Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps - Softcover

Darbyshire, J Hamish M

Softcover

ISBN 10: 099545552X ISBN 13: 9780995455528

Publisher: Aitch & Dee Limited, 2017

Synopsis

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.

Learn more at TradingInterestRates.com..

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.

About this title

About the Author

J H M Darbyshire first studied mathematics at the University of Nottingham, becoming valedictorian of his graduating class. He went on to join the fixed income trading team at Barclays Capital in London, quickly establishing his position as a sterling bond and IRD trader. There he honed his skills and was instrumental in shaping Barclays curve and risk model design, as well as successfully trading outright and basis markets throughout the years of the financial crisis and central bank quantitative easing. Within Barclays he expanded his role to become discretionary manager of a G7 bond, TRS and IRD portfolio. This gave him unique exposure to the financial instruments upon which his books are focused. Later he travelled to Stockholm to spend more time with his Swedish family. This period gave him the opportunity to complete his MSc in mathematics and to author his first publication "Pricing and Trading Interest Rate Derivatives". He has since returned to portfolio management in Scandinavia at Nordea Markets specialising in euro IRDs as part of a linear and non-linear product team.

Review

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. Additionally, it is suitable for those looking to either deepen their knowledge in the sector or for newcomers needing a solid foundation from which to learn.
Trevor Pugh, Head of Sterling Rates, HSBC Plc. and Advanced Visiting Fellow, University of Sheffield
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. It is complimented by a thorough technical understanding, that has obviously been enhanced whilst working in one of the top investment banks alongside many of the industry's best quantitative analysts and market-makers. Overall, a great success.
Kevin Marsh, Head of Sterling IRS Broking, TP-ICAP Plc.
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 highly 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.
Emil Larsson, Trading Analyst, Nordea Markets

Edition details

• Publisher: Aitch & Dee Limited
• Publication date: 2017
• ISBN 10: 099545552X
• ISBN 13: 9780995455528
• Binding: Paperback
• Language: English
• Number of pages: 412