Patent Document ID: 20060095292
Application ID: 11297476
Patent Flag: 0

Claim One:
1. A system for generating a model of unknown values of several rate series at specified times for use in analyses based on the modelled unknown values, the several rate series having unconditional rate dynamics characterised by a parametric model type in several dimensions, each rate series having at least one known value, the system comprising at least one computing device configured to: receive input indicative of the parametric model type of the unconditional rate dynamics; receive input indicative of a known or unknown rate value for each rate series and for each specified time; generate the values of the known rate changes; generate an unconditional multidimensional probability distribution of the known and unknown rate changes; generate a multidimensional probability distribution of the unknown rate changes conditional on the known rate changes taking their known values; and provide an output constituting the model or values derived therefrom.