COMPUTER-IMPLEMENTED METHOD, STORAGE MEDIUM AND COMPUTER SYSTEM FOR CREDIT-EQUITY INDEX DATA PROCESSING
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United States of America Patent
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Issued Date -
Sep 22, 2016
app pub date -
Dec 14, 2015
filing date -
Dec 14, 2015
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Abstract
A computer-implemented method is presented to generate an index by determining price information associated with at least one of an equity and an equity-option of a first company, using the price information to estimate a volatility of an equity price of the first company, calculating a default probability based on the estimated volatility and calculating an index level using the calculated default probability.
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