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“A comprehensive study of the theoretical (and philosophical) underpinnings of fixed income relative value while, at the same time, being of great practical use. The depth of analysis here is well beyond fixed income standard textbooks while being accessible to students and practitioners with even a limited mathematical background. A must read for analysts, portfolio managers and traders in today’s fixed income markets.”

Christian Carrillo

Director, Macro and Fixed Income Strategist, Emerging Markets Asia, Blackrock

A D V A N C E     P R A I S E    F O R

F I X E D   I N C O M E    R E L A T I V E     V A L U E



“Fifteen years ago, Huggins and Schaller established the modern paradigm for modeling swap spreads. In Fixed Income Relative ValueAnalysis, they extend that work to reflect subsequent changes in the market, such as the post-crisis deterioration in the credit of many sovereign issuers and the impact of the greater haircuts charged by clearing houses and swap counterparties. While grounding their financial and statistical models in theory, the authors illustrate their application with numerous practical examples derived from their many years of experience in the business. Taken together, this is a treasure trove of essential tools for professional relative value traders and analysts.”

Antti Ilmanen

Managing Director, AQR Capital Management

Author of Expected Returns




"This welcomed book walks the professional through a clear and detailed understanding of the most basic concepts in a digestible manner that is far too rare in financial literature.  From that solid grounding the authors take you though both theory and application of the broad concept of relative value and if a macro strategist like me can come away with a series of 'ah hah!' moments the trading community at large will get even more.  As we close in on the end of this Fed cycle the timing of this book and the impending uptick in relative value opportunities couldn’t be better."

David Ader

Head of Government Bond Strategy, CRT Capital Group

Former Head of Global Rates Strategy at RBS and Greenwhich Capital

#1-ranked for Government Bond Strategy by Institutional Investor for the past seven years



As western governments issue increasing amounts of debt, the fixed income markets have never been more important. Yet the methods for analyzing these markets have failed to keep pace with recent developments, including the deterioration in the credit quality of many sovereign issuers.


In Fixed Income Relative Value Analysis, Doug Huggins and Christian Schaller address this gap with a set of analytic tools for assessing value in the markets for government bonds, interest rate swaps, and related basis swaps, as well as associated futures and options.


Taking a practitioner’s point of view, the book presents the theory behind market analysis in connection with tools for finding and expressing trade ideas. The extensive use of actual market examples illustrates the ways these analytic tools can be applied in practice.


The book covers:


  • Statistical models for quantitative market analysis, in particular mean reversion
    models and principal component analysis.
  • An in-depth approach to understanding swap spreads in theory and in practice.
  • A comprehensive discussion of the various basis swaps and their combinations.
  • The incorporation of credit default swaps in yield curve analysis.
  • A classification of option trades, with appropriate analysis tools for each category.
  • Fitted curve techniques for identifying relative value among different bonds.
  • A multi-factor delivery option model for bond future contracts.


Fixed Income Relative Value Analysis provides an insightful presentation of the relevant statistical and financial theories, a detailed set of statistical and financial tools derived from these theories, and a multitude of actual trades resulting from the application of these tools to the fixed income markets. As such, it’s an indispensable guide for relative value analysts, relative value traders, and portfolio managers for whom security selection and hedging are part of the investment process.