Patent ID: 8086516
Filing Date: 2011-12-27
Classification: G06Q

Abstract:
1. A system comprising: memory operable to store at least one program; and at least one processor communicatively coupled to the memory, in which the at least one program, when executed by the at least one processor, causes the at least one processor to: access and process market data corresponding to and/or including: Fed fund futures, Eurodollar futures, Fed fund versus LIBOR basis swaps, and options on Eurodollar futures; ascertain a probability distribution for expected Eurodollar rates based on Eurodollar futures option data determine a probability distribution defining an expected Fed funds target rate at a date corresponding to a Federal Open Market Committee meeting based on said market data and said probability distribution for expected Eurodollar rates; and remove an interest rate risk premium from said ascertained expected Fed funds target rate.