In order to address the changes resulting from the 2008-09 recession, this project created training for foreign exchange salespeople in Royal Bank of Scotland (RBS) on credit charges, funding rate changes, a new pricing tool and new-hire appropriate conduct, with technical improvements for some current applications. In addition to fulfil RBS's expectation, the project explores the pricing details of Interest Rate Swap Option (Swaption) in MATLAB through both analytical approach and Monte Carlo simulation.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Wang, Boya

Publisher

• Worcester Polytechnic Institute

Identifier

• E-project-030910-152438

Advisor

• Gerstenfeld, Arthur
• Dougherty, Daniel J.
• Xie, Weiwei

Year

• 2010

Center

• Wall Street-FinTech Project Center (London) - MQP

Sponsor

• Royal Bank of Scotland

Date created

• 2010-03-09

Resource type

• Major Qualifying Project

Major

• Computer Science
• Mathematical Sciences

Source

• E-project-030910-152438

Rights statement

• In Copyright

Last modified

• 2023-11-01