Patent ID: 8346647
Filing Date: 2013-01-01
Classification: G06Q

Abstract:
1. A computer system comprising: a non-transitory computer readable memory that stores price information for a plurality of bonds; and a processor unit in communication with said non-transitory computer readable memory that calculates a liquidity cost score for one or more of said plurality of bonds; wherein said liquidity cost score calculation is based on data regarding quoted bid price and quoted ask price if a bond is a quoted bond, wherein said liquidity cost score calculation is based on a regression analysis if a bond is a non-quoted bond, wherein, if a quoted bond is a spread-quoted benchmark bond, said liquidity cost score calculation is further based on option adjusted spread duration data and said liquidity cost score (LCS) is based on a formula equivalent to where OAspread duration is option adjusted spread duration, and wherein said processor unit comprises one or more processors.