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There is a newer edition of this book available (3rd Edition: 7 August 2022) !!Written by a practicing derivatives portfolio manager with over fifteen years of fixed income trading experience, this book focuses on core trading concepts; pricing, curve building (single and multicurrency), risk, credit and CSAs, regulations, VaR and PCA, volatility, crossgamma, trade strategy analysis and market moving influences.The books focus is interest rate swaps and crosscurrency 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 marketmaker 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.
⚠️ WARNING (California Proposition 65):
This product may contain chemicals known to the State of California to cause cancer,
birth defects, or other reproductive harm.
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