Patent Document ID: 8255302
Application ID: 12082280
Patent Flag: 1

Claim One:
1. A computer-implemented method for valuing a derivative based on a first rate indicating interest paid on tax-exempt instruments, the method comprising: generating, by a computer, a model of a ratio of the first rate over a second rate as a function of: the second rate, wherein the second rate indicates interest paid on taxed instruments, a stochastic noise function, and a seasonality process, wherein the computer comprises at least one processor and operatively associated memory, wherein the model is expressed as: 
 BMA/LIBOR=ƒ(LIBOR( t ))+ N+s ( t ) wherein BMA/LIBOR is the ratio; wherein LIBOR is the second rate; wherein s(t) is the seasonality process; and wherein N is the stochastic noise function; generating a solution of the model, by the computer, for at least one value of the second rate; and estimating, by the computer, a value of the derivative given the solution of the model.