Patent ID: 7756896

Claim:
A method of representing a portfolio of financial positions on which a risk analysis is to be performed, comprising the steps of: constructing an outer cube representing the portfolio of financial positions as a multi-layered multi-dimensional cube that includes cells and dimensions; and constructing each cell of the plurality of cells to include a set of coordinates and an inner cube, wherein the inner cube is a multi-dimensional cube that includes cells and dimensions, wherein the dimensions of the outer cube include information relating to a context of the risk analysis, wherein the dimensions of the inner cube include all dimensions required to perform an aggregation operation on the portfolio of financial positions, and wherein, for each position P to be added to an inner-cube cell C, P includes a measures object M P and a set of coordinates S P , C includes a measures object M C and a set of coordinates S C , for all k where k is an element of a set that includes 1 through n, and v k is a value from a data hierarchy for the k th dimension, a mapping operation for mapping coordinates and measures of P to C is given by: C→S C →v k ={P→S P →v k |“−”}, set C→M C +=P→M P .