One of the biggest challenges in navigating today's fixed income markets is all the conventions. For day counts, there is Actual/Actual, Actual/365, 30E/360, etc. Depending upon the market, there are three different flavors of 30/360!  There are conventions for converting between prices and yields. There are settlement conventions, conventions for calculating accrued interest and much more.  For anyone who needs to navigate this thicket, Stigum's Money Market & Bond Calculations is a godsend. It details market conventions for fixed income instruments in major markets around the world. It's comprehensive. Instruments covered include corporate bonds, sovereign debt, agency and municipal debt, Fed funds, Repos, Eurodollar futures, FRA's, FRN's, swaps, commercial paper, CD's, options, BA's and medium term notes. There is a tremendous amount of practical information here with discussions of carry, short sales, riding the yield curve, duration & convexity, covered interest arbitrage, etc. There is also an extensive glossary of fixed income terms. 

Published in 1996, the book is somewhat dated. It preceded the emergence of the Euro. However, except for Krgin (2002), there is nothing like it.