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| Treasury
and Money Markets | View All In-house Training Agendas |
| Pre-Course
Online Study |
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Introduction
to Treasury Products |
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Money Markets |
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| Post-Course
Online Study |
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Bond Markets |
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Foreign Exchange
Markets |
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Derivatives |
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| Discover fundamental concepts and financial arithmetic
for the treasury department. Look at the yield curve,
forex markets, derivatives markets of varying complexities,
futures, FRAs and the swaps market. The treasury and money
markets course provides the perfect insight into the tools
and instruments needed to work your way around these markets. |
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- Fundamental Concepts and Financial Arithmetic
- Present and future value concepts
- Simple and compound interest
- Compounding and discounting
- Interest rate basis conversions
- Valuation of annuities and future cash
flows
- The Yield Curve
- Defining the yield curve
- Functions of the yield curve
- The relationship between the yield to
curve and the macroeconomic environment
- Yield measures - yield to maturity/internal
rate of return
- Foreign Exchange Market
- Factors influencing FX rates
- Spot and outright forward FX rates
- FX swaps and outrights
- Pricing of forward FX contracts (covered
interest arbitrage)
- Calculation of forward FX rates, forward
points
- Derivative Markets
- Over-the-counter and futures markets
- Options
- Option price sensitivities: Delta, gamma,
vega, theta, rho
- Delta hedging and risk analysis
- Dynamic risk management using delta hedging
- Practical application - delta hedging
an option strategy/portfolio
- Gamma; 2nd order option price sensitivity
- Immunisation of risk using gamma hedging
- Gamma trading - profiting from market
volatility
- Theta; option time decay
- The theta-gamma trade-off
- Futures Markets
- Major futures markets
- History and development of futures markets
- Futures contract types (Interest rate,
FX, equity and commodity futures)
- The mechanics of futures markets
- Margin (initial and variation margin)
- Short term interest rate (deposit) futures
- Applications of futures in trading and
hedging
- Futures versus forward contracts - similarities
and differences
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- Forward Rate Agreements (FRAs)
- LIBOR market; LIBOR as a benchmark interest
rate index
- FRA market participants
- Applications of FRAs in trading and hedging
- Pricing and valuation of FRAs
- FRAs as forward-forward loans and deposits
- Calculations involving discounted cash
flow analysis (PV, FV)
- Counterparty credit risk exposure of forward
contracts
- The Swaps Market
- Interest rate and cross-currency swaps
- Swap market practices and conventions
- Swap market price quotation, terms and
conditions, market making
- Swap cash flows; swap cash flow calculations
- Applications of interest rate swaps
- Using swap box diagrams and exercises
- Trading and arbitrage: Speculating on
the future
- evolution of interest rates
- Counterparty credit risk and swaps
- Pricing and valuation of interest rate
swaps
- Swaps as synthetic bond positions
- Swap yield curve construction using swap
rates and forward (futures) rates
- The Repurchase (Repo) Market
- Repo market structure; market conventions
- Uses of repo (securities lending) markets
- Mathemetics of repo - tail calculations,
cash and carry arbitrag
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