Average Reviews:
(More customer reviews)Interest rate markets is a different book than many published for the rates space as it focuses on intuition. Unlike many rates books on the market, the aim is not to price complex securities, but rather to understand and forecast the movement of liquid rate products such as Treasuries, mortgages and swaps. There are very few equations in the book and the emphasis is on a logical thought process to forming views on rates.
The book starts out with an introduction to the wide range of liquid products traded in the rates space including bonds, swaps, and futures. Once the basics of these products have been described, basic frameworks around taking views on the outright direction of rates is described. This includes both very long term factors as well as short term data releases. After the basic framework is outlined, common types of rates trades are discussed which allow traders to express more specific views. Examples include swap spreads and carry trades which are not discussed frequently in other books. In addition to trades related to underlying securities, the book addresses interest rate options and their place in a rate portfolio. Finally, practical hedging strategies are expanded upon including pros and cons of using empirical methods such as regression.
Overall, I believe this book would be useful to anyone trying to gain a more intuitive understanding of interest rates and fulfills a needed niche in the space of fixed income books which tend to be either very model intensive or very basic in their discussion.
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How to build a framework for forecasting interest rate market movements
With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world.
Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business.
Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades
Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008
Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods
Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models
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