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The ACI Diploma

The following is an outline of the current course content for the ACI Diploma exam. The content of each course is always adjusted in the event of any changes in the ACI syllabus for that exam. This syllabus assumes that you are already familiar with the material in the Dealing Certificate exam (click here for details of that syllabus)

**The foreign exchange market**

rapid review of Dealing Certificate material

hedging swaps with money-market deals

covered interest arbitrage calculations

forward-forward swaps

calculation of profit / loss on a forward book

hedging the spot risk on a forward position

NDFs

time options

application to more complex questions

**The money markets
**rapid review of Dealing Certificate material

calculation of holding period yields

EONIA calculation

application to more complex questions

**The futures markets and FRAs
**forward-forwards and the yield curve

mechanics, pricing and uses of FRAs and futures

comparison between FRAs and futures

creating a synthetic FRA in a different currency

futures trading strategies: strip, spread, butterfly, condor

hedging FRAs with futures, basis risk

calculation of simple basis, theoretical basis, value basis

convergence calculations

calculating futures hedge for a FRA

calculating a non-IMM FRA quote from futures

arbitrage between futures, FRAs and cash

covering FX forwards with FRAs/futures

Open interest calculations and volume

Convexity issues

**The bond markets
**domestic, foreign and Euro-bond markets

asset-backed, convertibles, warrants, FRNs

bond pricing, yields and conventions

yield to maturity and reinvestment risk

simple ytm and current yield

zero-coupon yields and bonds, STRIPs

bootstrapping calculations for zero-coupon yields

calculation of par yields

bond futures, cash-and-carry arbitrage

rating systems

calculation of duration and modified duration for bonds and portfolios

**The repo markets
**classic repo, buy/sell-back and securities lending

general collateral v. specials

haircut, margin calls, mark-to-market calculations

coupon payments, substitution, cross-currency repo

buy/sell-back forward price calculation

bilateral, triparty and hold-in-custody

documentation

synthetic repo structures

**Interest rate and currency swaps
**mechanics, comparative advantage

applications, asset and liability swaps

pricing conventions, spread over Treasuries, calculation of all-in cost/return

relationship with FRAs/ futures

basis, constant-maturity, and total-return swaps

OIS

hedging a swap

currency swaps, pricing, quotation and calculations

**Currency and interest rate options
**review of basic concepts and terminology

pricing concepts, limitations of Black & Scholes

introduction to binomial pricing model

historic and market volatility

ways of quoting a currency option price

exchange-traded options

put/call parity, synthetic forwards

comparison between outcome of option and forward

hedging and trading strategies

straddle, strangle, spread, risk reversal, butterfly

IRG, cap, floor, collar, zero-cost structures, swaption

hedging caps and floors

exotic options including barrier, Asian, chooser, binary

delta hedging

delta, gamma, vega, theta and rho for various strategies

**Bank risk management
**different risk types, controls and limits

netting, novation, documentation

IFEMA, ISDA, GMRA, GMSLA

VAR: variance/covariance, historic, Monte Carlo

BIS guidelines, stress testing

calculation of standard deviation

converting volatility between different periods

VaR calculations

Basel II

capital adequacy calculations

**Currency economics
**basic exchange rate theory

economic indicators

**Technical analysis**

chart types: line, bar, candlestick, point & figure

continuation and reversal patterns

congestion analysis

moving averages, MACD, RSI

Elliot wave theory, Fibonacci

*Markets International Ltd
Aylworth, Naunton
Cheltenham GL54 3AH
e-mail: ask@markets-international.com
Telephone: +44 (0)1451-850055
Fax: +44 (0)1451-850367
*

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