US 7,392,213 B2Granted

Generator libraries

AssigneeAlgorithmics Software LLC

InventorsLeonid Merkoulovitch, Dan Rosen

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Abstract

The present invention is directed to a generic, object-oriented library of generators and operations on generators. The library of generators and other objects provides a set of reusable components that can be used in the development of other components required for new risk management generation models. Using basic simple objects predefined in the library and the operations on these objects, complicated objects required for a new risk management generation models may be built more efficiently and easily. In one aspect of the present invention, there is provided a generator for use in developing risk management software, where the generator produces elements of a sequence governed by a sequential process, where the generator comprises a common generator interface, and where the common generator interface comprises a first function that generates the next element of the sequence, and a second function that returns the element most recently generated by the first function, and where the generator can participate with at least one other operand in an expression to produce a second generator.

Claims12

Dependent claims

A system for use in developing risk management software, said system comprising an object-oriented library of library objects stored on a computer-readable storage medium, said library comprising:

(a) a first plurality of library objects for use in generating scenarios data, comprising a plurality of generators passable to at least one software component that requires data provided by said generators, wherein each of said plurality of generators produces elements of a sequence governed by a sequential process, wherein each generator comprises a common generator interface, where said common generator interface comprises a first function that generates the next element of said sequence and a second function that returns the element most recently generated by said first function;
(b) a second plurality of library objects for calculating instrument values, comprising at least one of
i. a plurality of maps, wherein each map comprises a common map interface, wherein said common map interface comprises a third function that receives as input a first object of a first type, transforms said first object according to a pre-defined rule to produce a second object of a second type, and returns said second object, and
ii. a plurality of accumulators, wherein each accumulator comprises an internal state and a common accumulator interface, said internal state having a current value, said current value being a function of one or more past values of said internal state and one or more data values received as input by said accumulator, said common accumulator interface comprising a fourth function to receive as input said one or more data values and to update said internal state to a new current value, and a fifth function that returns a value corresponding to the current value of the internal state;
and
(c) a third plurality of library objects comprising a plurality of operations, said plurality of operations defined to operate on at least one generator of said plurality of generators and at least one other operand in an expression to produce a new generator;
said new generator for use in performing a simulation to obtain prices for a plurality of instruments over a plurality of scenarios.

4 more elements

A method of developing risk management software using objects from an object-oriented library, said software comprising instructions for simulating a portfolio of financial instruments over a plurality of scenarios, said method comprising the steps of:

(a) constructing a stochastic sequence generator passable to at least one software component that requires data provided by said scenario generator, wherein said stochastic sequence generator produces elements of a sequence governed by a sequential process, wherein said stochastic sequence generator comprises a common generator interface, where said common generator interface comprises a first function that generates the next element of said sequence and a second function that returns the element most recently generated by said first function;
(b) constructing one or more pricing accumulators, wherein each pricing accumulator is associated with an instrument in a portfolio, wherein each pricing accumulator comprises an internal state and a common accumulator interface, said internal state having a current value, said current value being a function of one or more past values of said internal state and one or more data values received as input by said accumulator, said common accumulator interface comprising a third function to receive as input said one or more data values and to update said internal state to a new current value, and a fourth function that returns a value corresponding to the current value of the internal state;
(c) composing said one or more pricing accumulators with said stochastic sequence generator to obtain a pricing generator;
(d) using said pricing generator in performing a simulation to obtain prices for a plurality of instruments at each time step in a scenario;
and
(e) repeating step (d) over a plurality of scenarios.

3 more elements

Dependencies are inferred from the claim text.

Facts

Application: 10/084,650Filed 28 Feb 2002 · us provisional application
Priority: 21 Nov 2001
Published: US 2003/0101122 A129 May 2003
Granted: 24 Jun 2008
Term ends: Not estimatedThe source records don’t support an estimate.

Classification3 codes

G06Q 40/08
Finance; Insurance; Tax strategies; Processing of corporate or income taxes: insurance
G06Q 40/06
Finance; Insurance; Tax strategies; Processing of corporate or income taxes: asset management; Financial planning or analysis
G06Q
Information and communication technology [ict] specially adapted for administrative, commercial, financial, managerial