US 6,772,136 B2 · System and method for financial instrument modeling and using Monte Carlo simulation

Abstract

The software synthesis method and system of the present invention provides a problem solving environment for Monte Carlo simulations (or other concise mathematical description), common in engineering, finance, and science, which automatically transforms a problem description into executable software code. The method and system uses a specification language to support a user's natural description of the geometry and mathematics of the problem and solution strategies. The natural description is concisely expressed using general coordinates and dimensionless parameters, using domain specific keywords as appropriate. The user's problem description is compared with the system's knowledge base to refine the problem—i.e., identifying constraints, applying heuristics and defaults, and applying elaboration rules. The software synthesis method and system uses planning process, computer algebra, and templates to analyze and optimize the problem description, choose and customize data structures, and generate pseudo-code. The pseudo-code is translated into the desired target language source code. The software synthesis system and method therefore provides the ability to describe a problem and possible solution strategies at a high level, and outputs target language code that implements a solution. The software synthesis system and method is particularly useful modeling options where a Monte Carlo simulation is used.

Claims20

Dependent claims

A method for automatically generating software code in a target language for modeling and valuing financial instruments, comprising the steps of:

a) developing a problem specification for the financial instrument including—defining the financial instrument as problem specification, comparing said problem specification with constraints within a knowledge base, invoking heuristics within said knowledge base to further define said problem specification;
b) formulating a financial model of the problem specification, including—producing one or more templates associated with a Monte Carlo Simulation describing said financial model;
c) generating software code in said target language based on said templates;
and
d) running said software code on a computer with user-defined variables to value said financial instrument.

2 more elements

Dependencies are inferred from the claim text.

System and method for financial instrument modeling and using Monte Carlo simulation

Life of this patent

System and method for financial instrument modeling and using Monte Carlo simulation

Life of this patent

Abstract

Claims20