Fixed income portfolio data processor

Details Fixed income portfolio data processor Fixed income portfolio data processor

1997-05-09

1999-01-05

Cosimano, Edward R.

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

Automated electrical financial or business practice or...

Finance

G07B 1760

Patent

active

058571760

ABSTRACT:
A data processing system receives a continuous stream of real time transactional data regarding market transactions of fixed income securities. The incoming data is qualified and then used to determine the term structure of interest rates based on price information. The system provides linear interpolation techniques to complete an operative data set. This set is updated with current trade data, with term structure shifting using pivot points from newly qualified data. An index value for a pre-select portfolio of securities is then calculated and expressed in terms of price relative to par, yield to maturity and duration.

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