Evaluation and adjustment of settlement value curves

Details Evaluation and adjustment of settlement value curves Evaluation and adjustment of settlement value curves

2008-12-05

2011-11-15

Kyle, Charles (Department: 3695)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

Reexamination Certificate

active

08060425

ABSTRACT:
Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium.

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Assessing Specification Errors in Stochastic Discount Factor Models, Hansen. L.P., Jagannathan, R., The Journal of Finane (52) 2 (Jun. 1997), pp. 557-590.
International Search Report from PCT/US09/66707 dated Jan. 29, 2010, 2 pages.

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