Unsteadiness compensation in valuation systems and methods
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United States of America Patent
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Jun 11, 2013
Grant Date -
Jun 30, 2005
app pub date -
Nov 18, 2004
filing date -
Nov 19, 2003
priority date (Note) -
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status (Latency Note)
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Abstract
There is provided a data processing system and method for valuing a bundle of constructs that may individually fail, in case of a separation event causing the bundle of constructs to separate a failing construct from the bundle. A present value determination unit applies a predefined model to determine a present value of the bundle of constructs after having separated the failing construct from the bundle. Further, a static value determination unit determines a static value by reducing a static base number each time a separation event occurs. Furthermore, a calculation unit calculates a value of the bundle of constructs based on the determined present value and the determined static value. The calculation unit is adapted to calculate a sum of the determined present value and the determined static value. In an embodiment, the bundle of constructs is a basket of credit default swaps.
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