Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps

Pricing and Trading Interest Rate Derivatives is a practical, practitioner-focused guide to pricing, trading, and risk managing interest rate swaps and cross-currency swaps in modern fixed income markets. Written by a portfolio manager with twenty years of trading experience, this book explains how swaps are actually priced, hedged, and managed on real desks — bridging the gap between academic theory and day-to-day market practice. Ideal for: • swaps traders and fixed income professionals • quantitative analysts and risk managers • graduate students in financial engineering • CFA and FRM candidates You will learn how to: • price and value interest rate swaps and cross-currency swaps, • bootstrap yield curves and build single- and multi-curve frameworks, • implement SOFR/RFR discounting in modern collateral models, • measure delta, basis, gamma, and cross-gamma risk, • construct hedges and trading strategies, • calculate VaR and apply PCA to portfolio risk, • implement curve construction and risk analytics step-by-step in Python, This expanded third edition includes a modern Python codebase that demonstrates curve building, risk calculations, and automatic differentiation for efficient quantitative workflows. Clear, practical, and market-driven, this book has become a trusted reference for professionals working in interest rate derivatives. Topics include curve construction, risk modelling, regulatory capital, electronic trading, volatility and swaptions, and portfolio risk management. For a full chapter breakdown see the "preview mode" available on Amazon.