System for providing a correlation index

US8606682B1 · kind B1 · utility

Assignee

• Bank of America Corporation · US

Inventors

• Karen L. Chang · New York, US
• Peter Joseph Williams · Pittsboro, US
• Yonathan Epelbaum · New York, US
• Vincent Ronsil · New York, US
• Michael Ebert · New York, US
• Edward Mok · Englewood Cliffs, US
• Chiyan Luo · New Rochelle, US

Key dates

• Filing date: Nov 30, 2012
• Grant date: Dec 10, 2013
• Expiry date: Nov 30, 2032

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/00
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

A system includes a memory and a processor communicatively coupled to the memory. The memory stores a correlation index that is based at least in part on a portfolio of index options, a plurality of stock options, and a plurality of deltas computed using a plurality of constant flat implied volatilities. The processor determines a value of the correlation index by selecting a plurality of strike prices for each of the index and stock options, computing a constant flat implied volatility for an index and a plurality of stocks on a first date, and computing the plurality of deltas using the plurality of constant flat implied volatilities.