Fixed Income Analytics

Rating:
Summary: Excellent for both academic and practitioners
Review: Garbade's book is an excellent reference for those who need insight in the measurement and management of interest rate risk. The author's description of duration moments and its use in portfolio immunization are superb. Garbade is, together with S. Nawalkha, Donald Chambers and Robert Reitano, one of my favourite author's in the fixed income area.

Rating:
Summary: Wonderful but outdated
Review: I'll be joining a fixed income trading desk in a few months and picked up this book to gain some additional insights. If you have some exposure to the fixed income markets, this book will do a wonderful job of supplementing that knowledge. The chapters on pricing the roll, determining richness/cheapness to the curve, and financing (i.e., repo) are invaluable. As another reader mentioned, the writing is a bit outdated, but it still provides a lot of good information. I think it also focuses too much on Macaulay duration at the outset, leaving aside the more often-used DV01 (Garbade refers to it as "value of a basis point") until much later. Still, there are few good books on the subject of fixed income markets, and this is definitely one of them.

Rating:
Summary: Wonderful but outdated
Review: I'll be joining a fixed income trading desk in a few months and picked up this book to gain some additional insights. If you have some exposure to the fixed income markets, this book will do a wonderful job of supplementing that knowledge. The chapters on pricing the roll, determining richness/cheapness to the curve, and financing (i.e., repo) are invaluable. As another reader mentioned, the writing is a bit outdated, but it still provides a lot of good information. I think it also focuses too much on Macaulay duration at the outset, leaving aside the more often-used DV01 (Garbade refers to it as "value of a basis point") until much later. Still, there are few good books on the subject of fixed income markets, and this is definitely one of them.

Rating:
Summary: A classic, despite being somewhat dated
Review: This is a superb collection of papers which were years ahead of their time in the 1980s and are still highly relevant. The discussion of yield curve dynamics is very insightful and based on firm theoretical and empirical foundations - more than can be said for nearly every fixed income text out there. In fact, I would recommend that anyone who wants to understand the yield curve should read this book and go through the exercise of updating its findings using 1990s data. Note that this book is not for beginners, and readers should be warned that some of the terminology has changed since the papers were written.