Method and a system for valuing and analyzing bonds with estate put features
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United States of America Patent
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Sep 28, 2010
Grant Date -
Oct 18, 2007
app pub date -
Mar 22, 2007
filing date -
Mar 22, 2006
priority date (Note) -
In Force
status (Latency Note)
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Abstract
In accordance with one aspect of the present invention, a method is disclosed for valuing at least one bond having a nominal lifetime, the bond having estate put and call options and a cash flow value. The method includes the steps of decomposing the bond into a plurality of pieces, the plurality of pieces equal to the number of years of the nominal lifetime of the bond, valuing the estate put, call option, and cash flow of each piece based on an expected mortality rate, and aggregating the estate put, call option, and cash flow values of each piece to determine an aggregate value, wherein the value of the bond is equivalent to the aggregate value. A system also is disclosed for implementing the steps of the method of the present invention to determine the value of the bond.
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