Interest rate products, curve building etc

frstwrldprblm · Post by **frstwrldprblm** » Thu Dec 23, 2010 12:39 am

@morphic

seems the bankers trust papers were compiled into a Fixed Income Analytics textbook. Can anyone touch on this book? Seems to have some pretty solid reviews.

Bank of Canada - Yield Curve Modeling

Lehman Swap Curve Paper

w***mott for ssb papers

Thanks again.

dgn2 · Post by **dgn2** » Thu Dec 23, 2010 1:42 am

The Fixed Income Analytics textbook is something I used to recommend when I was more involved in rates. The book is a little dated, but there is good coverage of tiny details like the mechanics of the repo/reverse repo that are often not covered elsewhere. I am not current when it comes to resources in this space, but that book was in my top 3 for what it is worth. The collection covers much of the basics including liquidity effects, spread construction (weighting, financing, etc...), sensitivity measures (duration and convexity), and some principal components stuff relating to fluctuations of the curve. I never found the PC stuff useful, but the rest was useful to me when I first started to specialize in rates.

The other book I really like that hasn't been mentioned yet is Flavell's 'Swaps and Other Derivatives'. There is a lot of good stuff to put the market in context and then it gets down to curve construction and pricing of plain vanilla swaps, basis swaps, cross currency basis swaps, and sensitivities. I actually liked the book so much that when a new addition of it was released recently I bought it even through I only trade FX and futures now. OTC interest rate derivatives were my first love. Hopefully, they will open up the way FX has some day. I would love to make fully automated markets in swaps some day.

Pob · Post by **Pob** » Thu Dec 23, 2010 2:59 am

Tuckman is very good for IR products, there's also another good one by Martellini which is more mathematical.

On the curve building no book is really going to do the trick, they're all very outdated.

They will get you started with the basics but the practicalities have completely changed since then.

Similarily for Ron and West & Hagan, necessary to know but nowhere near sufficient.

I have the old edition of Flavell and it is very useful and practical, plus it has examples on a disc.

I don't know what's in the new edition, whether he goes into the market changes and multiple curves etc.

Maybe you don't need that straight away.

There might be a few papers floating around but your best bet is to search for threads here and on W****tt.

I don't have the Piterbarg book but his preamble says it just gives a survey of the basics at the start rather than a detailed treatment.

But he does go much further so it could be useful to have what you need in a single source.

frstwrldprblm · Post by **frstwrldprblm** » Thu Dec 23, 2010 3:35 am

@Pob

mind specifying the martinelli book?

thanks

Pob · Post by **Pob** » Thu Dec 23, 2010 12:52 pm

Amazon.com

Looking at the reviews people seem to love it or hate it, but those that dislike it seem like CFA types who don't think the subject is 'mathematical'.

There's a review from James who posts here so you may think that a strong signal.