Project Type MQP Submission date 2012-03-01 Authors John Paul Syriopoulos, IE Antonio S Talledo, IE URN E-project-030112-140223 Center WS / Wall Street MQP Sponsor Royal Bank of Scotland Title Back-test Modeling and Analysis of Dynamic FX Indices Advisors Gerstenfeld, Arthur, MG Wang, Tsung-Yi, MG Availability unrestricted
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.
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