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ACI DIPLOMA

(7-day programme / delegate fee 19.500 DKK)
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DAY 1
(Day 1 is extremely intensive.  Candidates should be familiar with much of this material, as they will already have passed the Dealing Certificate or have equivalent experience)
 
The Foreign Exchange Market
 
  • Spot exchange rates, reciprocal rates and cross-rates
  • Roles of market-makers, brokers and electronic broking
  • Forward outrights and their uses
the relationship with the money markets
 
  • Forward swaps
premiums and discounts
cross-rate swaps
what is a swap deal?
settlement rates
historic rate rollovers
hedging forwards via deposits
 
  • Covered interest arbitrage and hedging a swap in the deposit market
  • Short dates
daily rollover of positions
 
  • Position-keeping: average rate, net position, and profit/loss
  • Forward-forward rates
  • NDFs
  • Time options
  • Value dates and broken dates
interpolation
 
  • Long-dated foreign exchange forwards
 
The Money Markets
 
  • Time value of money, present value / future value, NPV
  • Calculation of simple yield on an investment
  • Simple and compound interest
  • Annual and semi-annual equivalent yields
  • Cash loans and deposits
reference fixing rates, LIBOR, EURIBOR
calculation of EONIA
yield curve shapes and theories
 
  • Day / year conventions
converting between ‘bond’ and ‘money market’ yields
 
  • Certificates of deposit
calculation of settlement amounts
price / yield relationship
accrued coupon, capital gain/loss
domestic, foreign, and Euro securities
 
  • Discount instruments
T-bills, commercial paper, bills of exchange
 
  • Discount instruments
T-bills, commercial paper, bills of exchange
calculation of settlement amounts
discount / yield calculations
 
  • Comparison of yields quoted according to different conventions
 
Forward-forwards and FRAs
 
  • Forward-forward interest rates
  • The yield curve
  • FRAs
the mechanics
uses by borrowers, depositors and position-takers
documentation and rate-fixing
 
  • Arbitraging with FRAs and FX
 
Homework

Diploma workshop
DAY 2
 
 
Review of previous day's homework
 
The Futures Markets
 
  • Pricing interest rate futures
  • The futures markets
the mechanics of trading
tick values
currency futures markets
futures compared to OTC markets
 
  • Trading strategies
calendar spreads
futures strips
butterfly, condor
calculation of P/L
 
  • Arbitrage between FRAs and futures
  • Hedging a FRA with futures
strip hedge, stack hedge, basis risk
calculation of FRA rate and hedge
 
  • Hedging forward-forward FX using FRAs and futures
  • Basis
definition and calculation of basis, theoretical basis and value basis
convergence
 
  • Convexity problem
  • Volume and open interest
calculation of open interest
 
Bond Markets
 
  • Bond characteristics
domestic, foreign and Euromarket issues
floating rate, asset-backed, warrants, convertibles
settlement
 
  • Price / yield relationship for bonds
NPV and IRR concepts
clean and dirty prices, accrued interest
yield to maturity
day / year conventions
current and simple yield
calculation of theoretical bond price for annual and semi-annual bonds
calculation of theoretical bond price on a non-coupon date
 
  • Zero-coupon bonds
bond STRIPs
 
  • Zero-coupon yield calculations
bootstrapping ytm to zeros
valuation of a bond
calculation of par yield from zeros
 
  • Bond futures
cash-and-carry arbitrage
 
  • Price sensitivity of bonds
calculation of duration and modified duration, annual and semi-annual bonds
calculation of portfolio duration and modified duration
hedging a bond position
 
  • Rating systems
 
Homework

Diploma workshop
DAY 3
 
 
Review of previous day's homework
 
Repos, Sell/Buy-Backs and Securities Lending
 
  • Classic repo
market conventions and terminology
pricing
general v. special collateral
margin
marking to market
substitution
cross-currency repos
triparty v. bilateral v. hold-in custody repos
documentation
 
  • Users, applications and examples of repos
  • Buy/sell-backs
pricing the buy / sell-back structure
coupons
close-out and re-pricing
 
  • Securities lending
comparison with repo and buy/sell-back
 
  • Synthetic repo structures
 
Homework

Diploma workshop
DAY 4
 
 
Review of previous day's homework
 
Interest Rate Swaps
 
  • Concepts and swap pricing
comparative advantage
 
  • Mechanics of swaps
  • Applications, asset and liability swaps
  • Price quotation
day / year payment basis and calculations
annual and semi-annual
spread over Treasuries
 
  • Calculating all-in cost of borrowing / all-in return on an asset swap
  • Settlement calculations
  • Swap structures
basis swaps
constant maturity
OIS
total return
 
  • Hedging swap positions
  • Valuation
the use of zero-coupon yields
 
  • Creating a 12-month swap from a strip of futures / FRAs
 
Currency Swaps
 
  • NPV and swap pricing
  • Applications
  • Comparison with foreign exchange forwards
  • Settlement calculations
 
Homework

Diploma workshop
DAY 5
 
 
Review of previous day's homework
 
Currency and Interest Rate Options
 
  • Basic concepts, definitions and terminology
  • Pricing
underlying concepts
historic and implied volatility
limitations of Black & Scholes
'European' and 'American' options
binomial models
different ways of quoting a currency option price
 
  • Historic and market volatility
  • Put / call parity
synthetic forwards
 
  • Exchange-traded options
price quotation
margin
 
  • Profit / loss of a position
  • Trading strategies
spread
straddle
strangle
risk reversal
butterfly
 
  • Interest rate hedging
IRGs, caps, floors, collars and zero-cost structures
 
  • Hedging a cap / floor from calls and puts
  • Survey of exotic options
barrier, Asian, swaption, compound, binary
 
  • Delta hedging a position
  • Gamma hedging
  • Vega, Theta and Rho
 
Homework

Diploma workshop
DAY 6
 
 
Review of previous day's homework
 
Bank Risk Control
 
  • Review of different risk types
  • Controls and limits
  • Interest rate risk measurement, gap analysis and duration
  • Netting, novation and documentation
GMRA, GMSLA, IFEMA, ISDA, FRABBA
 
  • VaR
holding period, confidence level, observation period
parametric/mean-variance, historic, Monte Carlo
stress testing, back-testing, BIS guidelines
calculation of standard deviation of returns or prices
conversion of volatility between annualised and higher frequencies
calculation of VaR of a single future cashflow given price volatility or yield volatility (including deposit, CD, T-bill)
calculation of VaR of an option position given delta
calculation of VaR of two cashflows given individual VaR and correlation
 
  • Capital adequacy controls
Basel II, pillars 1, 2, 3
risk-asset ratio
regulatory capital
trading book and banking book
counterparty risk calculations
 
Currency Economics and Forecasting
 
  • 'Fundamental' approach
PPP
balance of payments
inflation
interest rates and money supply
economic growth
main economic indicators in the market
 
  • Currency régimes
fixed, crawling peg, limited floating, floating, real effective exchange rates
government intervention, sterilisation
 
Introduction to Technical Analysis
 
  • Basic theory
  • Chart types: line, bar, candlestick, point & figure
  • Continuation and reversal patterns, congestion analysis
  • Moving averages, MACD, momentum, oscillators, RSI
  • Elliot waves, Fibonacci, Gann
 
Homework
 
 
 
 
 
 
DAY 7
 
 
A practice exam
 
 
 
 
 
A help line is available until each participant has passed the exam.
 
 
 

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Education

ACI Dealing certificate
The ACI Model Code
18-21 june 2013
ACI Dealing certificate
The ACI Model Code

Candidates are provided with the ACI's Model Code to study in advance of the course

Events

11 - 13 May 2017:     
56th ACI FMA World Congress, Dublin