²ÝÝ®tv Denmark is promoting several ²ÝÝ®tv Courses and registration is available for:
- Dealing Certificate, week 13,
- Operations Certificate, week 21,
- Diploma, week 24.
More details can be found below or on the ²ÝÝ®tv Denmark website. Please visit the website to register: or click on the available link below:
(Week 24)
Start date: 8. June 2023
Duration: 6 days
Location: Rungstedgaard Hotel, Rungsted Strandvej 107, 2960 Rungsted, Denmark
Delegation Fee: DKK 24.500,-EUR 3.275,-
Note, this course will be 1 Day Remote + 5 days Phycial at Rungstedgaard Hotel ( 25k North of Copenhagen in beatiful surroundings)
Remote session – Thursday 8/6/2023
4 sessions: 8.30 – 10.00; 10.30 – 12.00; 1.00 -2.30; 3.00 – 4.30
Topics to be covered:
Bonds:
Domestic, Foreign and Eurobonds
Some different types of bonds
Pricing
¹ó¸é´¡â€™s:
Calendar spreads
Statistics:
Standard Deviation and Volatility
Face to Face Sessions – Monday 12 June – Friday 16 June
(Each day 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. Homework will be given at the end of each day)
Days 1 and 2:
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 and 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 interpolation
·        Long-dated foreign exchange forwards
Days 2 and 3:
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
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
Day 3:
Bond Markets
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
Repos, Sell/Buy-Backs and Securities Lending
·        Classic repo
market conventions and terminology
pricing
general v. special collateral
margin
marking to market
substitution
cross-currency repos
triparty v. bilateral v. hold-in custody repos
documentation
·        Users, applications and examples of repos
·        Buy/sell-backs
pricing the buy / sell-back structure
coupons
close-out and re-pricing
·        Securities lending
comparison with repo and buy/sell-back
·        Synthetic repo structures
Days 4 and 5:
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
convergence
·        Convexity problem
·        Volume and open interest
calculation of open interest
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
OIS
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
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
margin
·        Profit / loss of a position
·        Trading strategies
spread
straddle
strangle
risk reversal
butterfly
-
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
Source: ²ÝÝ®tv Denmark