Fixed income portfolio index processor
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United States of America Patent
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Jun 22, 2004
Issued Date -
N/A
app pub date -
Jan 4, 1999
filing date -
Jun 10, 1992
priority date (Note) -
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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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