Systems and methods related to bond valuation
Abstract:
An exemplary aspect comprises a computer system having one or more processors, comprising: a receiving component that receives valuation data for a security; a filtering component that filters the received valuation data to remove outlier values according to a predetermined set of parameters; a transaction cost adjustment component calculates a transaction cost adjustment coefficient based on a first transaction cost adjustment regression calculation of the processed valuation data, and determines a final transaction cost adjustment value based on the transaction cost adjustment coefficient; a market adjustment component that calculates a market adjustment coefficient based on a first market adjustment regression calculation of the processed valuation data, and determines a final market adjustment value based on the market adjustment coefficient; and an output component that outputs a pricing estimation of the security based on the final transaction cost adjustment value and the final market adjustment value.
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