ACF Academy
Graduate Training Training
 Graduate Training
Targeted Audience:
 New hires into the capital markets area.
CPE Credits:
Course Level:
Date  DurationCostVenueRegister
11-22 Feb 2019  10 days$12300.00New York
18 Feb - 1 Mar 2019  10 days£8575.00London

Financial Markets Graduate Training Program

ACF provide the most effective in-house graduate training to the world's largest banks. Now, for the first time, other firms can take advantage of our unique blended-learning approach which integrates pre-course study using Acumen, dynamic instruction from our team of first-rate trainers, and simulation using Global Trader – acclaimed as the world's most powerful trading simulation.

The principal objectives of this intensive ten-day program are to:
  Provide an integrated, coordinated, and effective training program.
  Ensure a sound knowledge of fundamental concepts.
  Give delegates the ability to apply theory to practice – to fix knowledge in delegates’ minds and to build solid foundations to support later learning.
  Introduce the range of fixed-income and equity products, their uses and applications.
  Present a clear explanation of derivative products, their benefits and risks.
  Demonstrate how banks and their customers apply these products in practice.
  Ensure that all concepts are put into immediate practice, using simulation and intensive interactive case studies, to consolidate the learning process.
Hot Topic  The Credit Crunch – causes and future impact.
After completing this blended-learning program, delegates will:
  Have a solid understanding of the role and functioning of the capital markets.
  Be familiar with a wide range of fixed-income and equity instruments, their valuation, pricing, and hedging.
  Clearly appreciate the features and benefits of derivatives, and the fundamentals of pricing, structuring and hedging.
  Understand how all these products are used in practice.
... and will be able to effectively apply their knowledge immediately.

Course Outline
Delegates will need to study the following topics using the Acumen eLearning system in order to become fully familiar with foundation concepts prior to the start of the program:
 Introduction to Investment Banking
Securities Underwriting
Mergers and Acquisitions
Investment Banking As a Business
 Time Value of Money
Future Value and Present Value
Using the HP17 and Excel
Day Count Convention
Pricing Instruments
Rate of Return
Stripping Rates
 Introduction to Financial Markets and Products
What is a Financial Market?
Purpose and Functioning of the Markets
Structure of the Financial Markets
Derivative Markets
 Basic Statistics
Charting Observations
Measures of Central Tendency
Measures of Dispersion
Other Moments
Using Excel for Statistics
Statistical Inference
Each module features frequent quizzes, plus a detailed end-of-module examination. We will track delegates’ progress through the modules, plus their scores in end-of-module examinations, to ensure that everyone has successfully completed the preparatory work. Any delegates falling behind on their pre-course preparation will receive automated emails reminding and encouraging them to keep up progress.
Course Outline
 Review of Time Value of Money
Using a financial calculator and RPN
Time value of money
Present and future values
Interest and discount factors
Simple vs. compound interest
Discounting and compounding
Discounted cash flows
Net present value
Internal rate of return
Discrete vs. continuous compounding
Nominal vs. effective interest yields
TVM workshop
 Money Market Products and Markets
Discount vs. coupon securities
Depos, bills, CP, BAs, and CDs
LIBOR and the LIBOR scandal
Pricing discount instruments
Discount quotations
Add-on yield quotations
360 and 365-day bases
Money-market and bond-equivalent yields
Compound effective yield
Holding-period returns
Money-market exercises
 Bond Maths
Pricing interest-bearing instruments
Pricing coupon securities
Price and yield
Gross and net redemption yields
Day-count conventions
Accrued income
Clean and dirty prices
Current yield vs. yield-to-maturity
Re-investment of coupons
Price sensitivity concepts
Introduction to duration
Fixed income workshop
 Duration and Convexity
Duration, volatility, and convexity
Calculating duration and convexity
Duration as weighted cash-flow times
Pictorial representation of duration
Duration and modified duration
Duration as a measure of price sensitivity
DV01, PV01, PVBP of bonds
Duration and maturity, coupon, and yields
Calculating hedge ratios
Convexity – myths and reality
Hedging a bond portfolio
 Fixed Income Products and Markets
The US Treasury Market
T-Bills, T-Notes, and T-Bonds
Non-government notes and bonds
Auction process
The secondary market
The treasury yield curve
Investment strategies and techniques
Treasury strips
Agency securities
Bunds, JGBs, Gilts
The European sovereign debt crisis
Corporate bonds
Bond rating and rating agencies
Covenants and seniority
High-yield bonds
Sinking funds and other provisions
Bonds with embedded options
Eurobonds and MTNs
US Treasuries simulation
 Foreign Exchange Spot Market
Functions and purposes of the FX market
Market mechanics
Spot quotations
Direct and indirect prices
Trading strategies
Influences on the market
The future of the Euro
FX spot simulation
 Foreign Exchange Forwards
Outright forwards and swaps
Impact of interest rates
Relation between spot and forward markets
Quoting forward rates and swap points
Forward discounts and premiums
FX swap points and I/R parity
Risk from FX swap transactions
FX swaps simulation
 Equities Markets
Review of international equity markets
Types of equity product: common stock and preference shares
Depositary receipts
Issuing procedures: IPO, rights, scrip, convertibles
Dividends and scrip dividends
Role of the Stock Exchange
Electronic stock markets
Dark pools and alternative trading venues
Equity market-making and price-taking
The increasing importance of electronic, algo, and high-frequency trading
Tyoes of order
Trading strategies – long only vs. long/short
Customer market orders and limit orders
Customer order flow
Share buy-backs
Employee share options
Equities trading simulation
 The Short-Term Yield Curve and Forward Rates
Definition of the yield curve
The normal yield curve
Liquidity and expectations hypotheses
Up- and downward sloping yield curves
Yield curve strategies and plays
Riding the yield curve
Trading the yield curve
Forward rates
Forward rates as “breakevens”
Forward rates are not predictors!
 Futures Markets
Definitions and terminology
Trading features of futures exchanges
Pit vs. screen trading systems
How clearing and margin systems work
Standardisation of exchange-traded contracts
Physical delivery vs. cash settlement
Advantages and uses for futures
 Bond Futures
Definition of bond futures contracts
Conversion factors
Cash-and-carry pricing of bond futures
The cheapest-to-deliver bond
Implied repo rate
Hedging bond portfolios with bond futures
Bond portfolio hedging
 Stock-Index Futures
Stock-index futures contract definitions
Cash-and-carry pricing
Effect of dividend payments
Fair and actual futures prices
Hedging equities portfolios
Switching cash to equities and equities to cash
Stock-index futures simulation
 Short-Term Interest Rate (STIR) Futures
Definition of interest rate contracts
Arbitrage pricing principles
Basis and convergence
Outright and spread positions
Basic hedging application
Basic hedging using STIR futures
 Interest Rate and Currency Swaps
Definitions and terminology
Trading practices
Cash flows and timing
Quotation conventions
Swap execution facilities (SEFs)
Documentation – ISDA and CSA
Interest rate swaps: “plain-vanilla” and non-standard swaps
Overnight Indexed Swaps (OIS)
Spread between LIBOR and OIS rates
Asset and par-asset swaps
Currency swaps: fixed-fixed, fixed-floating, floating-floating
Using interest rate swaps…
Hedging interest-rate risk
Asset-linked and liability-linked swaps
Fixing financing costs and investment returns
Reducing financing costs
Swap applications
Interest rate swaps simulation
 End-Week Examination and Review
The end-week exam will enable every delegate to see how well they have performed to date, and how well they have understood and assimilated the material covered. It will also help the instructor assess each delegate’s achievements, and whether any additional revision or work is required.
 Yield Curve Mathematics
Zero-coupon rates
Swap and par rates
Zero-coupon pricing
Discount factors and the discount function
Links between swap, zero & forward rates
Deriving the discount function from market rates
Interpolating the discount function
Pricing an FRA from the discount curve
 Swap Pricing and Valuation
Swap valuation principles
Valuing the fixed leg
Valuing the floating leg
Valuing a swap
LIBOR-OIS discounting
Pricing and valuing vanilla and non-standard swaps
 Principles and Characteristics of Options
Options definitions and terminology
Calls and puts; buying and selling
American vs. European style
In-, at-, and out-of-the-money
Intrinsic and time value
Components of time value
What the buyer pays for – the true cost of an option
Value and profit profiles
Profit profiles at maturity
Profit profiles prior to maturity
Special features of FX options
 Option Pricing – An Intuitive Approach
Types of option pricing model
Closed-form option pricing
Binomial option pricing
Monte-Carlo option pricing
Time value revisited
Early exercise of American options
Put-call parity
Significance of volatility
Historic, implied, and experienced volatility
Volatility smiles and skews
Option pricing workshop
  Option “Greeks”
Measuring dimensions of option risk
Delta – the hedge ratio
Gamma – the change in delta
Theta – the decay of time value
Vega – the sensitivity to volatility
The Greeks of short-dated options compared to long-dated options
The Greeks of ATM options, compared to ITM or OTM options
Greeks workshop
 Hedging using Options
Comparison of using in-, at- and out-of-the-money options
The true cost of options hedging – time value
Hedging techniques using short option positions
Creating and using collars or risk reversals
Creating and using spreads
Zero-premium hedges
Creating and using zero-cost collars
Creating and using participating forwards
Deferred and embedded premiums
The “continuum” from in-the-money to out-of-the-money options
Hedging market risk with options
 Building Option Portfolios
Horizontal, vertical, and diagonal spreads
Straddles and strangles
Ratio spreads and backspreads
Designing your own structure – a fluent transition between payoff diagrams and component parts
 Option Trading Strategies
Directional vs. volatility trading
Spread trading
Near vs. far dates
Out-of-the-money vs. in-the-money
Options vs. cash
Directional and volatility trading simulation
 Caps, Floors, and Collars
Comparison of interest rate with other options
Interest rate guarantees (IRGs)
Caplets and floorlets
Constructing caps, floors, and collars
Pricing caps and floors
The term structure of volatilities
Quotation and dealing conventions
Cap / floor parity
Constructing zero-cost collars
Non-standard caps and floors
Caps and floors pricing workshop
 Swaptions and Other Interest Rate Derivatives
Receivers / payers parity
Bond options
Cancellable and extendible swaps
Captions, floortions, and collartions
Product comparisons
Creating a cancellable swap
 Hedging with Interest Rate Derivatives
Option hedging structures
Establishing client objectives
Determining pain thresholds and views
Tailoring the hedge to match the need
Reducing the cost of client hedges
Hedging for free?
Designing innovative products and solutions
Optimising an interest rate risk hedging program
 Overview of Credit Derivatives
Principles of credit derivatives
Terms and definitions
Who uses credit derivatives?
Motivations for using credit derivatives
Growth of the market and recent trends
Types of credit derivatives
 Single-Name Credit Default Swaps
Terms and definitions
Credit events
Settlement methods
Deliverable obligations
ISDA and CSA agreements
Restructuring: XR, MR, MM, and CR
Market and trading conventions
Sovereign vs. other reference entities
Distressed credits and points up-front
Establishment of a Central CounterParty
 Using Credit Default Swaps
Separating credit risk from direct lending relationship
Managing credit risk across loan portfolio
Income generation
The link between bond spreads and CDS prices
Implementing directional credit views
Monetising relative credit views
Arbitrage opportunities
Exploiting relative-value trade ideas
Curve trades
Regulatory capital arbitrage
Using credit default swaps
 Index Products
The CDX and iTraxx indices
Geographic and sector coverage
Index construction
Who uses indices?
Tranched CDS index products
Index trading example
 Risk Management and Value at Risk
Definition of risk and uncertainty
Market risk: currency, interest rate, equity, commodity, credit, basis, and volatility risks
Credit and counterparty risk
Liquidity risk
Operating risk
Settlement risk
Fraud risk
Legal risk
The importance of bank capital
Basel III – how much capital does a bank need?
Objective of Value At Risk (VaR)
Principles of calculating VaR
Measuring VaR for one exposure
Methods of calculating VaR
Using historical simulation
The Monte-Carlo risk approach
The variance / covariance approach
Stress-testing and scenario analysis
Limitations of VaR in the light of the 2008 financial crisis
Measuring VaR using historical simulation
 The Credit Crunch of 2008
Chronology of events leading to the 2008 credit crisis
Central bank initiatives and open market operations
Impact on market rates
Liquidity and LIBOR
Spreads between LIBOR, OIS, and government rates
Implications for the future
Dodd Frank, MiFID II, and other regulatory changes
 Final Examination and Review
The final exam will measure how well delegates have absorbed the material covered, and will also provide a measure of how much they have improved since the earlier examinations.


NB All practical sessions are highlighted like this:
means a Workshop or Simulation
means a Case study


"The material was not delivered in a vacuum. The instructor always had an example / actual article to illustrate his point, so the class turned out to be a lot more interesting about real-life markets."

– Heajun H.