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Capital Markets - Debt
Foreign Exchange & Money Markets Vol. 2

Foreign Exchange & Money Markets Vol. 2

A three volume professional coursebook for the ACI/Forex Pre-Diploma curriculum (Introduction to FX and Money Markets), plus additional subjects for advanced study. The workbooks cover the principal cash and derivative instruments - spot and forward FX, FX swaps, wholesale deposits bank and Treasury bills, commercial paper, CDs, FRAs, money market futures and interest rate swaps. They also form a self-contained distance learning course for the ACI and Forex exams.

Price: £175  


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This book is part of a three-volume professional coursebook for the ACI/Forex Pre-Diploma curriculum (Introduction to FX and the Money Markets), which also contains additional subjects for advanced study. The three-volume set provides a concise, clear and comprehensive introduction to the foreign exchange and money markets. They cover the principal cash and derivative instruments: spot and outright forward FX, FX swaps, wholesale deposits, bank bills/BA, Treasury bills, commercial paper, certificates of deposit, repo, forward rate agreements, money market futures and interest rate swaps. How the workbooks help you learn:

  • Chapters have a regular structure which allows easy comparison between instruments
  • Key points are highlighted throughout the text for easy revision
  • The same arithmetic is used throughout the workbooks, simplifying learning and facilitating an understanding of how to price, hedge and arbitrage between instruments
  • The main calculations are explained in a standard format in a special section at the end of each chapter
  • There is a glossary of definitions and summaries of key points and formulae at the end of each chapter
  • An extensive range of worked examples shows students how to use and price instruments
  • Each chapter is supported by a comprehensive set of questions, many drawn up from past ACI exams, and fully worked answers

You will learn how to handle advanced instruments such as repo, money market swaps, and overnight-index swaps.

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Table of Contents

FOREIGN EXCHANGE AND MONEY MARKETS

VOLUME 2

Contents

Part 1: Money Market Arithmetic

Chapter 1

Money Market instruments 3

What is the money market? 3

Money market instruments 4

Categories of money market instrument 5

Describing a cash money market instrument 6

Types of cash money market instrument 9

Self-test questions 23

Worked answers to self-test questions 24

Chapter 2

Using rate of return 27

Basic financial concepts 27

Basic financial calculations in the money market 30

Day count and annual basis conventions

in the money market 35

Simple and compound rates of return 36

Day count and annual basis conventions

in the capital market 41

Rates of return with different compounding frequencies 44

Nominal and effective rates of return 51

Self-test questions 55

Worked answers to self-test questions 57

Chapter 3

Using the rate of discount 67

What is the rate of discount? 67

Day count and annual basis conventions

for rates of discount 70

Converting the rate of discount to a true yield 71

Self-test questions 77

Worked answers to self-test questions 78

Chapter 4

The yield curve 81

What is a yield curve? 81

Describing yield curves? 84

Interpreting yield curves? 89

Self-test questions 96

Worked answers to self-test questions 97

Part 2: Money Market Characteristics and Instruments

Chapter 5

The money market 101

What is the money market? 101

What is the money market short term? 102

What is the money market wholesale? 104

Why should the money market be liquid? 104

Why should the money market be good quality? 105

Other characteristics of the money market 107

What is the euro money market? 107

Chapter 6

Deposits and loans 111

How deposits are quoted 111

Value dates and maturity 113

Comparison with other money market instruments 116

Calculations involving deposits and loans 117

Self-test questions 119

Worked answers to self-test questions 120

Chapter 7

Certificates of deposit (CD) 123

How CD are issued 124

How return is paid 124

How CD are quoted 128

Value dates and maturity 130

Comparisons with other money market instruments 132

Calculations involving certificates of deposit 133

Self-test questions 139

Worked answers to self-test questions 140

Chapter 8

Bank bills and bankers’ acceptances (BA) 143

How bank bills are issued 143

How bank bills are quoted 144

Value dates and maturity 147

Comparison with other money market instruments 150

Calculations involving bank bills 151

Self-test questions 155

Worked answers to self-test questions 156

Chapter 9

UK and US treasury bills 159

How UK and US treasury bills are issued 159

How UK and US treasury bills are quoted 160

Value dates and maturity 163

Comparison with other money market instruments 164

Calculations involving UK and US treasury bills 165

Self-test questions 169

Worked answers to self-test questions 170

Chapter 10

Commercial paper (CP) 173

How CP is issued 173

How CP is quoted 174

Value dates and maturity 178

Comparison with other money market instruments 180

Calculations involving US commercial paper 181

Calculations involving non-US commercial paper 184

Self-test questions 188

Worked answers to self-test questions 189

Chapter 11

Repo 193

Terminology 195

What is special about repo? 197

How repo works 200

Who uses repo? 207

How classic repo is quoted 209

How sell/buy-backs are quoted 211

Value dates and maturity 213

Comparison with other money market instruments 218

Calculations involving classic repo 219

Calculations involving sell/buy-backs 221

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