Fair-value pricing of a financial asset
AssigneeInteractive Data Pricing and Reference Data LLC
InventorsPeter L. Ciampi, Eric Zitzewitz
Life of this patent
Estimating the term…
Abstract
The fair value of a fund is determined by analyzing various factors indicative of how each underlying asset of the fund would be valued on the open market. The fund may be an international mutual fund that includes underlying assets, which include international equities. Because some of the underlying assets may not be traded in a liquid market at the time of valuation of the fund, a reliable estimate of the value of such underlying assets must be made based on available data related through historical correlations. The fair value of the fund is determined based on the estimated or actual values of each of the underlying assets.
Claims14
A computerized method for determining at an effective valuation time a fair value of a first market-traded security not currently trading in a liquid market, comprising:
- electronically receiving historical price data, wherein said historical price data comprises data for a plurality of price-related time-dependent variables;
- electronically performing a regression analysis on said historical price data;
- and electronically calculating at said effective valuation time a fair value of said first market-traded security based on said regression analysis and on values of one or more of said plurality of price-related time-dependent variables, said effective valuation time occurring when said first market-traded security is not currently trading in a liquid market,
- wherein the steps of electronically receiving, performing and calculating are processed on one or more computer processors.
A computerized method for determining a fair value of a security traded on a securities market that is open part of the time and closed part of the time, at an effective valuation time when said security is not actively traded on said market, comprising:
- electronically receiving prices of said security during a plurality of periods when said market was open;
- electronically receiving historical market data for a plurality of financial asset market based time-dependent variables other than prices for said first security;
- electronically performing a regression analysis on said historical market data and said prices of said security during a plurality of periods when said market was open;
- and
- electronically calculating a fair value of said first security at said valuation time based on said regression analysis and on a price for said security during a period when said market was last open;
- wherein the steps of electronically receiving, performing and calculating are processed on one or more computer processors.
Dependencies are inferred from the claim text.