Pricing and Trading Interest Rate Derivatives:
A Practical Guide to Swaps.
Revised Edition, by J H M Darbyshire
A Practical Guide to Swaps.
Revised Edition, by J H M Darbyshire
The only industry standard benchmark guide for traders and risk managers.
The supporting textbook for finance modules at leading universities.
Written by a practicing IRD portfolio manager, and quantitative developer.
Accredited and recommended by industry professionals.
“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.”
"This is an invaluable resource that has helped me launch my career as an interest rate swap trader. It has been especially useful for bridging the gap between those too theoretical fixed income books and those light-on-content practical ones. Darbyshire includes material that simply doesn't exist elsewhere. The pedagogical examples and concise structure make this easily digestible and highly effective."
The most professional and industry relatable text currently available for linear interest rate derivatives. This revised edition markedly expands the first edition released in 2016, with revised content based on multiple recommendations from active portfolio managers.
Written by a practicing derivatives portfolio manager with over twelve 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. 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.
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.
from basic product specification to users of IRDs to curve building, become accustomed to the fixed income derivatives world.
a central concept of the book is risk and managment of risk. Understand modern theory, relating curve movements to accurate predictions of PnL and trading mentaility.
correlation and covariance are central components of trading. Learn how they can be used together with advanced concepts such as PCA and VaR.
be lead through the core concepts of active Basel III reforms and how they apply to IRDs.
familiarise yourself with the basics of swaptions and volatility pricing.
be introduced to the impact of gamma and cross-gamma for linear IRDs. See how their influence affects trading strategies and risk reward.
be clear about costs-of-carry and roll-down and systematically evaluate trading metrics accounting for risk reward with estimated parameters.