Device, method and system of testing financial derivative instruments
AssigneeSuper Derivatives, Inc.
InventorDavid Gershon
Life of this patent
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Abstract
Devices, systems and methods of testing financial-derivative instruments. For example, a method may include receiving input information defining a tested financial derivative instrument and one or more testing parameters defining at least a back-testing period; simulating results of a plurality of simulation scenarios corresponding to a plurality of points of time within the back-testing period, each scenario including a modification of the tested financial derivative instrument with respect to a point of time within the back-testing period; and providing an output, which is based on the results of the plurality scenarios.
Claims29
A computer-based method of testing a financial derivative instrument, the method comprising:
- receiving, by a computing device, input information defining a tested financial derivative instrument and one or more testing parameters defining at least a back-testing period;
- simulating, by said computing device, results of a plurality of simulation scenarios corresponding to a plurality of points of time within said back-testing period, each scenario including a modification of said tested financial derivative instrument with respect to a point of time within said back-testing period;
- and
- providing, by said computing device an output, which is based on the results of said plurality of scenarios.
A system comprising:
- a memory having stored thereon instructions;
- and
- a processor to execute the instructions resulting in a testing module,
- wherein the testing module is to receive input information defining a tested financial derivative instrument and one or more testing parameters defining at least a back-testing period;
- to simulate results of a plurality of simulation scenarios corresponding to a plurality of points of time within said back-testing period, each scenario including a modification of said tested financial derivative instrument with respect to a point of time within said back-testing period;
- and to provide an output, which is based on the results of said plurality of scenarios.
A machine-readable medium having stored thereon instructions, which when executed by a machine result in:
- receiving input information defining a tested financial derivative instrument and one or more testing parameters defining at least a testing period;
- simulating results of a plurality of simulation scenarios corresponding to a plurality of points of time within said testing period, each scenario including a modification of said tested financial derivative instrument with respect to a point of time within said testing period;
- and
- providing an output, which is based on the results of said plurality of scenarios.
Dependencies are inferred from the claim text.