Calculate present value, future value and yield measures for bonds and money market instruments accurately.
Finance & Banking
Applied Financial Mathematics for Banking and Treasury Professionals
Master the quantitative core of banking and treasury work: discounting, bond pricing, yield curves, duration, FX arithmetic and option basics, built through worked calculations and spreadsheet models.
🗓️Duration5 training days
📚Content4 modules · 8 sessions
🎓On completionAccredited attendance certificate
About the programme
Course Overview
Treasury and finance teams price loans, discount cash flows and hedge interest rate exposure every day, yet many practitioners rely on spreadsheet templates they cannot rebuild or check when a number looks wrong. This course builds the applied financial mathematics behind those templates: time value of money, day count conventions, bond pricing and yield measures, yield curve construction, duration and convexity, foreign exchange arithmetic, money market yield conversions, and the pricing logic behind basic options. Each topic is taught through worked calculations rather than formulas alone, so participants learn to bootstrap a yield curve from bond prices, compute a bond's clean and dirty price, size a duration-matched hedge, and price a forward FX contract by hand before automating it. Sessions combine short technical explanations with guided spreadsheet exercises using XNPV, XIRR, data tables and goal seek, building toward independent models participants can defend to a risk or audit reviewer. The result is a practitioner who can verify a counterparty's quote, explain a yield curve shift to a manager, and build a treasury model from first principles rather than trusting a black box.
Expected Learning Outcomes
Bootstrap a yield curve from market bond prices and derive implied forward rates.
Measure interest rate risk using duration, convexity, DV01 and PVBP on individual positions and portfolios.
Price forward foreign exchange contracts and reconcile quotes using covered interest rate parity.
Apply option pricing fundamentals and interpret the Greeks for hedging and trading decisions.
Build spreadsheet-based valuation and sensitivity models for treasury financing and investment choices.
Identify day count convention and compounding errors that distort loan, deposit and bond calculations.
Who Should Attend
Treasury analysts responsible for cash and liquidity forecasting.
Bank finance professionals moving into asset and liability management roles.
Credit and lending officers who need to verify pricing and repayment calculations.
Corporate treasury staff negotiating loan and hedging terms with banks.
Risk management analysts building interest rate and market risk reports.
Finance graduates preparing for quantitative roles in banking and treasury.
Course Modules
Select any module to see its sessions and points.
01Time Value of Money and Fixed Income Mathematics
2 sessions · 8 points
Session 1Discounting, Compounding and Cash Flow Valuation
- Calculate present and future values of single cash flows and annuities using nominal and effective interest rates.
- Convert between compounding frequencies and derive the effective annual rate for competing funding quotes.
- Apply Actual/360, Actual/365 and 30/360 day count conventions correctly to loan and deposit calculations.
- Build an amortisation schedule that separates interest and principal under the effective interest rate method.
Session 2Bond Pricing, Yield Measures and Day Count Conventions
- Price a coupon bond from its cash flows and reconcile clean price, dirty price and accrued interest.
- Compute yield to maturity, current yield and yield to call, and explain when each measure misleads.
- Distinguish bond-equivalent yield from discount yield when comparing Treasury bills and coupon instruments.
- Reconcile a bond's quoted price against a broker statement to catch day count or settlement date errors.
02Yield Curves and Interest Rate Risk Metrics
2 sessions · 8 points
Session 1Building and Interpreting the Yield Curve
- Bootstrap zero-coupon rates from a set of coupon-bearing government bond prices.
- Derive implied forward rates from the spot curve and test them against market forward rate agreements.
- Compare par, spot and forward curve shapes and explain what each signals about rate expectations.
- Interpolate missing tenor points on the curve using linear and cubic spline methods.
Session 2Duration, Convexity and Basis Point Value
- Calculate Macaulay duration, modified duration and convexity for a bond portfolio.
- Estimate the price impact of a rate shock using duration and convexity together, then check against full repricing.
- Compute DV01 and PVBP for individual positions and aggregate them into a portfolio risk figure.
- Construct a duration-matched hedge using a different instrument to neutralise parallel rate shifts.
03Foreign Exchange and Money Market Calculations
2 sessions · 8 points
Session 1Spot, Forward and Cross-Rate Arithmetic
- Calculate outright forward rates from spot rates and interest rate differentials using covered interest rate parity.
- Derive cross rates between two non-dollar currencies from their respective dollar quotes.
- Price a forward FX contract and identify the forward points as a premium or discount.
- Reconcile a dealer's forward quote against a manually calculated theoretical forward rate.
Session 2Money Market Instruments and Discount Yields
- Convert between discount yield and bond-equivalent yield for Treasury bills and commercial paper.
- Calculate the effective cost of a commercial paper programme including fees and discount rate.
- Compare certificate of deposit and repo pricing conventions used by treasury counterparties.
- Build a short-term cash investment ladder that matches projected liquidity needs to instrument maturities.
04Derivatives Mathematics and Applied Modelling
2 sessions · 8 points
Session 1Option Pricing Foundations and the Greeks
- Apply the Black-Scholes framework to price a vanilla FX or interest rate option.
- Verify put-call parity holds for a matched pair of option quotes.
- Interpret delta, gamma, vega and theta to explain how an option's value responds to market moves.
- Use a binomial tree to price a simple option and compare the result with the closed-form solution.
Session 2Building Spreadsheet Models for Treasury Decisions
- Build an XNPV and XIRR model to evaluate irregular cash flow financing proposals.
- Use data tables and goal seek to test the sensitivity of a funding decision to rate assumptions.
- Run a basic Monte Carlo simulation to estimate the distribution of outcomes for a treasury exposure.
- Document model assumptions and version control in line with a model risk governance checklist.
What the participant receives
4 course modules
A structured syllabus
8 training sessions
across 5 days
32 detailed points
Applied, detailed content
Accredited attendance certificate
On completing the programme
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