Swap market term premium and discount rate estimation and implementation based on market data

A method, comprising:

• receiving market data, the market data comprising a current market condition, the current market condition comprising at least one of an interest rate, a bond price, a swap rate, a swaption premium, a swaption volatility surface, a cap rate, a cap volatility surface, a floor rate, a floor volatility surface, or a combination thereof;
• receiving additional data, the additional data comprising a future market condition, the future market condition comprising at least one of an economic indicator, a market structure metric, a supply-demand factor, or a combination thereof;
• and
• estimating a future swap market term premium by inputting the current market condition and the future market condition into a factor model;
• verifying the estimated future swap market term premium across multiple currencies based at least in part on cross-currency swap basis data and a set of triangular arbitrage constraints;
• and
• adjusting the estimated future swap market term premium based at least in part on a set of triangular arbitrage constraints and the verifying;
• and
• generating a report based at least in part on the adjusted swap market term premium, the report comprising one or more investment instructions;
• and
• transmitting the report to a trading system.

A computer program product, the computer program product comprising a computer readable storage medium storing code, the code being configured to be executable by a processor to perform operations comprising:

• receiving market data, the market data comprising a current market condition, the current market condition comprising at least one of:
• an interest rate, a bond price, a swap rate, a swaption premium, a swaption volatility surface, a cap rate, a cap volatility surface, a floor rate, a floor volatility surface, or a combination thereof;
• receiving additional data, the additional data comprising a future market condition, the future market condition comprising at least one of:
• an economic indicator, a market structure metric, a supply-demand factor, or a combination thereof;
• and
• estimating a future swap market term premium by inputting the current market condition and the future market condition into a factor model;
• verifying the estimated future swap market term premium across multiple currencies based at least in part on cross-currency swap basis data and a set of triangular arbitrage constraints;
• and
• adjusting the estimated future swap market term premium based at least in part on a set of triangular arbitrage constraints and the verifying;
• and
• generating a report based at least in part on the adjusted swap market term premium, the report comprising one or more investment instructions;
• and
• transmitting the report to a trading system.