This page lists various historically relevant papers, hosted for fun, and free of charge. If you find anything here entertaining or useful then please consider supporting our caffeine habit.
This classic document covers spot transactions, forwards, swaps, and options. Designed for traders, it includes practical examples, calculations, and scenarios that illustrate how to manage positions and understand market conventions. While some operational aspects (e.g., manually filled paper order tickets) are out-of-date we consider these to be some of the highlights of the manual.
This document is intended to be a reference guide for sales people engaging in Repurchase Agreements. It provides information on the repo product, ledgers, sales credit schedule, credit risk management and margin issues, booking systems and documentation.
This paper explains duration and convexity in a non-mathematical framework. It illustrates the correct use of duration for hedging, swapping, and arbitrage. Finally, it demonstrates alternative weighting tools (price value of a basis point and yield value of 1/32).
The Salomon Brothers' "Understanding the Yield Curve" series (1995) remains influential in fixed-income markets for introducing sophisticated yield curve analysis concepts to practitioners. The series popularized key concepts like forward rate analysis, duration extension strategies, and convexity bias among institutional investors and portfolio managers. Its clear explanation of complex fixed-income mathematics helped establish modern yield curve trading and relative value frameworks still used today.