Patent ID: 7565316

Claim:
A program storage device readable by a machine, tangibly embodying a program of instructions executable by the machine to perform method steps for pricing and extending an extendable swap, said method steps comprising: determining, within a calculation component, a plurality of financial transaction values for an extendable swap, the extendable swap comprising a start date, a periodic termination date, and a final termination date, wherein said financial transaction values comprise two or more of: a projected probability that a party will default during one or more periods of the extendable swap, a projected value for the extendable swap for each of said one or more periods of the extendable swap, and a projected value for the extendable swap over the entire term of the extendable swap; determining, within an evaluation component, one or more conditions required for automatically extending the extendable swap for an additional period, up to the final termination date; determining, within a pricing component, the cost of the extendable swap, based on said financial transaction values, said conditions, and the entire term of the extendable swap, wherein the pricing component discounts the value of the entire term of the swap based on the probability of default for each of the one or more periods of the extendable swap; determining, at said periodic termination dates, within said evaluation component, if the one or more conditions required for automatically extending the extendable swap for an additional period, have been met, wherein if the conditions have been met automatically extending the extendable swap.