Brigo, Fabio Mercurio - Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit

This is one of the most practical and approachable book on modelling Interest Rates Derivatives. Authors, renowned academics and practitioners present number of models with applications. The models from the frontier of knowledge are presented (also Credit and Inflation). Currently, this book is the best textbook on Interest Rate Derivatives (I consider it to be even better than Rebonato's book). It's absolutelly must have for any Interest Rate Quant/Quantitative Trader.