Two swap pricing models were developed at Bank of America's London office. The credit default swap model takes market offer and bid prices of individual swaps to calculate the intrinsic value of a CDS index, facilitating skew trades and completing client valuation requests. The asset swap model constructs a LIBOR curve, provides detailed cash flow analysis and spread valuation, and measures interest risk. Both models produce accurate valuations and contribute to daily trading operations at Bank of America.

• 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

• Gao, Yang

Publisher

• Worcester Polytechnic Institute

Identifier

• 07C012M

Advisor

• Abraham, Jon P.
• Gerstenfeld, Arthur

Year

• 2007

Center

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

Sponsor

• Bank of America - London

Date created

• 2007-01-01

Resource type

• Major Qualifying Project

Major

• Actuarial Mathematics

Rights statement

• In Copyright

License

• All rights reserved