Pricing and Trading Interest Rate Derivatives is popular PDF and ePub book, written by J Hamish M Darbyshire in 2022-08-07, it is a fantastic choice for those who relish reading online the Uncategoriezed genre. Let's immerse ourselves in this engaging Uncategoriezed book by exploring the summary and details provided below. Remember, Pricing and Trading Interest Rate Derivatives can be Read Online from any device for your convenience.
Pricing and Trading Interest Rate Derivatives Book PDF Summary
The most professional and industry relatable text currently available for linear interest rate derivatives. 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 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, updated for a risk free rate (RFR, such as SOFR and ESTR) framework as opposed to LIBOR. 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. This third edition (2022) markedly expands the second edition (2017), by not only providing extensive analysis but also building up a modern codebase, step-by-step, in Python. It constructs and solves interest rate curves and goes on to implement risk and cross-gamma calculations, demonstrating the implementation of automatic differentiation for superior efficiency. Read more at https: //github.com/attack68/book_irds3. 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.
Detail Book of Pricing and Trading Interest Rate Derivatives PDF
- Author : J Hamish M Darbyshire
- Release : 07 August 2022
- Publisher : Aitch & Dee Limited
- ISBN : 0995455538
- Genre : Uncategoriezed
- Total Page : 0 pages
- Language : English
- PDF File Size : 12,6 Mb
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