Invention Grant
- Patent Title: Financial product pricing system
- Patent Title (中): 金融产品定价系统
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Application No.: US10537650Application Date: 2003-12-05
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Publication No.: US08065220B2Publication Date: 2011-11-22
- Inventor: Guillaume Blacher
- Applicant: Guillaume Blacher
- Agency: Woodcock Washburn LLP
- Priority: FR0215460 20021206
- International Application: PCT/IB03/05680 WO 20031205
- International Announcement: WO2004/053756 WO 20040624
- Main IPC: G06Q40/00
- IPC: G06Q40/00

Abstract:
A method implemented on a computing system for pricing a financial product comprises receiving data about the product. The received data may comprise contextual data indicating market variables involved in product pricing. The contextual data may comprise a valuation currency, an underlying instrument, and data including a set of events and flows associated with the product. The data is used to generate a schedule comprising an event or flow for each of a plurality of dates. The schedule is interpreted to generate a table of variables on the basis of events or flows, and for each date on the schedule, a function for calculating the product price as a function of the variables. A list of market variables that are generated by a market analysis are received. The variables are used to calculate product variable values. A product price is calculated as a function of the calculated product variable values.
Public/Granted literature
- US20080133253A1 Financial Product Pricing System Public/Granted day:2008-06-05
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