Computer methodology providing as-of-day volatility surface construction for pricing
US10529022B2 · kind B2 · utility
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18Claims
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Key dates
| Filing date | Jan 12, 2017 |
| Grant date | Jan 7, 2020 |
| Priority date | — |
| Expiry date | Nov 10, 2037 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A method and system are disclosed for more efficiently constructing a volatility surface. The methodology results in measurable reduction in the quantity of storage memory space needed on a computer executing the novel methodology, reduces the measurable, on-demand computational load on the processor(s) of a computer executing the novel methodology, and also permits as-of-day calculations of the volatility surface that were previously impossible to obtain in near real-time.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.