Where can I find a list of each currency's interest rate?
Like if you hold a position overnight (for example long on EUR/JPY) since the interest rate difference is positive you will make money
I'm sure this is probably available in trading platforms, but can someone provide an online link? Thanks
Look at the appropriate Libor rates (ie LIBOR, EURIBOR, etc)
FX & interest rate products resources (Originally Posted: 03/19/2011)
Anything you would recommend? I am looking for an introductory text.
The Handbook of Fixed Income Securities by Fabozzi is the bible of the rates world.
naw don't get that...
get Fixed Income Securities by Bruce Tuckman instead... It's 100 times better. Since you are a math/engineer background, if you look for more quantitative books like interest rate modeling, pm me.
how about foreign exchange?
I never really found a fantastic FX book and I work in it. Maybe someone else has some suggestions.
To each his own, but Fabozzi is what every rates desk would have you know like the back of your hand.
Revsly, have you ever checked out Foreign Exchange by Weithers?
http://www.Amazon.com/Foreign-Exchange-Practical-Markets-Finance/dp/047…
Great beginner book into the world of FX, covers a lot of practical knowledge and the various products (guy is a former trader who teaches the FX course at UBS to all the new hires). I always recommend this book when someone asks about FX.
I used to trade FX, and so far as I know, no such book exists.
The FX products are: Loans Depos Spot Forwards Forwards of Forwards Currency Swaps (not IR Swaps) Non-Deliverable Forwards Non-Deliverable Swaps Vanilla Options (European call and puts) One-Touch Barrier Options No-Touch Barriers Double-No-Touch Barriers
Hybrid (FX & Rates): Cross-Currency Swaps
Also, if you trade forwards, you need to know the following IR products: Vanilla IR Swaps FRNs FRAs STIRs Sovereign Debt (think cash bonds and repo)
And if you trade EM, you need to know: Sovereign CDS
Look each of them up individually, and know the basics. They'll teach you the rest on the desk. Basically, just learn how to price a swap. Can you take the NPV of an interest rate differential? Except for the options, you can trade just about everything else on that list with just that bit of knowledge.
start off with Investments by Bodie and friends
Fixed Income Securities by Pietro Veronesi and Fixed Income Markets and Their Derivatives by Suresh Sundaresan are the textbooks used at Wharton
Have not checked it out Gekko, on the options side we have our own internal book which is very useful.
As far as FX Products go, here are some additional ones (almost all volatility): Correlation Swaps Variance Swaps Volatility Swaps Forward-Vol Agreement (essentially a FRA on volatility)
For IRD, flavell is a good resource ive found
The Complete Guide to Capital Markets for Quantitative Professionals by Kuznetsov is a good if generalist overview, written from a different perspective
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