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

Darbyshire, J Hamish M

ISBN 10: 0995455538 / ISBN 13: 9780995455535

Published by Aitch & Dee Limited, 2022

About this Item

Seller Inventory # 402259346

Bibliographic Details

• Title: Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps
• Publisher: Aitch & Dee Limited
• Publication Date: 2022
• Language: English
• ISBN 10: 0995455538
• ISBN 13: 9780995455535
• Binding: Soft cover
• Condition: New

About this title

Synopsis

Pricing and Trading Interest Rate Derivatives is a practical, practitioner-focused guide to pricing, trading, and risk managing interest rate swaps and cross-currency swaps in modern fixed income markets.

Written by a portfolio manager with twenty years of trading experience, this book explains how swaps are actually priced, hedged, and managed on real desks — bridging the gap between academic theory and day-to-day market practice.

Ideal for:
• swaps traders and fixed income professionals
• quantitative analysts and risk managers
• graduate students in financial engineering
• CFA and FRM candidates

You will learn how to:
• price and value interest rate swaps and cross-currency swaps,
• bootstrap yield curves and build single- and multi-curve frameworks,
• implement SOFR/RFR discounting in modern collateral models,
• measure delta, basis, gamma, and cross-gamma risk,
• construct hedges and trading strategies,
• calculate VaR and apply PCA to portfolio risk,
• implement curve construction and risk analytics step-by-step in Python,

This expanded third edition includes a modern Python codebase that demonstrates curve building, risk calculations, and automatic differentiation for efficient quantitative workflows.

Clear, practical, and market-driven, this book has become a trusted reference for professionals working in interest rate derivatives.

Topics include curve construction, risk modelling, regulatory capital, electronic trading, volatility and swaptions, and portfolio risk management. For a full chapter breakdown see the "preview mode" available on Amazon.