Bob Steiner is the founder/managing director of Markets International, an independent training company. A former treasury officer and financial consultant he’s also the author of Mastering Financial Calculations, now in its second edition.

TIME VALUE OF MONEY

Simple Interest and Compound Interest

Equivalent Rate, Effective Rate and Continuously Compounded Rate

Future Value (FV), Present Value (PV), Rate of Discount and Discount Factor

Net Present Value (NPV), and Internal Rate of Return (IRR)

Money-weighted and Time-weighted Rates of Return

Annuity

THE MONEY MARKETS

Certificate of Deposit (CD), Commercial Paper (CP), Treasury Bill, True Yield and Discount Rate

Value Dates, Interpolation and Extrapolation

ZERO-COUPON YIELD AND YIELD CURVE

Zero-coupon Yield, the Spot Yield Curve and Bootstrapping

The Par Yield Curve

The Forward-forward Yield Curve

FORWARD-FORWARDS, FRAS AND FUTURES

Forward-forward Interest Rate

Forward Rate Agreement (FRA)

Stir Futures Contract and Margin

Basis Risk

Spread, Butterfly Spread and Condor

STRIP

THE BOND AND REPO MARKETS

Accrued Interest, Clean Price and Dirty Price

Money Market Basis and Bond Basis

Yield to Maturity (YTM)

Current Yield and Simple Yield to Maturity

Zero-coupon Security and STRIP

Asset-backed Securities (ABS), Mortgage-backed Securities (MBS), Collateralized Debt Obligations (CDO) and Covered Bonds

Bond Futures, Conversion Factor and Cheapest-to-deliver (CTD)

Cash-and-carry Arbitrage and Implied Repo Rate

Duration, Modified Duration, Price Value of a Basis Point (PVB), Dollar Value of an 01 (DV01) and Convexity

Hedge Ratio

Repo and Reverse Repo

Haircut and Margin

Buy/Sell -Back and Sell/Buy-Back

Securities Lending/Borrowing

THE SWAPS MARKET

Interest Rate Swap (IRS)

Asset Swap and Liability Swap

Overnight Index Swap (OIS)

Currency Swap

FOREIGN EXCHANGE

Forward Outright and Forward Swap

Cross-rate

Short Dates

Forward-forward Exchange Rate

Non-deliverable Forward (NDF)

OPTIONS

Calls and Puts

The Black and Scholes Pricing Model

Historic Volatility and Implied Volatility

Binomial Pricing Model

The Put/Call Parity

Cap, Floor, Collar and Zero-cost Option

Break Forward, Range Forward and Participation Forward

Option Trading Strategies: Straddle, Strangle, Spread, Butterfly, Condor, Ratio Spread and Risk Reversal

Barrier Options: Knock-out Option and Knock-in Option

Credit Derivatives, Synthetic CDO and First-to-default Baskets

The ‘Greeks’: Delta, Gamma, Vega, Theta and Rho

STATISTICS

Mean, Median and Mode

Variance and Standard Deviation

Correlation and Covariance

Probability Density and the Normal Probability Function

RISK MANAGEMENT AND INVESTMENT MANAGEMENT

Value at Risk (VaR)

The Capital Adequacy Ratio

Efficient Markets Hypothesis

APPENDICES

Glossary

Day/Year Conventions for Money Markets