Patent Document ID: 20030014356
Application ID: 09896660
Patent Flag: 0

Claim One:
1. A method for simulating the value of an attribute of a financial instrument comprising the steps of: providing a parametric model for the attribute having at least one noise-varying parameter a n with a corresponding noise component &egr; n ; determining values for the at least one parameter and the attribute at various time indices i using historical data; deriving a set of historical residual values &egr; n,i for each noise component &egr; n the historical residual value &egr; n,i at index i, when applied to the model with the determined parameter values at index i, at least substantially reproducing the determined attribute value at index i; standardizing each set of historical residual values 6n; and using values selected from the set of standardized historical residual values &egr; n as the noise component during a simulation of the attribute value via the model.