G - Physics – 06 – Q
Patent
G - Physics
06
Q
G06Q 40/00 (2006.01)
Patent
CA 2626617
A method of determining index component spreads, includes determining an index DV01 according to index component DV01, determining an implied credit default swap (CDS) notional according to a contract value of a basis point, setting a standard recovery rate as a predetermined constant value, determining a maximum running spread according to the standard recovery rate, implied CDS notional, and the contract value of the basis point, and replacing any index component spread that exceeds the maximum running spread by the maximum running spread for determining the index value.
Backshall Timothy
Klein David
Rosenzweig Arthur
Credit Derivatives Research Llc
Robic
LandOfFree
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