System for pricing financial instruments
First Claim
1. Apparatus for determining an estimate of the market value of a traded unit of a financial instrument, said instrument comprising an actively managed exchange traded fund of individually priced securities and the exact composition of said fund being withheld from the market, said apparatus comprising:
- historical data storage device for storing data defining transactions and pricing information of a set of investable financial instruments over a period of time;
at least one processor for determining cross correlations between price variation behavior of investable financial instruments;
correlation storage device for storing cross correlations therein;
at least one processor for determining risk factors by extracting from said cross correlations a plurality of mutually independent risk factors, each risk factor being representative of market behavior estimated to be significant to the price behavior of the traded unit;
communication network for interrogation of a third party holding information regarding the composition of said fund, configured to send to said third party information describing said risk factors and an instruction to return significance information regarding the actual significance of said risk factors to the value of said traded unit, and to receive from said third party said significance information and definite price information describing the value of said traded unit of said financial instrument at a particular point in time, wherein said significance information does not reveal the exact composition of said actively managed exchange traded fund whose exact composition is withheld from the market;
and at least one processor for determining price by calculating on the basis of said significances, on the basis of actual market values of instruments attributable to said risk factors, and on the basis of said definite price information, a value for said traded unit at a time later than said particular point in time.
5 Assignments
0 Petitions
Accused Products
Abstract
A method of determining an estimate of the market value of a traded unit of a financial instrument, and apparatus for carrying out the method, said instrument comprising a fund of individually priced securities and the exact composition of said fund being withheld from the market, said method comprising selecting a plurality of mutually independent risk factors, each risk factor being representative of market behaviour estimated to be significant to the price behaviour of the traded unit, obtaining information from a third party holding information regarding the composition of said fund regarding the actual significance of said risk factors to the value of said traded unit, and calculating a value for said traded unit on the basis of said significances.
63 Citations
10 Claims
-
1. Apparatus for determining an estimate of the market value of a traded unit of a financial instrument, said instrument comprising an actively managed exchange traded fund of individually priced securities and the exact composition of said fund being withheld from the market, said apparatus comprising:
-
historical data storage device for storing data defining transactions and pricing information of a set of investable financial instruments over a period of time; at least one processor for determining cross correlations between price variation behavior of investable financial instruments; correlation storage device for storing cross correlations therein; at least one processor for determining risk factors by extracting from said cross correlations a plurality of mutually independent risk factors, each risk factor being representative of market behavior estimated to be significant to the price behavior of the traded unit; communication network for interrogation of a third party holding information regarding the composition of said fund, configured to send to said third party information describing said risk factors and an instruction to return significance information regarding the actual significance of said risk factors to the value of said traded unit, and to receive from said third party said significance information and definite price information describing the value of said traded unit of said financial instrument at a particular point in time, wherein said significance information does not reveal the exact composition of said actively managed exchange traded fund whose exact composition is withheld from the market; and at least one processor for determining price by calculating on the basis of said significances, on the basis of actual market values of instruments attributable to said risk factors, and on the basis of said definite price information, a value for said traded unit at a time later than said particular point in time. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10)
-
Specification