Patent ID: 7010510
Filing Date: 2006-03-07
Classification: G06Q

Abstract:
1. A method for financial estimation, the method comprising: (a) providing a portfolio of financial instruments on a database in a computing network, the instruments having a schedule of payment times; (b) generating a plurality of interest rate scenarios by Monte Carlo simulation using a stochastic term structure and storing the plurality of interest rate scenarios on computer readable medium; (c) calculating, for each financial instrument, a set of financial outcomes using a subset of the plurality of stored interest rate scenarios; (d) interpolating, from the sets of financial outcomes, a first function that estimates an aggregate value of the portfolio when sampled at the payment times with an aggregate principal of the portfolio and a first interest rate scenario; (e) providing a second function that estimates a value for a financial instrument from the portfolio when sampled at the payment times using a second interest rate scenario; (f) using an interest rate scenario from the plurality of stored interest rate scenarios, calculating a value of the second function for each financial instrument in the portfolio and a value of the first function to estimate, respectively, a value for the portfolio and an aggregate value for the portfolio; (g) forming a control variate based upon the estimated value of the portfolio, the estimated aggregated value of the portfolio, and an expected value of the aggregate value of the portfolio; and (h) managing the portfolio based on the control variate.