Patent ID: 7653581
Filing Date: 2010-01-26
Classification: G06Q

Abstract:
1. A computer-implemented method of calculating a net present value (NPV) of an average spot basket option, comprising: reading an evaluation date into a memory; accessing contract data for a plurality of underlyings belonging to a basket over a network, the contract data stored in a remote database coupled to a first computing device and accessed over the network using a database interface and a network interface; accessing market data for plurality of underlyings belonging to the basket over the network, the market data stored in the remote database coupled to the first computing device and accessed over the network using the database interface and the network interface; accessing an indication of whether the NPV is designated for a call or a put over the network, the indication stored in the remote database and accessed over the network using the database interface and the network interface; calculating, using a processor, a first moment of a sum of spot values S where N A equals a number of the plurality of underlyings of the basket N is a number of averaging samples, S j (t E ) is a current spot price, t E is an evaluation date, t m+1 is a next averaging date, g j equals a difference of a riskless domestic interest rate and a dividend or foreign interest currency rate for a predetermined time period, and wherein if t E <t 1 then set m=0; calculating using the processor, a second moment of the sum of spot values S applying a Black-Scholes formalism to the first and second moments to determine the net present value of an average spot basket option, wherein the variable Σ if the absolute value of a value calculated using a riskless domestic interest rate and a dividend or foreign currency interest rate for the plurality of underlyings and a time interval is greater than a predetermined number and wherein the variable Σ j of the first moment of the sum of spot values equation is represented by a second equation given by if the absolute value of the value is less than or equal to the predetermined number, wherein h is calculated from an equation given by where m is a number of spot values already fixed.