an academic. All of this makes 'The Pricing and Trading of Interest Rate Derivatives' the go-to text for both practitioners and academics alike.”

    Head of Sterling Rates Trading, HSBC Plc.