MODULE 015 h planned
Discounting, Zero-Coupon Curves & No-Arbitrage
Time value of money, discount factors, zero rates, compounding and implied forward rates.
Practical: reconstruct forwards and test no-arbitrage identities.
Alpha Stochastic ResearchSpecialised Training Programme
Understand rates.
Build the models.
FIIDQ — Fixed Income & Interest Rate Derivatives Quantitative Training — develops the mathematical, numerical and research discipline behind fixed-income valuation and derivatives modelling.
Instructor-led modules · reproducible practical work · independently assessed capstone
FIIDQ / QUANTITATIVE FOUNDATIONS
From zero curves
to rate options.
MODEL / 01—06
01—04 Valuation & curves05—06 Dynamics & options
06TECHNICAL MODULES
09 hLIVE PRACTICAL LABS
42 hPLANNED LEARNING WORKLOAD
01INTEGRATED CAPSTONE
THE PROGRAMME
Quantitative foundations with a clear progression.
FIIDQ is a structured ASR training pathway for participants who want to understand how rates instruments are priced, risk is measured and models are tested. Every topic moves from financial intuition to equations, reproducible implementation and interpretation.
Discounting→Bond risk→FRAs & swaps→Multi-curve→Short-rate models→Options on rates
CURRICULUM / 01—06
Six modules. One connected rates framework.
Designed to progress from foundational mathematics to an integrated pricing and risk workflow.
MODULE 025 h planned
Bonds, Yield Measures & Interest-Rate Risk
Cash-flow pricing, clean and dirty price, YTM, duration, convexity and DV01.
Practical: build a bond-risk workbook and analyse yield shocks.
MODULE 035 h planned
Forward Rate Agreements & Interest-Rate Swaps
FRA timing, forward rates, swap legs, par swap rates and hedge valuation.
Practical: reproduce FRA and payer-swap valuations.
MODULE 045 h planned
Curve Construction & Multi-Curve Frameworks
Bootstrapping, quote conventions, interpolation, OIS discounting and forward projection.
Practical: bootstrap a curve and reprice calibration instruments.
MODULE 055 h planned
Short-Rate Models
Vasicek, CIR and Hull–White foundations, mean reversion, simulation and P versus Q.
Practical: simulate short-rate paths and validate their moments.
MODULE 065 h planned
Caps, Floors & Swaptions
Caplet and floorlet payoffs, parity, Black–76, Bachelier and option sensitivities.
Practical: price rate options and challenge model conventions.
LEARNING EXPERIENCE
Learn it. Implement it. Defend it.
FIIDQ connects guided instruction to repeatable quantitative work, rather than passive attendance or unreviewed code output.
01
Concepts & derivations
Instructor-led explanations of conventions, pricing identities and economic intuition.
02
Live practical laboratories
Six 90-minute Excel/Python demonstrations with scenario experiments and numerical QA.
03
Independent homework
Reproducible Python submissions that state assumptions, run checks and interpret results.
04
Integrated assessment
A final capstone combining pricing, sensitivity, model validation and a technical memo.
FINAL ASSESSMENT
One integrated capstone.
Participants assemble a documented rates research and valuation workflow, with a clear line between educational models, observed data and production claims.
- Data provenance, units and documented assumptions
- Curves, bond valuation, DV01 and stress scenarios
- FRA / swap logic and option pricing conventions
- Short-rate estimation and validation diagnostics
- Reproducibility, limitations and written technical memo
ASSESSMENT FRAMEWORK
Evidence-based completion.
30Homework points (6 × 5)
70Capstone points
75/100Required aggregate score
45/70Minimum capstone score
The detailed internal capstone rubric is out of 200 and is normalised to a 70-point capstone contribution. An ASR certificate of completion is issued only upon successful assessment; no external accreditation is implied.
PARTICIPATION
Who FIIDQ is designed for.
Participants developing quantitative fixed-income foundations, including ASR trainees, early-stage researchers and mathematically inclined students.
Recommended preparation includes calculus, introductory probability, basic fixed-income concepts and comfort interpreting mathematical formulas. Python familiarity is beneficial; the training includes structured implementation walkthroughs.
COMMON QUESTIONS
Is FIIDQ open for public enrolment?
FIIDQ is an ASR trainee programme. Availability and eligibility depend on the current intake; consult the official application page for current recruitment status.
Is prior Python knowledge required?
Basic programming familiarity helps. The practicals are instructor-led, while independent homework requires reproducible numerical work.
Does completion include a certificate?
ASR may issue its own certificate of completion when all published assessment requirements are met. This is not a university degree or a regulated professional qualification.
Is FIIDQ CPD-accredited?
No external CPD accreditation is claimed on this page. The programme's learning objectives and workload are being documented for possible independent evaluation.
FIIDQ / ALPHA STOCHASTIC RESEARCH
A more disciplined route into fixed income.
Review the full public syllabus, programme expectations and current ASR application information.