Methods and systems for interest rate prediction

Details Methods and systems for interest rate prediction Methods and systems for interest rate prediction

2010-04-08

2011-12-27

Subramanian, Narayanswamy (Department: 3695)

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

Automated electrical financial or business practice or...

Finance

C705S035000, C705S037000

Reexamination Certificate

active

08086516

ABSTRACT:
In one aspect, the invention comprises a computer-implemented method for predicting interest rates, comprising the steps of: electronically receiving data describing one or more Fed fund futures rates; electronically adjusting the data describing the one or more Fed fund futures rates to obtain adjusted data regarding the one or more Fed fund futures rates; and electronically determining data regarding one or more expected Fed fund target rates. In another aspect, the invention comprises a system for predicting interest rates, comprising: one or more processors operable to determine probability distribution data for one or more Eurodollar rates based on Eurodollar futures option data; one or more processors operable to link said probability distribution data for one or more Eurodollar rates to overnight forward Fed funds rate data; and one or more processors operable to link said forward Fed funds rate data to expected Fed funds rate data.

REFERENCES:
patent: 7236953 (2007-06-01), Cooper et al.
patent: 2002/0198750 (2002-12-01), Innes et al.
Crescenzi, Anthony “How the Fed Moves Futures”, Mar. 1, 2004, Futures Magazine Group.
Tuckman, Bruce “Fixed Income Securities”, 2002, John Wiley & Sons, Inc, Chapter 17.
Brian Sack “Extracting the Expected Path of Monetary Policy from Futures Rates”, Sep. 17, 2002, Division of Monetary Affairs Board of Governors of the Federal Reserve System.
Lange et al., “Anticipations of monetary policy in financial markets”. Apr. 10, 2001, Journal of Money, Credit & Banking, 35, 6, 889(21 ).
Des Mc Manus, “The Information Conent of Interest Rate Futures Options”, Bank of Canada, available from the Bank of Canada.

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