Automated and reliable determination of a forward value associated with a future time period based on objectively determined expectations related thereto
US11386486B1 · kind B1 · utility
Assignee
Inventors
Key dates
| Filing date | Apr 16, 2018 |
| Grant date | Jul 12, 2022 |
| Priority date | — |
| Expiry date | Jul 16, 2040 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/02
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
The disclosed embodiments relate to computing a forward interest rate for a select future time period subsequent to a current date, such as 1 month, 3 month, 6 month or 12 month term, utilizing data observed or otherwise derived from the trading of futures contracts having short term interest rate based underliers, e.g. based on overnight interest rates, and, in one embodiment, are integrated with an electronic transaction processing system, e.g. an electronic trading system, to access data indicative of the trading thereof, and therefore avoid reliance upon subjective/opinion inputs. Generally, the disclosed embodiments generate a model of expected interest rates for every day of the time period for which a forward interest rate is desired based on a set of interest rate futures contract whose expiration periods cover the period. The disclosed embodiments enable automated determination of a stable, replicatable and risk-free short term forward reference rate which further eliminates the inherent issues with LIBOR discussed above.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.