Patent ID: 7418418
Filing Date: 2008-08-26
Classification: G06Q

Abstract:
1. A computer-based system for pricing fixed income securities comprising: a) means for selecting a portfolio of fixed income securities stored in a portfolio database; b) means for determining a pricing method for a selected fixed income security in the selected portfolio by entering an expression in a field, where the expression includes a string of first, second and third sections representing a pricing method, wherein: the first section is a number to represent basis points; the second section is a character to represent an operation including at least P to represent price, % to represent yield, O to represent option adjusted spread (OAS), V to represent volatility, / to represent spread and @ to represent speed; and the third section is at least one character to represent a curve including at least C to represent interpolated on the run (OTR Interp), S to represent interpolated swap (SWAP Interp), L to represent London Inter-Bank Offered Rate (LIBOR), X to represent Treasury fit (TSY Fit), R to represent agency reference, B to represent agency benchmark, CS to represent coupon strip (CSTRIP), and PS to represent principal strip (PSTRIP); and c) means for calculating the price of the selected fixed income security based upon the designated pricing method.