I haven't read Yue-Kuen Kwok's book, so it's hard for me to comment on it. Based on my personal experience, I'd recommend the following literature, depending on what you're trying to accomplish:
If you're on the quant-path, I think a lot of practitioners would recommend
Interest Rate Models – Theory and Prctice (Damiano Brigo & Fabio Mercurio): This is a very heavy book, but it covers a lot of material. Also if you only care about term structure modeling, you really just need to go over a few chapters. The book is extremely well written – easy to follow, concise, and full of examples.
Andersen & Piterbarg's Interest Rate Modeling: These three volumes are better kept as references, but they're very detailed and discuss some of the latest developments in term structure modeling (e.g., multi curve construction techniques).
If you're looking for a less rigorous treatment of the material, I'd recommend
- Fixed Income Securities: Valuation, Risk, and Risk Management (Pietro Veronesi): A few of my friends who did MFE programs used this book as their FI textbook; I read through it very quickly. It has a lot of typos..., but overall, it's still an excellent book. Much much easier to follow then the two above, but full of examples and real life applications.
Finally, I'd also recommend
- Fixed Income Securities: Tools for Today's Markets (Bruce Tuckman): There's a third edition now, but I much prefer the 2nd edition. The 2nd edition doesn't discuss models such as the Libor market model, but from a pedagogical perspective, it's much better written. The strength of the book is that it goes over a lot of market conventions that other books tend to ignore – and in real life trading, these details are exceptionally important. The trading examples are really well explained. If you're trying to gain perspectives on how practitioners (traders & strats) think about the market, this book is a must-read in my opinion. However, this is the least rigorous of the books I'm listing here, and doesn't go into the details of term structure modeling. It does provide lots of intuitions behind the models, so it makes a nice complement to other books.