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Samsaveel
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Posts: 33
Joined: April 20th, 2008, 5:47 am

Interest rate Swaps

June 28th, 2010, 4:25 pm

what are the best books on the subject,that after reading it ,it will give you a feel of how to risk manage a book of vanilla IRS and CCy Swaps.Modelling them /c++ code and all the relavant topics on them creaturesalso any excellent books on Greeks.Many thanks,
 
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qhedge
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Joined: November 26th, 2004, 6:14 am

Interest rate Swaps

June 29th, 2010, 6:11 am

I quite like the new edition from Flavell.
 
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piterbarg
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Joined: October 29th, 2002, 6:42 pm

Interest rate Swaps

July 13th, 2010, 9:01 pm

the best book on all IR modeling thingsVladimir
 
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Samsaveel
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Posts: 33
Joined: April 20th, 2008, 5:47 am

Interest rate Swaps

July 19th, 2010, 4:43 pm

okay,i Bought Flavel a nice book indeed,and i quite like the amir sadr book,but neither has a c++ code for even how to price a vanilla IRS,any other books that might have c++ code?thanks
 
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Samsaveel
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Posts: 33
Joined: April 20th, 2008, 5:47 am

Interest rate Swaps

July 19th, 2010, 4:45 pm

okay,i Bought Flavel a nice book indeed,and i quite like the amir sadr book,but neither has a c++ code for even how to price a vanilla IRS,any other books that might have c++ code?thanks
 
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Cuchulainn
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Interest rate Swaps

July 19th, 2010, 7:08 pm

Instead of using someone else's C++ why not implement Flavell's IRS yourself? if you know the procses/algo then this would be a good way to kick the tyres.
 
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Cuchulainn
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Interest rate Swaps

July 19th, 2010, 7:10 pm

QuoteOriginally posted by: piterbargthe best book on all IR modeling thingsVladimirSams would love to have C++ code. If there is detailed algo structure then it should be doable?
 
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Samsaveel
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Posts: 33
Joined: April 20th, 2008, 5:47 am

Interest rate Swaps

July 20th, 2010, 1:12 am

Thanks Cush for your input,I am really considering a course in C++ in london.if you have any pointers .that will be great.cheers.
 
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Cuchulainn
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Interest rate Swaps

July 24th, 2010, 6:53 pm

QuoteOriginally posted by: SamsaveelThanks Cush for your input,I am really considering a course in C++ in london.if you have any pointers .that will be great.cheers.Here are some courses and dates
Last edited by Cuchulainn on July 23rd, 2010, 10:00 pm, edited 1 time in total.
 
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renorm
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Joined: February 11th, 2010, 10:20 pm

Interest rate Swaps

July 24th, 2010, 11:08 pm

Vladimir,How your book compares to Brigo&Mercurio? The TOC looks very impressive. I read the sample chapter and liked the way you explain technical details important for implementation.
 
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piterbarg
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Joined: October 29th, 2002, 6:42 pm

Interest rate Swaps

July 29th, 2010, 1:56 pm

QuoteOriginally posted by: renormVladimir,How your book compares to Brigo&Mercurio? The TOC looks very impressive. I read the sample chapter and liked the way you explain technical details important for implementation.I am clearly biased so not the best person to do a thorough comparison. But if you want my, very biased, opinion, ours is both much broader and deeper, and really focuses on details important for production-quality implementationVladimir
 
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Samsaveel
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Joined: April 20th, 2008, 5:47 am

Interest rate Swaps

July 30th, 2010, 3:05 am

Thanks Cuch/Piterbrag.....
 
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slops
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Joined: October 11th, 2007, 9:52 am

Interest rate Swaps

August 11th, 2010, 9:33 am

Maybe I am a bit off but it might be good to google "THE IRONY IN THE DERIVATIVES DISCOUNTING PART II: THE CRISIS" by MARC HENRARD (also check his references) - maybe we stand in the middle of a change here..?