Computer-Implemented Systems And Methods For Automatic Triangulation Of Forward Conversion Curves

• US 20110213692A1
• Filed: 03/01/2010
• Published: 09/01/2011
• Est. Priority Date: 03/01/2010
• Status: Abandoned Application

• Current Assignee: SAS Institute Incorporated
• Original Assignee: SAS Institute Incorporated
• Inventors: Chen, Wei, Christian, Stacey Michelle, Crowe, Keith Eugene
• Application Number:
  US12/714,984
• Publication Number:
  US 20110213692A1
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/02 Banking, e.g. interest calculation or account maintenance credit or loans G06Q40/03
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

Systems and methods for determining a future conversion curve between a first metric and a second metric are provided. A system and method can include receiving a first metric and a second metric. A plurality of conversion curves are retrieved, where each conversion curve has a corresponding weight. One or more paths between the first metric and the second metric are calculated using two or more conversion curves, where each path begins with the first metric and ends with the second metric, and where each path is associated with a path weight based upon the sum of the weights used to calculate the path. A shortest path between the first metric and the second metric is determined, where the shortest path is the path having the least weight, and a future conversion curve is generated by collapsing the two or more conversion curves of the shortest path.

Claims

1. A computer-implemented method for determining a future conversion curve between a first metric and a second metric, the method comprising:

receiving a first metric and a second metric;

retrieving a plurality of conversion curves, the conversion curves having a corresponding weight, and each conversion curve identifying a plurality of future conversions between a source metric and a target metric;

calculating, using one or more processors, one or more paths between the first metric and the second metric using two or more conversion curves, wherein each path begins with the first metric and ends with the second metric, and wherein each path is associated with a path weight based upon the sum of the weights used to calculate that path;

determining a shortest path between the first metric and the second metric, wherein the shortest path is the path having the least weight; and

generating a future conversion curve by collapsing the two or more conversion curves of the shortest path.

2. The method of claim 1, wherein each conversion curve in the plurality of conversion curves is associated with a plurality of future times, and wherein the two or more conversion curves of the shortest path are normalized with respect to one another.

3. The method of claim 2, wherein normalizing includes linear interpolation or spline interpolation.

4. The method of claim 1, wherein one of the one or more paths between the first metric and the second metric includes a backward link from a target metric to a source metric.

5. The method of claim 4, wherein the backward link has the same weight as a corresponding forward link.

6. The method of claim 1, wherein each conversion curve in the plurality of conversion curves is associated with a plurality of future times, and wherein collapsing two or more conversion curves further comprises:

calculating a product for each conversion curve at a predetermined future time, and

generating a future conversion curve based upon the calculated product.

7. The method of claim 1, wherein each conversion curve in the plurality of conversion curves is associated with a plurality of future times, wherein an inverse future conversion is used when a backward link is present in the shortest path, and wherein collapsing two or more conversion curves further comprises:

calculating a product for each inverse future conversion curve at a predetermined future time, and

generating an inverse future conversion curve based upon the calculated product.

8. The method of claim 1, wherein each weight is equal, and wherein the shortest path between the first metric and the second metric includes the fewest number of conversion curves.

9. The method of claim 1, wherein the one or more paths between the first metric and the second metric is calculated using a Dijkstra'"'"'s algorithm or a Bellman-Ford algorithm.

10. The method of claim 1, wherein the path having the least weight is chosen from a path having the highest sum of weights or a path having the lowest sum of weights.

11. The method of claim 1, wherein calculating one or more paths does not include calculating all possible paths between the first metric and the second metric.

12. A computer-implemented system for determining a future conversion curve between a first metric and a second metric, comprising:

one or more processors;

one or more computer-readable storage mediums containing software instructions executable on the one or more processors to cause the one or more processors to perform operations including;

receiving, using one or more processors, a first metric and a second metric;

retrieving a plurality of conversion curves, the conversion curves having a corresponding weight, and each conversion curve identifying a plurality of future conversions between a source metric and a target metric;

calculating one or more paths between the first metric and the second metric using two or more conversion curves, wherein each path begins with the first metric and ends with the second metric, and wherein each path is associated with a path weight based upon the sum of the weights used to calculate that path;

determining a shortest path between the first metric and the second metric, wherein the shortest path is the path having the least weight; and

generating a future conversion curve by collapsing the two or more conversion curves of the shortest path.

13. The system of claim 12, wherein each conversion curve in the plurality of conversion curves is associated with a plurality of future times, and wherein the two or more conversion curves of the shortest path are normalized with respect to one another.

14. The system of claim 13, wherein normalizing includes linear interpolation or spline interpolation.

15. The system of claim 12, wherein one of the one or more paths between the first metric and the second metric includes a backward link from a target metric to a source metric.

16. The system of claim 12, wherein each conversion curve in the plurality of conversion curves is associated with a plurality of future times, and wherein collapsing two or more conversion curves further comprises:

calculating a product for each conversion curve at a predetermined future time, and

generating a future conversion curve based upon the calculated product.

17. The system of claim 12, wherein each conversion curve in the plurality of conversion curves is associated with a plurality of future times, wherein an inverse future conversion is used when a backward link is present in the shortest path, and wherein collapsing two or more conversion curves further comprises:

calculating a product for each inverse future conversion curve at a predetermined future time, and

generating an inverse future conversion curve based upon the calculated product.

18. The system of claim 12, wherein calculating one or more paths does not include calculating all possible paths between the first metric and the second metric.

19. A computer-readable storage medium encoded with instructions that when executed on one or more processors within a computer system command the one or more processors to perform a method of determining a future conversion curve between a first metric and a second metric, the method comprising:

receiving, using one or more processors, a first metric and a second metric;

receiving a plurality of conversion curves, the conversion curves having a corresponding weight, and each conversion curve identifying a plurality of future conversions between a source metric and a target metric;

calculating one or more paths between the first metric and the second metric using two or more conversion curves, wherein each path begins with the first metric and ends with the second metric, and wherein each path is associated with a path weight based upon the sum of the weights used to calculate that path;

determining a shortest path between the first metric and the second metric, wherein the shortest path is the path having the least weight; and

generating a future conversion curve by collapsing the two or more conversion curves of the shortest path.