ACI  DIPLOMA  WORKSHOP

(7-day programme / delegate fee 18.500,- DKK)

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

·    Rollover, revaluation and profit on reversing a position

·    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

·    Value dates and broken dates

·    Interpolation

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

domestic versus Eurocurrency

reference fixing rates

LIBOR, LIBID, LIMEAN, EURIBOR, basis point

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

open outcry v. screen trading

tick values

currency futures markets

futures compared to OTC markets

volume and open interest

·    Trading strategies

spreads

fair value, basis risk

futures strips

·    Cheapest combination out of FRAs, futures and forward-forwards

·    Arbitrage between FRAs, futures and forward-forwards

·    Hedging a FRA with futures

strip hedge, stack hedge, basis risk

·    Hedging forward-forward FX using FRAs, futures or deposits

The Capital Markets

·    Bond characteristics

issuers

domestic, foreign and Euromarket issues

floating rate, asset-backed, structured, 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

·    Zero-coupon bonds and yields

bond STRIPs

·    Bond futures

·    Price sensitivity of bonds

duration, modified duration, and convexity

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

cash-and-carry arbitrage

·    Buy/sell-backs

pricing the buy / sell-back structure

coupons

margin

·    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

annual and semi-annual

spread over Treasuries

·    Calculating all-in cost of borrowing

·    Calculating all-in return on asset swap

·    Swap structures

basis swaps

amortising

forward-start

delayed-start

constant maturity

OIS

total return

reverse floating

·    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

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

·    Comparing historic and market volatility

·    Put / call parity

synthetic forwards

risk reversal

·    Comparison between outcome of option and forward

·    Exchange-traded options

price quotation

margin

·    Profit / loss of a position

·    Trading strategies

spread

straddle

strangle

risk reversal

butterfly

·    Hybrid instruments

range forwards, participation forwards

IRGs, caps, floors, collars and zero-cost structures

·    Hedging a cap / floor from calls and puts

·    Survey of exotic options

barrier, Asian, swaption, compound, chooser, lookback, 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

FRABBA, IFEMA, ISDA, PSA/ISMA GMRA, SAFEBBA

·    Risk measurement

VAR: mean/variance, historic, Monte Carlo

stress testing, back-testing, BIS guidelines

·    Capital adequacy controls

Corporate Exposure Management

·    Description of different types of exposure

transaction

translation

economic

competitive

Currency Economics and Forecasting

·    'Fundamental' approach

the economics background

main economic indicators in the market

·    Currency régimes and market relationships

fixed, crawling peg, limited floating, floating

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

European Monetary Union

·    Structure of EMU

who are the members

stability pact

·    ERM II

Homework

DAY 7

Review of previous day's homework

Practice exam

·    Candidates work through a practice exam, which is then discussed in detail.

A help line is available until each participant has passed the exam.