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Computerized transaction-based yield curve analytics

  • US 20070016509A1
  • Filed: 07/15/2005
  • Published: 01/18/2007
  • Est. Priority Date: 07/15/2005
  • Status: Abandoned Application
First Claim
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1. A computer aided method performed within a trading day for establishing secondary market-relevant price for a bond issued by a corporate entity, the method comprising:

  • accessing, using a computer, data relating to executed secondary market trades for a group of bonds issued by the entity, the group of bonds comprising at least a first set of bonds having a first maturity date and a second set of bonds having a second maturity date, the executed trades having occurred within a specified time period;

    analyzing the data using the computer to select a subset of the information, the selection being based upon application of at least one specified criterion; and

    using the subset, establishing an entity specific yield curve for the entity so that, using a bond pricing model, an anticipated price for the bond on the secondary market can be calculated using a point on the established entity specific yield curve that corresponds to the bond.

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