Patent ID: 8315928
Filing Date: 2012-11-20
Classification: G06Q

Abstract:
1. A method of validating a model that generates a cash flow distribution, the method comprising: receiving from a database a first set of data representative of a deal structure including a series of classes distributing cash flow from underlying collateral; identifying whether the database identifies one or more bonds as the underlying collateral; projecting yields for the one or more bonds; identifying, using a data processor, bonds having a specified relationship between the projected yields and movements in one or more index rates, the specified relationship defining a sensitivity to the movements in the one or more index rates associated with the bonds; calculating, using the data processor, an index rate scenario for bonds having the specified relationship; creating, using the data processor, a first set of cash flow values based on the deal structure, the yields for the one or more bonds, and the index rate scenario; creating a set of first reports relating to the first set of cash flow values; storing, into memory using the data processor, the set of first reports; creating, using a data processor, a second set of cash flow values based on the deal structure, the yields for the one or more bonds, and the index rate scenario; creating a set of second reports relating to the second set of cash flow values; storing, into memory using at least one data processor, the set of second reports; comparing, using the data processor, the set of first reports with the set of second reports by: determining, using the data processor, whether any cash flow values in the first set of reports are missing from the second set of reports; determining, using the data processor, whether any cash flow values in the second set of reports are missing from the first set of reports; and creating, using the data processor, a list that includes: