Valuation of derivative products
US8219472B2 · kind B2 · utility
2Cited by
0References
22Claims
0Family size
Assignee
Inventors
Key dates
| Filing date | Oct 29, 2008 |
| Grant date | Jul 10, 2012 |
| Priority date | — |
| Expiry date | Jun 12, 2030 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/03
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
Disclosed are a method, apparatus, and computer-readable medium for determining the value of a derivative product over nonconsecutive periods. The derivative product may be an interest rate swap product, which, when exchanged traded, normally is valued on a mark-to-market basis over consecutive periods. The product may be valued using swap value factors and settlement values according to the methodology disclosed herein.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.