发明授权
- 专利标题： Tree on paths method and system for modeling securities
- 专利标题（中）： 树路建模证券的方法和系统
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申请号： US10324100申请日： 2002-12-20
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公开(公告)号： US07818244B1公开(公告)日： 2010-10-19
- 发明人: Venkat G. Dharan , Marat V. Kramin , Alexander L. Shulman
- 申请人： Venkat G. Dharan , Marat V. Kramin , Alexander L. Shulman
- 申请人地址： US DC Washington
- 专利权人： Fannie Mae
- 当前专利权人： Fannie Mae
- 当前专利权人地址： US DC Washington
- 代理机构： Rader, Fishman & Grauer PLLC
- 主分类号： G06Q40/00
- IPC分类号： G06Q40/00
摘要：
A system for implementing a tree on paths method for generating a recombining interest rate tree from previously generated paths. The inventive method is a tree on paths method whereby a tree is created from previously generated paths. The tree on paths method uses Monte Carlo simulations to generate paths and uses a recombining algorithm to obtain a computationally efficient tree from the generated paths.
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