发明授权
- 专利标题： System and methods for modeling a multiplicative index
- 专利标题（中）： 用于建模乘法索引的系统和方法
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申请号： US12082280申请日： 2008-04-10
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公开(公告)号： US08255302B2公开(公告)日： 2012-08-28
- 发明人: Mike Chen
- 申请人： Mike Chen
- 申请人地址： US NY New York
- 专利权人： Morgan Stanley
- 当前专利权人： Morgan Stanley
- 当前专利权人地址： US NY New York
- 代理机构： K&L Gates LLP
- 主分类号： G06F35/00
- IPC分类号： G06F35/00
摘要：
Computer-implemented methods for valuing a derivative based on the BMA rate: the methods may comprise generating a model of the BMA/LIBOR ratio as a function of the LIBOR index, a stochastic noise function, and a seasonality process. The methods may also comprise solving the model for at least one value of the LIBOR index, and estimating a value of the derivative given the solution of the model. The value of the derivative may then be stored.
公开/授权文献
- US20090222385A1 System and methods for modeling a multiplicative index 公开/授权日：2009-09-03