Book

Low Latency Interest Rate Markets
Theory, Pricing and Practice

Available from Amazon UK
https://www.amazon.co.uk/dp/9994985949

Available from Amazon USA
https://www.amazon.com/dp/9994985949

Available from Eliva Press
Email info@elivapress.com for 10% discount
https://www.elivapress.com/en/book/book-9161981805/

Support Materials, C++ & Excel Examples
https://github.com/nburgessx/SwapsBook

Interest Rate Markets
The primary function of interest rate markets is to bring together borrowers and lenders to facilitate the financing of government and corporate projects. It is a market that facilitates more than USD 370 trillion of funding solutions globally. Large scale government and corporate projects carry considerable risk for which interest rate markets provide a wide variety of solutions. Interest rate swaps fix borrowing costs and protect domestic investors from interest rate risk, whilst cross currency swaps protect foreign investors from FX risk. The market provides credit default swaps to protect against counterparty payment defaults and asset swaps provide a fund raising solution to invest in bonds.

Why the need for speed and low latency?
The interest rate market is primarily an USD 81 trillion electronic market. It is a highly liquid market where transactions take place in real-time with high precision and tight bid-offer spreads of typically 1/10th of a basis point. Consequently, financial service providers, market makers and high frequency traders must compete accurately and at high speed.

Why purchase this book?
This book shares my insights as an experienced and successful Quant and market practitioner. The analytics I have built at several major financial institutions has been of the highest quality, accuracy and speed. If on a standard desktop in Excel I have been able to compete in interest rate markets and perform calculations in micro-seconds, imagine how my analaytical solutions perform on a server with sophisticated hardware or on the cloud (certainly nano-seconds or better).

Brute force hardware or cloud solutions may provide speed, but at high financial cost and often miss signifnificant optimizations. The secret sauce and key ingredient to low latency lies in having a detailed understanding of the markets and products on a micro-level to heavily optimize calculations before applying hardware solutions. The majority of pricing and risk calculations can be fundamentally reduced to trival calculations. This is achieved by understanding how to reduce model, portfolio pricing and risk calculations into a state where we can precompute and store the majority of the calculation as static data that does not require continuous recomputation to track the market.

To compete and succeed in interest rate markets, one must pay attention to the details, which on the surface appear straight forward and trivial, but few look deeper into how to bypass the majority of the calculation. My book demonstrates these techniques and provides examples. I have succeeded in applying these concepts for major financial institutions. Not only do my solutions offer precision and low latency, but they are also low cost and acccessable to all. The world-class analytics I build outperforms competitors who overlook these details as trivia and often insist pricing and risk systems have no state and a low memory footprint.