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The TG2 BS&IR Vol1: Products, Pricing, and Structuring book is the core volume in the BS&IR set.
It is unique in its approach. The entire presentation is from the perspective of "running your business", be it trading, sales, structuring, risk management, treasurer, etc. Focused on P&L and "why and how" the products exist and are used is constantly enforced so that trading, structuring, valuation and risk calculations are couched, first, in the "why" are we doing this, and then in the "how and how much" trading/rebalancing/risk.
Part I of the book includes a vast range of description from the participants, transaction mechanisms, market logistics, and also the broader back drop of how the markets came to be what they are, and thus why many of the real world idiosyncrasies exist, and what they mean. In addition, Part I includes all of the basic formulations for valuation, curve generation, risk/return concepts/measurements, and all the tools required for day-to-day market professionals.
Part II: provides detailed pricing, risk, and product description and calculations ... as required on a real trading floor, not simply what an academic needs to know. The detailed treatment includes a product range of virtually all important IR instruments, loans/deposits, notes/bonds, deposit futures, bond futures, FRA's/swaps, complex bonds/swaps, structuring, currency swap, asset swaps, etc. The valuation and formulas include IRR and zero-coupon methods, with software. In addition, there is attention to important though less glamorous details, such as handling of liquidity, contract definitions, regulatory requirements, ISDA masters, etc.
Although this volume details primarily non-contingent IR products, there is also ample discussion of options, structured hybrids, securitisation, credit derivatives, and cross-asset class structured (equity swaps, commodity swaps, etc.).
Part II concludes with several Chapter just for IR risk and position hedging/rebalancing (simple and full curve based methods), portfolio considerations/management, and trade ideas.
Registered owners of other TG2 products may be eligible for additional discounts,
but must first obtain "discount code", please contact
TG2Books@arbitrage-trading.com
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down in the 'trenches' - excellent and one-of-a-kind!
... Head of Prop Trading for a global trading house"
1,073 c o l o u r pages, soft cover,
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