Worcester Polytechnic Institute Electronic Projects Collection

Title page for E-project-030112-140223


Project TypeMQP
Submission date2012-03-01
Authors
  • John Paul Syriopoulos, IE
  • Antonio S Talledo, IE
  • URNE-project-030112-140223
    CenterWS / Wall Street MQP
    SponsorRoyal Bank of Scotland
    TitleBack-test Modeling and Analysis of Dynamic FX Indices
    Advisors
  • Gerstenfeld, Arthur, MG
  • Wang, Tsung-Yi, MG
  • Availability unrestricted

    Abstract

    This project involves the implementation of Dynamic Foreign Exchange Indices with MATLAB programming software. We developed a generic template in MATLAB that will be used as a tool by the Royal Bank of Scotland Foreign Exchange Structuring Desk to create and modify FX indices more effective and efficiently. Besides the time savings and convenience, the new MATLAB tool with also enable the Structuring desk to offer more complex indices to its retail clients due to its greater computing power relative to Excel.

    Files
  • FinalMQPTalledoSyriopoulos.pdf

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