Student Work

Back-test Modeling and Analysis of Dynamic FX Indices

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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.

  • 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.
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Identifier
  • E-project-030112-140223
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Year
  • 2012
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Date created
  • 2012-03-01
Location
  • New York
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