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pricing and trading interest rate derivatives: a practical guide to swaps (By by J. H. M. Darbyshire)

Table of Contents

1) Mathematical Review: calculus, linear algebra, statistics and optimisation.
2) Interest Rates: definitions and common nomenclature.
3) Basics of Interest Rate Derivatives: product specifications and trading mechanics.
4) Users of Interest Rate Derivatives: market context.
5) Cash, Collateral and Credit: underpinning necessities for pricing and valuation.
6) Single Currency Curve Modelling: general curveset construction principles.
7) Multi-Currency Curve Modelling: necessary components to construct curves across currencies.
8) Term Structure of Interest Rate Curves: different real world factors that drive the shapes of curves.
9) Delta and Basis Risk: definitions of financial sensitivity to market movements.
10) Risk Models: different perspectives of risks and transformations between them.
11) Quant Library and Automatic Differentiation: an introduction to coding Swaps, Curves and Solvers using AD.
12) Advanced Curve Building: using flexible parameter sets to construct curves around market effects.
13) Multi-currency Risk: how to view risks across currencies arising from different effects.
14) Value At Risk: what is VaR and how to calculate and use it.
15) Principal Component Analysis: what is PCA and how to calculate and use it.
16) Customised Risk Management: how market makers allocate risks in their portfolio for ease of management.
17) Regulatory Capital, Leverage and Liquidity: a summary of regulations that shape the IRD market.
18) Market-making and Price-Taking: an overview of the market making process including margin considerations.
19) Electronic Trading: issues involved with latency and transforming subjective processes to algorithms.
20) Swaptions and Volatility: a summary of swaptions including quoting conventions and general considerations.
21) Gamma and Cross-Gamma risks: analysis of the second or risks of linear IRDs.
22) Analytic Cross-Gamma: mathematical extension of 21)
23) Constructing Trade Strategies: directionality hedges, carry and roll-down analysis and Sharpe ratio.
24) Reset Risk: how to manage daily fixing risk e.g. for Euribor, Stibor, etc. or Term-RFRs.