Hi all, I’m wondering what you guys would recommend as good learning material for rates vol trading on the sell side (buy side specific stuff is probably helpful too tho). We do cash bonds, bond futures, sofr futures, sofr swaps, etc. and of course vol on top of all of those as underlying, as well as some exotic stuff but less so (mainly vanilla swaptions and bond/sofr future options). I’ve read the natenberg options book as well as baird option market making. I’d say my grasp of options is a solid foundation, now just looking to apply it more to the rates underlying. Any recommendations are helpful! Thanks guys!
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By far the best guide I've personally found is BofA's rates vol primer. I've got a PDF I can PM to you (or otherwise probably isn't too hard to dig it out...)
Yes pls pm me
Hi! Could I please get it as well?
S
Would love to snag that as well if possible!
hi can you pls pm me also? Appreciate!
Guys, yieldcurvemonkey posted a link to it literally just below...
If you could PM to me as well, it would be much appreciated!
Thanks!
BofA Primer: https://github.com/yieldcurvemonkey/Curvy-CUSIPs/blob/main/research/Pri…
Hagen SABR paper: https://github.com/yieldcurvemonkey/Curvy-CUSIPs/blob/main/research/Non…
Trolle Swaption Cube paper: https://github.com/yieldcurvemonkey/Curvy-CUSIPs/blob/main/research/Non…
Nomura Vol RV Primer: https://github.com/yieldcurvemonkey/Curvy-CUSIPs/blob/main/research/Non…
JPM Midcurve Primer: https://github.com/yieldcurvemonkey/Curvy-CUSIPs/blob/main/research/Non…
Hagen Cube construction paper: https://github.com/yieldcurvemonkey/Curvy-CUSIPs/blob/main/research/Non…
BBG Vol Cube white paper: https://github.com/yieldcurvemonkey/Curvy-CUSIPs/blob/main/research/Non…
JPM Conditional trades primer: https://github.com/yieldcurvemonkey/Curvy-CUSIPs/blob/main/research/Non…
JPM YCSO primer: https://github.com/yieldcurvemonkey/Curvy-CUSIPs/blob/main/research/Non…
theres also some really good threads on quant finance stack exchange - anything from dm63, Attack68, AKdemy is required reading
wish you the best for your career bro
🙏
Did not expect to see my thesis supervisor referenced on here! Cheers, thanks for sharing the repo, super interesting material on there.
How are you just an intern?
Have you ever disappointed a French quant by forgetting how to implement Le Floc’h bp vol from scratch?
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