Patent ID: 7966237

Claim:
A computer-implemented system for pricing securities and commodities, comprising: a processor that receives a pricing inquiry for an issue; a database configured to receive and store intraday prices for said issue, wherein said intraday prices are provided for said issue for a current day by at least two data sources; an estimator that estimates a current price for the issue based on said intraday prices by: determining that a beginning-of-day price for said issue is available but no intraday prices for said issue for a current day are available; accessing an average percentage change in option adjusted spread that is based on at least one other issue which has sector, quality, and maturity duration in common with said issue; determining an estimated intraday price for said issue based on said beginning-of-day price for said issue and said average percentage change in option adjusted spread for said at least one other issue; and applying said estimated current price as the current price for said issue when intraday prices are not available.