Interest Rates Book?
What's a good book on interest rates? Specifically trading, bonds, etc and something that's not in textbook format. Thank you!
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http://www.amazon.com/Interest-Rate-Markets-Practical-Approach/dp/0470932201/ref=sr_1_1?ie=UTF8&qid=1389850847&sr=8-1&keywords=interest+rate+markets
any books that describe the basics of forecasting the yield curve? ie steepen vs flatten, butterfly trades?
^ seems solid, have you read it or just heard good things? Will order it soon
I've read the Jha book and it's good. It's easy to find a PDF copy online. I recommend that you buy it though to help the author out.
I have read some books on interest rate these books may help you, "A history of interest rate", Interest rate model etc...
Rates and yield curves... (Originally Posted: 12/20/2014)
Good books/articles/blogs/pdfs/white-papers on rates and yield curves?
More interested in qualitative analyses of rates and yield curves and interpreting them (aka profiting off of them) as opposed to a purely mathematical treatment.
Thx
Antti Ilmanen's "Understanding the Yield Curve" papers... 'Nuff said.
This.
Sure there's a repository of stuff somewhere on WSO. Some of the stuff I've been reading/re-visiting recently:
Fixed Income Securities by Tuckman - comprehensive treatment of rates, goes through the math but also has many practical examples and case studies. Broken down roughly by bond/curve basics, hedging techniques, and fixed-income products
Money Markets by Stigum - comprehensive treatment of money markets and funding. there's not a lot of math, as money markets aren't particularly quanty. may be a bit dated, lot of changes going on in the money markets. organization seemed a bit random, in the middle of it all is a chapter on the Federal Reserve and how to read them
Guide to Front End and Basis Swaps Markets (Credit Suisse) - pretty good primer on the front-end rates in derivatives space (as opposed to "cash" front-end instruments, e.g. repo, fed funds)
Treasury Bond Basis - appears very specialized at first, but is riddled with practical examples in bond math and trading. includes numerous examples on carry, mark-to-market gains/losses, hedge PnL, repo, curve behavior. naturally, as it's focused on futures-bond basis, book is geared towards relative value. whenever possible though, authors place behavior of bond-basis within its bond market context at the time. needless to say, bit out-dated since everything is pre-2005 (higher rates, higher vol)
Before you get to make money, you have to have at least some grasp of the fundamentals. That's what Ilmanen's papers are about. And yes, practitioners do think in these terms.
The Ilmanen papers are great! Is there any other author you guys would suggest?
Comment to follow
Looking for some Rates PDFs (Originally Posted: 11/15/2014)
Hello guys, I am looking for 3 PDFs that I have lost due to my stupidity. Over the years I have sent these to some of you, so if someone is still around any help would be greatly appreciated.
Pricing and Hedging Swaps - Miron & Swannell Interest Rate Swaps and their Derivatives - Amir Sadr The Treasury Bond Basis - Burghardt
I have "IRS and their derivative", but I'm not able to send you a private message
I can upload the first two books. I was never able to find Burghardt's books online.
sent you a pm
Thanks fixedincomekid. Bondholm, if you could send me the pricing and hedging swaps one it would be greatly appreciated.
hi guys. i work in the middle office and would really appreciate if you could kindly share the pdfs of the 3 books with me. love to be in the front office some day, but really want good background first. it would be SO helpful and my life a little less stressed!! pls, i'll name my kids after you :)
appreciate pm thks
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