Instruments traded in the financial markets are getting more and more complex. This leads to more complex derivative structures that are harder to analyse and risk managed. These instruments cannot be traded or managed without the relevant systems and numerical techniques.

The global economy is becoming more and more interlinked with trading between countries skyrocketing. Due to the world trade, foreign exchange forwards, futures, options and exotics are becoming increasingly commonplace in today’s capital markets.

The objective of these notes is to let the reader develop a solid understanding of the current currency derivatives used in international treasury management with an emphasis on the African continent. This will give participants the mathematical and practical background necessary to deal with all the products on the market.