System for pricing financial instruments
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United States of America Patent
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Dec 4, 2007
Issued Date -
N/A
app pub date -
Apr 16, 2002
filing date -
Mar 18, 2002
priority date (Note) -
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Abstract
A method of determining an estimate of the market value of a traded unit of a financial instrument, and apparatus for carrying out the method, said instrument comprising a fund of individually priced securities and the exact composition of said fund being withheld from the market, said method comprising selecting a plurality of mutually independent risk factors, each risk factor being representative of market behavior estimated to be significant to the price behavior of the traded unit, obtaining information from a third party holding information regarding the composition of said fund regarding the actual significance of said risk factors to the value of said traded unit, and calculating a value for said traded unit on the basis of said significances.
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