Basics:

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1.       Direct, Indirect, to identify Home Currency

2.       Given mid rate and spread, Calculate bid and ask rate

3.       Given bid and ask, calculate mid rate and spread

4.       Percentage spread

5.       Implied Inverse Quote

6.       Broken Date (odd date forwards)

7.       Given forward swap points and spot rate (bid and ask) calculate outright forward (To correctly identify addition or subtraction of forward rates)

8.       Given spot and forward rates. Calculate percentage forward premium or discount.

9.       Calculate cross rates.

Arbitrage:

10.   Geographical (Two point) arbitrage

11.   Triangular Arbitrage with single rate (bid/ask not given)

12.   Triangular arbitrage with two-way quote (bid/ask rate given)

13.   International Fischer Effect formula to determine forward rate, given interest rates and spot rate.

14.   Covered interest Arbitrage. Given single rate quote and single interest rate

15.   Very simple example type case let on forward, futures and options.

Note: This list is based on past university papers and university workshop held in 2001. However, it remains unclear whether following is part of syllabus or not:

1. Arbitrage with Transaction Cost

2. Covered Interest Arbitrage with

– Two way (bid/ask) quote

– Two different interest rates for borrowing and deposits, respectively,

3. Caselets of future and options at advanced level.

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