Fixed income portfolio data processor
First Claim
1. A system for the real time delineation of a market barometer in index format based on the determination of the term structure of interest rates for a set of fixed income securities having maturities extending to a pre-select future maturity date comprising;
- data input and qualification means for receiving data on market transactions of said set of fixed income securities and filtering said data by removing values failing to meet pre-selected data criteria;
term structure determination means for using said qualified data for the iterative calculation of current term structure of interest rates as defined by said market data;
term structure update means for receiving current data on market transactions on a subset of securities and updating said term structure based on said subset of data; and
portfolio index processor means for iteratively determining index parameters of a portfolio of generic securities based on the current term structure.
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Abstract
A data processing system receives a continuous stream of real time transactional data regarding market transactions of fixed income securities. The incoming data is qualified and then used to determine the term structure of interest rates based on price information. The system provides linear interpolation techniques to complete an operative data set. This set is updated with current trade data, with term structure shifting using pivot points from newly qualified data. An index value for a pre-select portfolio of securities is then calculated and expressed in terms of price relative to par, yield to maturity and duration.
317 Citations
11 Claims
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1. A system for the real time delineation of a market barometer in index format based on the determination of the term structure of interest rates for a set of fixed income securities having maturities extending to a pre-select future maturity date comprising;
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data input and qualification means for receiving data on market transactions of said set of fixed income securities and filtering said data by removing values failing to meet pre-selected data criteria; term structure determination means for using said qualified data for the iterative calculation of current term structure of interest rates as defined by said market data; term structure update means for receiving current data on market transactions on a subset of securities and updating said term structure based on said subset of data; and portfolio index processor means for iteratively determining index parameters of a portfolio of generic securities based on the current term structure. - View Dependent Claims (2, 3, 4, 5, 6)
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7. A method for providing a real time index corresponding to a pre-select portfolio of fixed income securities spanning a specified term of maturity dates comprising the steps of:
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collecting market price data on a proper set of fixed income securities corresponding to the specified term of maturity dates from the close of trading including bid, ask and trade transaction data; collecting real time price data on current trades forming a subset of securities within said proper set; iteratively qualifying the data to insure individual price information reflects true market determined pricing; iteratively processing said proper set of qualified data calculating a term structure of spot interest rates spanning the maturities of said proper set of data; updating said term structure with real time price data wherein said term structure is shifted in accordance with market shifts as reflected in said real time price data; and determining a composite price of said portfolio of pre-select fixed income securities in accordance with said updated term structure wherein said portfolio is expressed in terms of an index having a price, yield to maturity and duration. - View Dependent Claims (8, 9, 10, 11)
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Specification