Hi All

Please see below instructions for the final project.

Assessment for Module Six is carried out by the means of a programming project. It is designed to give an opportunity for further study of numerical methods required to implement and validate a quantitative model.

To complete the project, you must implement one of the listed topics plus the CVA component.

1. Portfolio Construction using Machine Learning
2. Arbitrage Trading Strategy Design & Backtest
3. Pricing A Credit Spread Product
4. Interest Rate Modeling for Counterparty Risk
5. Local Volatility in Interest Rates

All. CVA Calculation for an Interest Rate Swap (CVA component is a mandatory addition for all topics as it balances exposure to the quant modeling in rates and credit.)


Electives are not a condition to complete the project. They give ideas on what to implement/write in analysis and discussion.

The elective material to support your project work is now available on the portal under Advanced Electives. There are fourteen elective topics in total and you will need to choose two topics to assist you with your project. You will have up until the 15th June 2018 to make your choices. All fourteen electives will be visible up until this point.

To select your electives please log into your portal:
Module Resources
Advanced Electives

You will have up until the deadline to change your choices. After the deadline date, only the two electives you have chosen will be visible. All electives will be available on the Lifelong Learning section of the portal by this point.

Please see attached Project Brief for full instructions.

Delegates are advised to print out the section of this Brief for their chosen topic and CVA component.

CVA component is required for all delegates. It contributes up to 20-30% of the project, depending on your implementation.

Submission date for the project is Thursday 19th July, 23.59 BST

Absolutely no extensions will be accepted, any delegate who fails to hand in their work will be deferred with no exceptions.

Submission Requirements

Submit working code together with a well-written report and originality declaration.
Project report to have an exact title from the list above and content must correspond to it. Guided length is 30-50 pages, excluding code.
Submissions to be uploaded to online portal only. Upload format: one written report, (PDF), one zip archive with code and data files, and one scanned declaration (PDF).

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