Pricing and Trading Interest Rate Derivatives:

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.

Readers' Comments...

“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.”

“Darbyshire has written a book that could only be written by a highly experienced trader. The focus of each chapter is on the issues that matter day to day, while at the same time showing an obvious talent for clear explanation. He combines the knowledge of a high-level practitioner with the clarity and rigour of an academic. All of this makes 'Pricing and Trading Interest Rate Derivatives' the go-to text for both practitioners and academics alike.”

"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."

Description /Summary

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.