Resource amount determination technique
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United States of America Patent
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-
Sep 7, 2010
Grant Date -
May 19, 2005
app pub date -
Jun 30, 2004
filing date -
Nov 19, 2003
priority date (Note) -
In Force
status (Latency Note)
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Abstract
A data processing system and method are provided for repetitively determining a resource amount for counterbalancing the transfer of a failure risk pertaining to a bundle of constructs that may individually fail. The system has data storage for storing reference values of the bundle of constructs for distinct individual time instances during the resource amount determination. The reference values indicate a value of a respective reference construct or a value of a reference bundle of constructs. The system further has a calculation unit connected to the data storage for calculating a value of the resource amount for an individual time instance based on the reference values. The technique is suitable for valuing a futures contract that is based on a basket of credit default swaps as underlyings.
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