Faculty Advisor

Gerstenfeld, Arthur

Faculty Advisor

Wang, Tsung-Yi

Center

Wall Street MQP

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.

Publisher

Worcester Polytechnic Institute

Date Accepted

March 2012

Major

Industrial Engineering

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Business

Project Center

Wall Street MQP

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