Pricing module for financial advisory system

Details Pricing module for financial advisory system Pricing module for financial advisory system

G - Physics

06

Q

G06Q 40/00 (2006.01)

Patent

CA 2312730

The pricing module of the present invention provides a single module that models both fixed-income securities and equity securities into the future in an arbitrage-free model. Because the modeling includes both fixed-income securities and equity securities that are modeled based on common input state variables and does not allow arbitrage conditions between the fixed-income securities and the equity securities (as well as no arbitrage within a security class), the present invention provides an improved pricing module as compared to those in the prior art.

L'invention concerne un module d'établissement de prix comprenant un seul module qui permet de modéliser des titres à revenu fixe et des titres de participation pour l'avenir dans un modèle sans arbitrage. L'opération de modélisation incorpore les titres à revenu fixe et les titres de participation qui sont modélisés en fonction de variables courantes d'état d'entrée et ne permet pas des conditions d'arbitrage entre les titres à revenu fixe et les titres de participation (ainsi qu'aucun arbitrage à l'intérieur d'une catégorie de titre), ce qui a pour effet d'améliorer le module d'établissement de prix en comparaison avec ceux connus à ce jour.

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