Course Overview

This course covers derivatives across various asset classes including a key focus on Repurchase Agreements as well as foreign exchange and the other interest-bearing instruments. It provides a practical step-by-step guide and understanding of how to price the various instruments as well as how to calculate the settlement and Marked-to-market values. Delegates will also be exposed to arbitrage theory and learn how to identify, evaluate, and capture arbitrage opportunities via the creation of synthetic products.
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Who should enrol?

This is an Intermediate to Advanced Course.

  • Money Market and Interest Rate Sales

  • Interest Rate Derivatives Traders

  • Institutional Fixed Income Asset Managers

  • Structured Product Sales Teams

  • Corporate and Investment Banking Staff

  • Legal and Compliance Teams

  • Senior Dealers

Course curriculum

    1. Course Overview & Resources

    1. Introduction to Interest Rates

    2. Simple Interest

    3. Compound Interest

    4. Present and future values

    5. Discount factor

    6. Yield, implied yield and discount calculations

    7. Bootstrapping - Introduction and Bond Basics

    8. Bootstrapping - defining a Par Bond

    9. Bootstrapping - Problems with YTM

    10. Bootstrapping - Calculating the Zero Curve

    11. Implied Forward Rates

    12. Pricing a T-Bill on a Discount Basis

    13. Pricing a T-Bill on a Yield Basis

    14. Pricing a Certificate of deposit

    15. MTM of a Certificate of deposit (Including Capital gain / loss)

    16. Basic Repo vs Sell and Buy Back Repo

    17. Haircuts - Fixed Nominal and Fixed Amount Basis

    18. Margin Calculations (Cash Driven and Security Driven Repo)

    19. Close and Reprice Calculations (Sell & Buy Back Repos)

    20. Module Quiz

    1. Creating and Pricing an FEC

    2. Outrights, Fully Optional and Partially Optional Forwards and Pricing thereof

    3. Spot Start Swaps

    4. Inside Spot Swaps

    5. Forward Forward Swaps

    6. Historical Rate Rollover, Extending and Early Drawdown via a Swap

    7. NDF's

    8. MTM of a Spot transaction at T+1

    9. Module Quiz

    1. Pricing a FWD FWD Loan or Deposit

    2. Forward Rate Agreement (FRA), Pricing, Valuation and Settlement value

    3. An Interest Rate Swap

    4. Pricing an Interest Rate Swap

    5. MTM / Valuation of a Swap

    6. Module Quiz

    1. Synthetic Bonds (via Swaps and FRNs)

    2. Synthetic FX Forwards (via Call and Put options)

    3. Synthetic interest rate FRA's of currency A (via FX Fwd-Fwd and interest rate FRAs of currency B)

    4. Synthetic Repo & Reverse Repo (via spot bonds and futures)

    5. Cash and Carry Arbitrage

    6. Covered Interest Rate Arbitrage

    7. Module Quiz

    1. Quiz

About this course

  • $499.00
  • 46 lessons
  • 8 hours of video content

Topics covered

  • Money Market Derivatives

    Bootstrapping - Bond Basics
    Implied Forward Rates
    Pricing of T-Bills
    Pricing CD's
    Basic vs Sell and Buy back
    Fixed Nominal and Fixed Amount
    Margin calculations

  • Foreign Exchange Derivatives

    Creating and pricing FEC's
    Outright Forwards
    Fully Optional Forwards
    PArtially Optional Forwards
    Forward Forward Swaps
    NDF's
    MTM of Spot transaction

  • Interest Rate Derivatives

    Pricing of Forward Forward Loan
    Forward Rate Agreement
    Interest Rate Swap
    Pricing Interest Rate Swaps
    Valuation of a Swap

  • Case Studies

    Synthetic Bonds
    Synthetic FX Forwards
    Synthetic Interest Rate FRA's
    Snthetic Repos
    Cash and Carry Arbitrage
    Covered Interest Rate Arbitrage

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Instructor

Meet who you will learn with

ACI DC Accredited Instructor

Course Director

Your ACI Dealing Certificate preparation is guided by ICAP Training Solutions' team of ACI-accredited instructors, together with our purpose-built AI Tutor - trained on the full ACI Dealing Certificate syllabus and the practical experience of senior financial markets professionals. This pairing brings decades of hands-on treasury, FX and money markets expertise from major South African and international banks directly into your study plan, combining real-world judgement with structured, exam-focused coaching available whenever you need it.

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