Book Recommendations for USD Interest Rate Swap Trading and Risk

Summary

The document recommends three books for someone beginning to trade USD interest rate swaps. It presents a general derivatives textbook as broad foundational reading, while noting that it offers limited focus on swaps, rates trading, or risk management. A second book is described as emphasizing volatility and exotic products more than practical swap trading.

The most directly relevant recommendation is a book on pricing and trading interest rate derivatives. The answer says it covers collateral support annexes, multicurrency effects, curve development, and post-crisis risk management processes, drawing on the author's experience as a rates trader. These are recommendations and brief personal assessments, not a comparison based on systematic evidence. The document provides no trading strategies, pricing examples, or guidance for evaluating whether the material suits a particular market role or level of experience.

Key ideas

• A general derivatives textbook can provide foundational knowledge but has limited focus on interest rate swaps.
• The recommendations differ in their emphasis on rates, volatility, exotic products, and trading practice.
• The most targeted book is described as covering swap pricing, curve construction, collateral, and risk management.
• The advice consists of brief personal recommendations rather than a structured evaluation of the books.

Tags

# Basic question on USD Interest Rate Swap


# Basic question on USD Interest Rate Swap












I am just starting out as a rates and derivatives trader.

Can someone please recommend some books for trading USD interest rate swaps (including risk management)?

Any additional guidance would be deeply appreciated!

## Answer by Attack68 (score 5, accepted)

https://quant.stackexchange.com/a/43252

There are 3 main books:

Hulls: Options Futures and Other Derivatives - This is a generalist introduction. It doesn't have a rates focus and less a focus on trading or risk management or interest rate swaps. But you should read it and own it anyway. Everyone in finance is basically expected to know this.

Corb - Interest Rate Swaps and Other Derivatives - To be honest I dont like this, it has minimal swaps info and most is focused on volatility and exotic products that no one trades anymore.

Darbyshire (this is my book) - Pricing and Trading Interest Rate Derivatives - Written by an ex-Barclays IRS trader who helped develop their curves and risk management processes after the 07 crisis so gives an overview of CSAs and multi-currency effects, and how their risk management systems worked. This seems to be what you are after.

All are available on Amazon

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.