I'm tempted to say this is the Neftci (2000) of fixed income financial engineering. Read my review of Neftci to see what I mean. But the book is more. Its math is sometimes sloppy "hand waving," but it is detailed and practical enough to be useful to implementers. The book is mostly a vast survey of published term structure models. It includes useful topics, such as pricing with Fourier transforms, not mentioned in other books. While the authors target readers who struggle with stochastic calculus, anyone could find much of interest in its 700 pages ...