Sales Training and Swaption Pricing under New Regulatory Environment
Dougherty, Daniel J.
Royal Bank of Scotland
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.
Worcester Polytechnic Institute
Major Qualifying Project
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