Fabozzi, Mann and Choudhry have written an excellent introduction to the money market. The book is highly readable and can be completed in a few sittings. This makes it perfect for someone who needs to come up to speed rapidly.

Coverage is broad, including Treasuries, agencies, corporate debt, financial institutions' debt, floaters, repos, short-term MBS and ABS, futures, FRA's, swaps, caps and floors. Foreign exchange is not covered. There are nice chapters on asset-liability management and on bank capital requirements.

Fabozzi, Mann and Choudhry use formulas sparingly to cover important pricing and yield calculations. These discussions are accompanied by Bloomberg screen shots that show the reader where the information is coming from. As you are reading, you can check the screen to see if an instrument uses an actual/actual or actual/360 basis. You can grab the current swap curve or check when a coupon is next paid. The screen shots put the examples in context and give the reader a sense of being there on a trading floor.