Alpha Stochastic ResearchFixed Income & Interest Rate Derivatives Quantitative Training
Six technical modules, guided practicals, independent assessment and an integrated capstone.
Programme version 1.0 · Published 9 October 2026 · Prepared by Alpha Stochastic Research
| Awarding / delivering organisation | Alpha Stochastic Research (ASR) |
|---|---|
| Programme | FIIDQ — Fixed Income & Interest Rate Derivatives Quantitative Training |
| Subject area | Fixed income, interest-rate derivatives, financial mathematics, quantitative modelling and risk |
| Language | English |
| Intended audience | ASR trainees and quantitative finance participants meeting the entry expectations |
| Delivery model | Instructor-led teaching, guided Excel/Python practicals, independent Python homework, assessed capstone |
| Module count | 6 |
| Planned learning workload | 42 hours: 18 instructor-led / facilitated, 12 module homework, 12 capstone |
| Assessment | 30 points continuous homework + 70 points capstone; certification threshold 75/100 and at least 45/70 on capstone |
| Completion recognition | ASR certificate of completion, subject to successful assessment (not externally accredited) |
FIIDQ develops the quantitative foundations needed to reason about rates instruments and derivatives in a reproducible research setting. Participants move from term-structure identities to bond and swap pricing, modern curve architecture, stochastic models and rate-option conventions.
On successful completion, a participant should be able to:
Recommended preparation: introductory calculus and probability, mathematical reasoning, basic fixed-income financial vocabulary and comfort using tabular data. Prior Python or spreadsheet experience is advantageous. Participation in an ASR intake is subject to the current recruitment policy; this syllabus does not represent an open-enrolment offer.
| Teaching component | Per module | Programme total | Status |
|---|---|---|---|
| Concepts / theory seminar | 90 minutes | 9 hours | Proposed schedule |
| Instructor-led practical | 90 minutes | 9 hours | Recorded in existing teaching plan |
| Independent Python homework | 120 minutes | 12 hours | Proposed workload |
| Final integrated capstone | — | 12 hours | Proposed workload |
| Total | 5 hours / module | 42 hours | Planned learning workload, not awarded CPD credits |
Recommended sequence: one module per teaching week (theory → practical → homework / checkpoint), followed by a capstone stage. Course administration records actual attendance and reviewed submissions. Independent study hours are workload estimates and must not be presented as verified contact hours.
| Elapsed time | Learning activity | Duration |
|---|---|---|
| 00:00–00:15 | Recap of equations, conventions and risks | 15 min |
| 00:15–00:35 | Live implementation / notebook walkthrough | 20 min |
| 00:35–01:05 | Parameter experiments, numerical plots and discussion | 30 min |
| 01:05–01:20 | Numerical assertions and limitation checks | 15 min |
| 01:20–01:30 | Research handoff, interpretation and homework briefing | 10 min |
| Total | 90 min |
Core topics. Present value, zero-coupon cash flows, discount factors, continuous/annual compounding, zero and forward curves, no-arbitrage replication.
Practical. Build a synthetic curve and reconstruct the forward identity; bump a selected zero-rate pillar and check the PV response.
Evidence. Calculations, labelled curve plots, reconstruction tests and commentary on interpolation / market conventions.
Core topics. Coupon cash flows, clean and dirty prices, accrued interest, yield to maturity, Macaulay/modified duration, convexity and DV01.
Practical. Implement a bond cash-flow schedule and compare exact yield-shock repricing against first- and second-order approximations.
Evidence. Signed sensitivity interpretation, finite-difference comparison and conventions statement.
Core topics. FRA contract and settlement timing, simple forwards, payer/receiver positions, fixed and floating legs, par swap rate.
Practical. Value a synthetic 1Y–1.5Y FRA and five-year single-curve swap; test how payer strike affects valuation.
Evidence. FRA-at-par and swap-value identity checks, leg schedule and stated single-curve limitations.
Core topics. Instrument quote conventions, par-quote bootstrapping, positive discount factors, log-DF interpolation, OIS-based discounting and projection curves.
Practical. Bootstrap annual swap quotes, reprice calibration instruments and compare discounting against forward projection assumptions.
Evidence. Residual checks, selected pillar shock and documented model limitations.
Core topics. Stochastic short rate, Vasicek mean reversion, CIR and Hull–White foundations, exact moments, historical P versus risk-neutral Q.
Practical. Generate seeded Vasicek paths, study the effect of kappa and sigma, and compare simulated and analytical moments.
Evidence. Seeded reproducibility, numerical diagnostics and explicit distinction between estimation and Q-calibration.
Core topics. Caplets, floorlets, put/call parity in rates, payer swaptions, Black–76, Bachelier, option Greeks and volatility conventions.
Practical. Implement synthetic rate-option pricing, compare pricing conventions and check negative-forward handling under normal models.
Evidence. Parity, invalid-input rejection, delta/vega diagnostics and clear model-risk notes.
Each of the six modules includes a separate independent homework assessment. Participant submissions should:
Instructor notebooks and instructor solutions are retained separately and are not distributed as candidate answers.
The capstone tests the participant's ability to connect and validate the methods from all six modules. Indicative completion workload: 12 hours. The capstone comprises the following reviewed evidence stages.
| Stage | Workstream | Expected evidence |
|---|---|---|
| 01 | Data & sources | Source dates, provenance, missingness, observed/proxy/synthetic labels |
| 02 | Curve construction | Discount factors, zero rates, forwards, identity checks |
| 03 | Bond risk | Pricing, YTM, duration, DV01, convexity |
| 04 | FRA & swaps | Forward, settlement, single-curve swap valuation |
| 05 | Rate optionality | Normal/lognormal pricing conventions and payer swaption |
| 06 | Short-rate methods | Vasicek estimates, analytical moments, simulation limitations |
| 07 | Stress scenarios | Parallel, slope and butterfly risk analysis |
| 08 | Backtest integrity | Chronological in/out-of-sample discipline and stated costs |
| 09 | Final memo | Findings, limitations, negative results and research boundary |
| 10 | Review rubric | Documented independent assessment against 200-point detailed rubric |
Technical boundary. Simulated curves and educational notebooks are not live market quotes or authorised trading software. Passing numerical checks does not constitute model validation for production or a licence to deploy capital.
| Component | Score | Completion condition |
|---|---|---|
| Six module homework submissions | 5 points each, 30 total | Submitted and reviewed |
| Integrated capstone | 70 points | At least 45/70 |
| Overall certification decision | 100 points | At least 75/100 overall, subject to capstone minimum |
The detailed internal capstone grading rubric scores 200 raw points, which are proportionally converted to the 70-point final capstone contribution. A participant meeting the applicable attendance, submission and scoring requirements may receive an ASR-issued certificate of completion.
ASR instructional material emphasises reproducibility, documented assumptions, model-risk acknowledgement, numerical validation and independent review. The programme is an ASR-administered educational course. It is not a university award, a regulated professional qualification, an investment recommendation or evidence of any external CPD accreditation. Actual contact-hours, completion evidence, external programme recognition and the current recruitment status must be confirmed separately.
Official programme page: www.asr-lab.online/training/
Application information: www.asr-lab.online/apply/
General enquiries: ASR Support
© 2026 Alpha Stochastic Research. Public syllabus, version 1.0. Programme scope and workload may be updated prospectively with a published revision. Printed copies may not reflect the latest public version.