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