This project demonstrated the interoperability of Microsoft's .NET technology with the existing infrastructure at Lehman Brothers. Using C#, we created a client application that allows users to calculate Value at Risk for counter-party swap portfolios. We also implemented ASP.NET web services and caching techniques on a middleware server to support the functionality and performance requirements of the client. The final system was dubbed LR Net; it surpassed the performance and usability of existing web applications at Lehman Brothers.

• 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

• Chen, Lian
• Gharabally, Sam Hameed
• Gogos, Steven Timothy

Publisher

• Worcester Polytechnic Institute

Identifier

• 03B024M

Advisor

• Ciaraldi, Michael J.

Year

• 2003

Sponsor

• Lehman Brothers Holdings, Inc

Date created

• 2003-01-01

Resource type

• Major Qualifying Project

Major

• Computer Science

Rights statement

• In Copyright