Computerized transaction-based yield curve analytics
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United States of America Patent
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Issued Date -
Jan 18, 2007
app pub date -
Jul 15, 2005
filing date -
Jul 15, 2005
priority date (Note) -
Abandoned
status (Latency Note)
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Abstract
A computer aided method for establishing secondary market-relevant price for a bond issued by a corporate entity involves accessing data relating to executed secondary market trades for a bonds issued by the entity, analyzing the data using the computer to select a subset of the information based upon application of at least one specified criterion, and using the subset, establishing an entity specific yield curve for the entity so that, using a bond pricing model, an anticipated price for the bond can be calculated using a point on the established entity specific yield curve that corresponds to the bond.
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