System and methods for modeling a multiplicative index
AssigneeMorgan Stanley
InventorMike Chen
Life of this patent
Estimating the term…
Abstract
Computer-implemented methods for valuing a derivative based on the BMA rate: the methods may comprise generating a model of the BMA/LIBOR ratio as a function of the LIBOR index, a stochastic noise function, and a seasonality process. The methods may also comprise solving the model for at least one value of the LIBOR index, and estimating a value of the derivative given the solution of the model. The value of the derivative may then be stored.
Claims30
A computer-implemented method for valuing a derivative based on the BMA rate, the method comprising:
- generating a model of the BMA/LIBOR ratio as a function of the LIBOR index, a stochastic noise function, and a seasonality process;
- solving the model for at least one value of the LIBOR index;
- estimating a value of the derivative given the solution of the model;
- and
- storing the value of the derivative.
A system for valuing a derivative based on the BMA rate, the system comprising at least one processor programmed to:
- generate a model of the BMA/LIBOR ratio as a function of the LIBOR index, a stochastic noise function, and a seasonality process;
- solve the model for at least one value of the LIBOR index;
- estimate a value of the derivative given the solution of the model;
- and
- store the value of the derivative.
A computer readable medium having instructions thereon that when executed by at least one processor cause the at least one processor to:
- generate a model of the BMA/LIBOR ratio as a function of the LIBOR index, a stochastic noise function, and a seasonality process;
- solve the model for at least one value of the LIBOR index;
- estimate a value of the derivative given the solution of the model;
- and
- store the value of the derivative.
A computer-implemented method for valuing a derivative based on the BMA rate, the method comprising:
- generating a model of the BMA/LIBOR ratio as a function of the LIBOR index, a stochastic tax-regime process, and a seasonality process;
- solving the model for at least one value of the LIBOR index;
- estimating a value of the derivative given the solution of the model;
- and
- storing the value of the derivative.
A system for valuing a derivative based on the BMA rate, the system comprising at least one processor programmed to:
- generate a model of the BMA/LIBOR ratio as a function of the LIBOR index, a stochastic tax-regime process, and a seasonality process;
- solve the model for at least one value of the LIBOR index;
- estimate a value of the derivative given the solution of the model;
- and
- store the value of the derivative.
A computer readable medium having instructions thereon that when executed by at least one processor cause the at least one processor to:
- generate a model of the BMA/LIBOR ratio as a function of the LIBOR index, a stochastic tax-regime process, and a seasonality process;
- solve the model for at least one value of the LIBOR index;
- estimate a value of the derivative given the solution of the model;
- and
- store the value of the derivative.
Dependencies are inferred from the claim text.