FOREX and Money Market Instruments

Day One

09.00 - 09.15 Welcome and Introduction

09.15 - 10.15 Introduction to Money Markets and Instruments

• What is a "Money Market"?
  - the role of MM in financial intermediation
  - difference between Money market and Capital Market
  - a brief history of the international money markets
• Types of MM-instruments
  - primary vs. secondary (derivative) instruments
  - deposits, T-Bills, CP's, CD's
• Issuing Techniques
• Quoting Conventions
• Small Exercise

10.15 - 10.30 Coffee Break

10.30 - 12.00 REPOs

• Introduction
• Types of REPOs
• Analysis of REPOs
• Applications
• Risk management of REPOs
• Small Exercise

12.00 - 13.00 Lunch

13.00 - 14.00 Analysis of Floating Rate Notes

• Introduction
• Overview of Pricing Techniques
• Discounted Margin Model
• Forward Rates
• Analysing Changes in Credit spread
• Analysing Changes in the Yield Curve
• Small Exercise

14.00 - 14.15 Coffee Break

14.15 - 16.30 Money Market Derivatives (I)

• Deposit Futures
  - trading, settlement
  - pricing (Convexity adjustment)
• Forward Rate Agreements
  - trading, settlement
  - pricing
  - VaR/Risk Management
• Money Market Swaps
  - Basis Swaps
  - Arrears Reset Swap
  - EONIA (Overnight Average) Swap
  - Hedging Funding Risk
• Small exercises

Day Two

09.00 - 09.15 Recap

09.15 - 10.15 Money market derivatives (II)

• Money Market Options
• Options on Deposit Futures
• Interest Rate Guarantees
• Caps, Floors, Collars
• Risk management (Greeks, VaR)
• Small Exercises

10.15 - 10.30 Coffee Break

10.30 - 12.00 Structured Money Market Products

• Reverse Floater
• Diff Swaps
• Power Floater
• Participating Cap
• Limited Cap
• Range Floater
• Small Exercises

12.00 - 13.00 Lunch

13.00 - 14.15 Introduction to the Foreign Exchange Markets

• Brief History
• Instruments
• Quoting Conventions
• Types of Rates
  - Spot, Cross Rate, FWD, FWD-FWD
• Determinants of Exchange Rates
  - PPP
  - Interest Differentials
• Small exercise

14.15 - 14.30 Coffee Break

14.30 - 16.30 FX Derivatives (I) - Forwards and Swaps

• Forwards
  - Interest rate parity
  - Determining forward discount/premium
  - Mark-to-market of forwards
• Currency Swaps
  - Short-term (spot-forward) swaps
  - Fwd-Fwd swaps
  - Creating Synthetic FRAs
  - Long-term cross-currency swaps
• Small exercise

Day Three

09.00 - 09.15 Recap

09.15 - 10.15 FX Derivatives (II) - Standard FX Options

• Brief introduction to currency options
• The markets for currency options
  - listed options
  - OTC-options
• Pricing
  - the Garman-Kohlhagen model
  - Cox-Ross-Rubinstein model
  - the "Greeks"
• Applications
  - hedging
  - speculation
• Risk management
• Small exercises

10.15 - 10.30 Coffee Break

10.30 - 12.00 FX Derivatives (III) - Exotic Options

• The difference between "vanilla" and "exotic" options
• Asian Options
• Barrier Options
• Lookback Options
• Digital Options
• Compound Options
• Basket Options
• Pricing, Applications and Risk Management
• Small Exercises

12.00 - 13.00 Lunch

13.00 - 15.30 Managing FX Risk

• Measuring FX Exposure
  - accounting exposure
  - economic exposure
  - portfolio Approach
• Using FX derivatives to Manage FX Risk

15.30 - 16.00 Outlook: The future of the FX Markets

• Will there be a single, global currency?

16.00 - 16.15 Evaluation and Termination of the Seminar