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

Diploma workshop
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
  • 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
  • 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

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

Diploma workshop
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
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

Diploma workshop
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
  • Profit / loss of a position
  • Trading strategies
risk reversal
  • 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

Diploma workshop
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
  • 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
balance of payments
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
A practice exam
A help line is available until each participant has passed the exam.

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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


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