Patent ID: 7987126

Claim:
A computer implemented method for determining a derivative financial instrument value comprising the steps of: a. setting a starting value of an index for a synthetic interest rate swap having at least two legs and underlying a derivative financial instrument; b. calculating with the computer an index present value at least every business day by using data from at least one real-time market data providing environment for input to financial services software on the computer, including calculating a present value for each leg of the synthetic interest rate swap by determining all future payments for each leg utilizing mark to market accounting and a zero coupon bond yield curve, the present value of at least one leg of the synthetic interest rate swap determined utilizing at least one variable parameter from the real-time market data providing environment; c. rebalancing the index at a predetermined frequency with the computer by synthetically selling the synthetic interest rate swap, immediately synthetically rebuying the synthetic interest rate swap; d. multiplying a notional value of the derivative financial instrument by the index present value; and e. distributing at least one of the index present value or the derivative financial instrument value to owners of the derivative financial instrument via a communication interface.