1. Meaning of Financial Engineering

2. Case: Money Market Loan

1. Markets

2. Players

3. Deal Mechanics

4. Conventions

5. Positions

[Appendix]

• Margin Purchase vs. Short Sales [PDF]

1. A Few Basic CF Diagrams

2. Forwards

3. Currency Forwards

4. Contractual Equations and Applications

5. Futures

6. FX Swaps and their Relatives

[Appendix]

• Forward vs. Futures [PDF]

• Cost of Carry, Contango and Backwardation [PDF]

• An Arb. of Exchange Rate and Interest Rate Gaps [PDF]

1. Introduction

• Convergence play, terminologies

2. Forward Loans

• Bond market replication

• Money market replication

• Other applications

3. Forward Rate Agreements(FRAs)

4. Eurocurrency Futures

5. Bond Prices and Forward Rates

[Appendix]

• Yield Curve Strategy and TED Spread Strategy [PDF]

1. Swap

2. Interest Rate Swap[* fundamental theorem required]

• Pricing: horizontal decomposition

• Pricing: vertical decomposition

3. Technical Remarks

4. Currency vs. FX Swaps

[Appendix]

• Well Known Swaps [PDF]

• Synthetic Short Sales [PDF]

• FX Swaps [PDF]

1. Repo

• Clean vs. dirty prices

2. Financial Engineering using Repos

[Appendix]

• Repo in Financial Engineering [PDF]

1. Dynamic Replication of a Bond

2. Dynamic Replication of a Call Option

3. Comparison with Immunization

[Appendix]

• Self-Financing Portfolio and Immunization [PDF]