Patent ID: 8694399
Filing Date: 2014-04-08
Classification: G06Q

Abstract:
1. A method for obtaining a price for a financial instrument whose value is based on a plurality of future cashflows that are dependent on prevailing market financial interest rates, the method being performed by a computer system comprising at least one computer, at least one computer readable storage medium comprising at least one of memory accessible by the at least one computer and at least one computer readable storage device, the at least one computer readable storage medium storing thereon at least programming which causes the at least one computer to perform the method, the method comprising: computing, by the at least one computer, based on a market environment, one or more consolidated cashflow paths, each from a plurality of simulated cashflow paths, each based on a simulated interest rate path of a plurality of simulated interest rate paths; computing, by the at least one computer, discount factors using a spread to a continuously compounded interest rate curve equivalent to a provided or computed OAS (“equivalent cc spread”) and a relationship between the equivalent cc spread and an option adjusted spread (OAS); and discounting, by the at least one computer, one or more consolidated cashflows obtained from the one or more consolidated cashflow paths using the computed discount factors.