SYSTEM AND METHOD FOR CALCULATING AND APPLYING MARKET DATA CHANGE RATE SETS

• US 20100114745A1
• Filed: 10/30/2008
• Published: 05/06/2010
• Est. Priority Date: 10/30/2008
• Status: Abandoned Application

• Current Assignee: SAP SE
• Original Assignee: SAP AG (SAP SE)
• Inventors: Mueller, Klaus, Atchyutuni, Sesha Srinivas, Poetzsch, Reinhard, R., Vinodh A.
• Application Number:
  US12/262,056
• Publication Number:
  US 20100114745A1
• Time in Patent Office: Days
• US Class Current: 705/35
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A system and method for simulating development of market data. In an embodiment, a set of market data change rates are calculated from historical market data values. The set of calculated market data change rates is then applied to a market data start value to generate one or more forecast market data values, each forecast market data value associated with a horizon date.

Claims

1. A method for simulating development of market data from a start date to an end date, comprising:

calculating a set of at least one market data change rate from at least two historical market data values,

each historical market data value associated with a date on or before the start date,

each calculated market data change rate associated with a term from the start date; and

applying at least one of the calculated market data change rates to a market data start value associated with the start date to generate one or more forecast market data values, each forecast market data value associated with a horizon date after the start date and on or before the end date.

2. The method of claim 1, further comprising extracting and storing the historical market data values from one or more sources of financial data.

3. The method of claim 1 wherein calculating the set of market data change rates comprises extrapolating from two or more of the historical market data values.

4. The method of claim 1, further comprising storing the set of market data change rates.

5. The method of claim 4, further comprising assigning a unique identifier to the stored set of market data change rates.

6. The method of claim 4, further comprising:

combining the stored set of market data change rates with a second stored set of market data change rates to create a third set of market data change rates, each market data change rate in the third set associated with a term from a second start date; and

applying at least one of the market data change rates in the third set to a second market data start value to generate one or more second forecast market data values, each second forecast market data value associated with a horizon date after the second start date and on or before a second end date.

7. The method of claim 4 wherein applying the calculated market data change rates to the market data start value comprises:

retrieving one or more of the stored market data change rates;

using one or more of the retrieved market data change rates to determine a change rate corresponding to each horizon date; and

using each determined change rate to generate the forecast market data value associated with the horizon date corresponding to that determined change rate.

8. The method of claim 7 wherein the determined change rate corresponding to a horizon date is the retrieved market data change rate associated with one of the shortest term ending after the horizon date or the longest term ending before the horizon date.

9. The method of claim 7 wherein the determined change rate is interpolated or extrapolated from two or more retrieved market data change rates.

10. The method of claim 7 wherein the forecast market data value is generated using a compounding change rate formula.

11. The method of claim 1 wherein the market data start value comprises hypothetical market data.

12. The method of claim 1 wherein the market data start value comprises current market data.

13. The method of claim 1 wherein the horizon dates are equally distributed from the start date through and including the end date.

14. A system for simulating development of market data, comprising:

a database;

a processor; and

a computer-readable storage medium storing instructions to be executed by the processor, which instructions, when executed, perform a method for simulating development of market data, the method comprising;

calculating a set of at least one market data change rate from at least two historical market data values,

each historical market data value associated with a date on or before the start date,

each calculated market data change rate associated with a term from the start date; and

applying at least one of the calculated market data change rates to a market data start value associated with the start date to generate one or more forecast market data values, each forecast market data value associated with a horizon date after the start date and on or before the end date.

15. The system of claim 14 wherein the method further comprises:

extracting the historical market data values from one or more sources of financial data; and

storing the historical market data values in the database.

16. The system of claim 14 wherein calculating the set of market data change rates comprises extrapolating from two or more of the historical market data values.

17. The system of claim 14 wherein the method further comprises storing the set of market data change rates in the database.

18. The system of claim 17 wherein the method further comprises assigning a unique identifier to the stored set of market data change rates.

19. The system of claim 17 wherein the method further comprises:

combining the stored set of market data change rates with a second stored set of market data change rates to create a third set of market data change rates, each market data change rate in the third set associated with a term from a second start date; and

applying at least one of the market data change rates in the third set to a second market data start value to generate one or more second forecast market data values, each second forecast market data value associated with a horizon date after the second start date and on or before a second end date.

20. The system of claim 17 wherein applying the calculated market data change rates to the market data start value comprises:

retrieving one or more of the stored market data change rates;

using one or more of the retrieved market data change rates to determine a change rate corresponding to each horizon date; and

using each determined change rate to generate the forecast market data value associated with the horizon date corresponding to that determined change rate.

21. The system of claim 20 wherein the determined change rate corresponding to a horizon date is the retrieved market data change rate associated with one of the shortest term ending after the horizon date or the longest term ending before the horizon date.

22. The system of claim 20 wherein the determined change rate is interpolated or extrapolated from two or more retrieved market data change rates.

23. The system of claim 20 wherein the forecast market data value is generated using a compounding change rate formula.

24. The system of claim 14 wherein the market data start value comprises hypothetical market data.

25. The system of claim 14 wherein the market data start value comprises current market data.

26. The system of claim 14 wherein the horizon dates are equally distributed from the start date through and including the end date.