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.