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ACI DIPLOMA

(7-day programme / delegate fee 22.000 DKK (3000 EUR))
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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

ACI World Congress 2019

We are pleased to share with you more details on the 58th ACI World Congress that will be held from 03rd to 05th October 2019 in Colombo, Sri Lanka.

03/10/2019 - 05/10/2019

Location: Colombo Hilton, 2 Sir Chittampalam A Gardiner, Mawatha, Colombo 00200, Sri Lanka

ACI UK & CISI - LIBOR Migration Panel

 

In a joint event with ACI UK, CISI will host a panel at 12:00 on Tuesday 8th October dedicated to the proposed changes to this important benchmark for financial markets.

 

08/10/2019 - 08/10/2019

Location: CISI - South Side Entrance, 3rd Floor, 20 Fenchurch Street, London, EC3M 8AF

https://www.acifma.com/events