Programme in preparation

ACI Diploma Preparation Course

in collaboration with the House of Training Quality Cercle ACI Luxembourg

ACI, the Financial Markets Association, is a leading, global association of wholesale financial market professionals.
These markets are dynamic and fast changing and thus demand highly qualified people with wide-ranging market skills and knowledge.
ACI Luxembourg and the House of Training have joined their efforts and propose preparation courses for the major ACI examinations. The strategy, format and contents of ACI's education and examination programs are defined by the ACI Board of Education. The ACI Diploma is designed to ensure that candidates acquire a superior theoretical and practical knowledge of the foreign exchange and money markets, their related instruments and the linkages that exist between those markets and the practice of risk management. Candidates are expected to have acquired a solid grounding in the core subject areas and have the have the requisite skills in financial mathematics prior to matriculating for the Diploma.

Target Group

This programme aims to prepare professionals such as Senior foreign exchange and money market dealers, Corporate and bank treasurers, Senior operations staff.

In order to be eligible to take the ACI Diploma examination, candidates must have
passed either the ACI Dealing Certificate or the Operations Certificate examination.

A prior preparation of 2 months is requested.


The ACI Diploma examination takes place at a Prometric Test Centre. All the relevant information can be found on the website:

Material: A guide to ACI Diploma (will be provided)
Syllabus Syllabus (incl. details of each topic and examination procedures):

Location & Duration

In Luxembourg: 5 days

Detailed programme Explode

Interest Calculations & Money Market, Fixed Income & Bond Futures

  • Money Market Paper
  • Repos and Sell buy backs
  • Trading on the Money Market
  • Relationship between Spot Rates and Strip Forward Rates
  • Review FRAs
  • Calculation of the Effective Interest Costs with an FRA
  • Synthetic FRAs
  • Bond pricing
  • Zero-Coupon Rates
  • Duration and Basis Point Value

Foreign Exchange

  • Time Options
  • NDFs
  • Valuation of an FX forward position
  • Calculation of theoretical swap points
  • Liquidity effects with rolling over FX forwards
  • Adjustment of the swap points when concluding FX swaps at off-market prices
  • FX rates for value today/tomorrow
  • Calculations of the effect on the result of rolling over an FX spot position
  • Pricing FX swaps out of today/tomorrow
  • Calculate break-even rates for forward positions in FX swaps
  • Valuation of an FX swap position
  • Covered Interest Arbitrage
  • Calculate the price of a synthetic loan through an FX swap
  • Arbitrage between FX swaps and FRAs
  • Composition and price of synthetic FRAs

Linear OTC Interest Rate Derivatives

  • Features of STIR Futures
  • Basis with STIR Futures
  • Hedging Imperfections
  • Spread Trading including Butterfly and Condor
  • Features of Bond Futures
  • Cheapest to deliver
  • Arbitrage between Repos and Bond Futures
  • Calculation of Interest Amounts of Overnight Index Swaps
  • Valuation of an IRS
  • Arbitrage Opportunities between FRAs, Money Market Futures and IRS
  • Basis swaps
  • Cross Currency Interest Rate Swaps
  • Hedging a CRS
  • Covered Interest Arbitrage with a CRS


  • Features of Options
  • Conceptual Explanation of the Black-Scholes Model
  • Risk Parameters of Options, the Greek Parameter
  • Call-Put Parity
  • Determination of a Forward Price by using Prices of Options
  • Delta hedging
  • Trading Strategies: Butterfly, Condor and other Spreads
  • Interest Rate Options: Cap, Floor and Swaption
  • Review Day 1

Risk Management

  • Risk Management Organization
  • Types of Credit Risk
  • PD, LGD and EAD
  • Netting types
  • The role of a central counterparty
  • Diversified and undiversified VaR
  • Calculation of single VaR with the parametric method
  • Convert year volatility into month, week or day volatility
  • Regulatory capital and economic capital
  • Basel Accords
  • Calculation of capital requirements for financial instruments
  • Review Day 2

Last Day: Review and Trial Exams

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