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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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