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1. 发明授权

US07792730B2 Resource amount determination technique 有权
标题翻译：资源量确定技术
公开(公告)号：US07792730B2
公开(公告)日：2010-09-07
申请号：US10880349
申请日：2004-06-30
申请人： Peter Kastel , Tobias Sprohnle , James Wood
发明人： Peter Kastel , Tobias Sprohnle , James Wood
IPC分类号： G06O40/00
CPC分类号： G06Q40/04 , G06Q40/00 , G06Q40/06
摘要： A data processing system and method are provided for repetitively determining a resource amount for counterbalancing the transfer of a failure risk pertaining to a bundle of constructs that may individually fail. The system has data storage for storing reference values of the bundle of constructs for distinct individual time instances during the resource amount determination. The reference values indicate a value of a respective reference construct or a value of a reference bundle of constructs. The system further has a calculation unit connected to the data storage for calculating a value of the resource amount for an individual time instance based on the reference values. The technique is suitable for valuing a futures contract that is based on a basket of credit default swaps as underlyings.
摘要翻译：提供了一种数据处理系统和方法，用于重复地确定用于平衡与可能单独失败的一组构造相关的故障风险的转移的资源量。该系统具有用于在资源量确定期间存储针对不同个别时间实例的一组构造的参考值的数据存储。参考值表示相应参考构造的值或构造的参考束的值。系统还具有连接到数据存储器的计算单元，用于基于参考值计算各个时间实例的资源量的值。该技术适用于对基于一篮子信用违约掉期作为基础的期货合约进行估值。

2. 发明授权

US08001022B2 Construct separation for resource amount determination 有权
标题翻译：构建分离资源量确定
公开(公告)号：US08001022B2
公开(公告)日：2011-08-16
申请号：US10880369
申请日：2004-06-30
申请人： Peter Kastel , James Wood
发明人： Peter Kastel , James Wood
IPC分类号： G06Q40/00
CPC分类号： G06Q40/08 , G06Q40/00 , G06Q40/04 , G06Q40/06
摘要： A technique is provided for managing bundles of constructs that may individually fail. Each bundle has a repetitively updated resource amount for counterbalancing a transfer of a failure risk pertaining to the respective bundle. Construct data is stored and a value of the resource amount is calculated for an individual time instance based on the construct data. It is determined whether a construct of a first bundle has failed. If not, a value of a resource amount for the first bundle is calculated. If a construct has failed, a second bundle is generated that includes all constructs of the first bundle except for the construct having failed, and a value of a resource amount for the second bundle is calculated. The technique is particularly suitable for managing futures contracts that are based on a basket of credit default swaps as underlyings.
摘要翻译：提供了一种用于管理可能单独失败的构造的捆绑技术。每个捆绑包具有重复更新的资源量，用于平衡与相应捆绑有关的故障风险的转移。存储构造数据，并且基于构造数据为每个时间实例计算资源量的值。确定第一束的构造是否失败。如果不是，则计算第一束的资源量的值。如果构造失败，则生成包含第一个bundle的所有构造的第二个bundle，除了已经失败的构造，并且计算了第二个bundle的资源量的值。该技术特别适合管理基于一篮子信用违约掉期作为基础的期货合约。

3. 发明申请

US20050108145A1 Construct separation for resource amount determination 有权
标题翻译：构建分离资源量确定
公开(公告)号：US20050108145A1
公开(公告)日：2005-05-19
申请号：US10880369
申请日：2004-06-30
申请人： Peter Kastel , James Wood
发明人： Peter Kastel , James Wood
IPC分类号： G06Q40/00 , G06F17/60
CPC分类号： G06Q40/08 , G06Q40/00 , G06Q40/04 , G06Q40/06
摘要： A technique is provided for managing bundles of constructs that may individually fail. Each bundle has a repetitively updated resource amount for counterbalancing a transfer of a failure risk pertaining to the respective bundle. Construct data is stored and a value of the resource amount is calculated for an individual time instance based on the construct data. It is determined whether a construct of a first bundle has failed. If not, a value of a resource amount for the first bundle is calculated, but if a construct has failed, a second bundle is generated that includes all constructs of the first bundle except for the construct having failed, and a value of a resource amount for the second bundle is calculated. The technique is particularly suitable for managing futures contracts that are based on a basket of credit default swaps as underlyings.
摘要翻译：提供了一种用于管理可能单独失败的构造的捆绑技术。每个捆绑包具有重复更新的资源量，用于平衡与相应捆绑有关的故障风险的转移。存储构造数据，并且基于构造数据为每个时间实例计算资源量的值。确定第一束的构造是否失败。如果不是，则计算第一束的资源量的值，但是如果构造失败，则生成包括除了失败的构造之外的第一束的所有构造的第二束和资源量对于第二束计算。该技术特别适合管理基于一篮子信用违约掉期作为基础的期货合约。

4. 发明申请

US20050108128A1 Resource amount determination technique 有权
标题翻译：资源量确定技术
公开(公告)号：US20050108128A1
公开(公告)日：2005-05-19
申请号：US10880349
申请日：2004-06-30
申请人： Peter Kastel , Tobias Sprohnle , James Wood
发明人： Peter Kastel , Tobias Sprohnle , James Wood
IPC分类号： G06Q40/00 , G06F17/60
CPC分类号： G06Q40/04 , G06Q40/00 , G06Q40/06
摘要： A data processing system and method are provided for repetetively determining a resource amount for counterbalancing the transfer of a failure risk pertaining to a bundle of constructs that may individually fail. The system has a data storage for storing reference values of the bundle of constructs for distinct individual time instances during the resource amount determination. The reference values indicate a value of a respective reference construct or a value of a reference bundle of constructs. The system further has a calculation unit connected to the data storage for calculating a value of the resource amount for an individual time instance based on the reference values. The technique is suitable for valuing a futures contract that is based on a basket of credit default swaps as underlyings.
摘要翻译：提供了一种数据处理系统和方法，用于重复地确定用于平衡与可能单独失败的一组构造相关的故障风险的传递的资源量。该系统具有用于在资源量确定期间存储用于不同个别时间实例的一组构造的参考值的数据存储。参考值表示相应参考构造的值或构造的参考束的值。系统还具有连接到数据存储器的计算单元，用于基于参考值计算各个时间实例的资源量的值。该技术适用于对基于一篮子信用违约掉期作为基础的期货合约进行估值。

5. 发明申请

US20050144104A1 Unsteadiness compensation in valuation systems and methods 有权
标题翻译：评估体系和方法的不稳定补偿
公开(公告)号：US20050144104A1
公开(公告)日：2005-06-30
申请号：US10990751
申请日：2004-11-18
申请人： Peter Kastel
发明人： Peter Kastel
IPC分类号： G06Q40/00 , G06F17/60
CPC分类号： G06Q40/06 , G06Q40/00
摘要： There is provided a data processing system and method for valuing a bundle of constructs that may individually fail, in case of a separation event causing the bundle of constructs to separate a failing construct from the bundle. A present value determination unit applies a predefined model to determine a present value of the bundle of constructs after having separated the failing construct from the bundle. Further, a static value determination unit determines a static value by reducing a static base number each time a separation event occurs. Furthermore, a calculation unit calculates a value of the bundle of constructs based on the determined present value and the determined static value. The calculation unit is adapted to calculate a sum of the determined present value and the determined static value. In an embodiment, the bundle of constructs is a basket of credit default swaps.
摘要翻译：提供了一种数据处理系统和方法，用于在分离事件导致构建体捆绑分组故障结构的情况下，对可能单独失败的一组构造进行估价。现值确定单元应用预定义模型以在将所述失败构造与所述束分离之后确定所述构造束的当前值。此外，静态值确定单元通过在每次发生分离事件时减少静态基数来确定静态值。此外，计算单元基于所确定的当前值和确定的静态值来计算构造束的值。计算单元适于计算确定的当前值和确定的静态值的和。在一个实施例中，一揽子构造是一篮子的信用违约互换。

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