Fixed-Income
IB
(Baboon, 107
Points)
on 6/16/11 at 12:19am
anybody know of any good books on fixed-income trading? just looking for a summer read in preparation for a fixed-income class I'm taking in the fall.





Fabozzi's Handbook of Fixed
Fabozzi's Handbook of Fixed Income Securities is great/comprehensive but somewhat of an encyclopedia. Do you have a specific topic you're interested in/want to learn about?
There have been many great comebacks throughout history. Jesus was dead but then came back as an all-powerful God-Zombie.
Fabozzi is usually
Fabozzi is usually mentioned.
Although it focuses on mortgages Salomon Smith Barney Guide to Mortgage Backed Securities is a strong choice. It has a strong chapter on duration and covers the MBS and ABS universe in a very clear language with excellent examples which might be helpful as you can see how different fixed income instruments might be structured and how their cashflows might be affected...senior debt, mezz debt, callable, ect.
If you are just starting fixed income you need to learn/know the below topic/terms cold. They will be the foundation on which all fixed income is based.
1. Duration--how it is calculated, what it is, what it is used for (one of the key reasons I suggested MBS book). Also the factors that affect it. If rates selloff, duration does??? Lower coupon means????, ect
2. Yield Curve
3. Capital Structure
4. Cashflow waterfall---the basis of all life in the universe
The first few chapters of any fixed income book will cover those topics, but you should really get down deep into them and start calculating DV01s and hedge ratios, ect so that you understand it better. Duration doesn't mean anything until you start to use it.....trust me.
"Greed, in all of its forms; greed for life, for money, for love, for knowledge has marked the upward surge of mankind. And greed, you mark my words, will not only save Teldar Paper, but that other malfunctioning corporation called the USA."
Fixed Income Securites by
Fixed Income Securites by Bruce Tuckman. Much more enjoyable read than Fabozzi, although Fabozzi is more comprehensive. IMO read Tuckman, leave Fabozzi as a reference book.
Are any of Fabozzi's fixed
Are any of Fabozzi's fixed income books worth reading beyond the Handbook?
I am reading a great book
I am reading a great book now.
Interest Rate markets - A Practical Approach to Fixed Income by Siddhartha Jha
-Very easy to understand
-Focuses on intuition over calculations
-Does not put me to sleep.
Money never sleeps, so why should you?
How about swaps or other
How about swaps or other macro rate stuff?
"All I've ever wanted was an honest week's pay for an honest day's work."
thanks Gekko21. I got a
thanks Gekko21. I got a pretty good intro into duration, yield curves and capital structure in my corp finance class. I was looking for a read that expands on these fundamentals and gets into derivatives like swaps, interest rate caps, floors, and options on options. it seems like fabozzi's book is the go-to read here so I'll prob go pick that up.