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1. 发明申请

US20100114745A1 SYSTEM AND METHOD FOR CALCULATING AND APPLYING MARKET DATA CHANGE RATE SETS 审中-公开
标题翻译：计算和应用市场数据变化率的系统和方法
公开(公告)号：US20100114745A1
公开(公告)日：2010-05-06
申请号：US12262056
申请日：2008-10-30
申请人： Vinodh A. R. , Sesha Srinivas Atchyutuni , Klaus Mueller , Reinhard Poetzsch
发明人： Vinodh A. R. , Sesha Srinivas Atchyutuni , Klaus Mueller , Reinhard Poetzsch
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q40/00
摘要： A system and method for simulating development of market data. In an embodiment, a set of market data change rates are calculated from historical market data values. The set of calculated market data change rates is then applied to a market data start value to generate one or more forecast market data values, each forecast market data value associated with a horizon date.
摘要翻译：一种用于模拟市场数据开发的系统和方法。在一个实施例中，根据历史市场数据值计算一组市场数据变化率。然后将所计算的市场数据变化率的集合应用于市场数据开始值，以生成一个或多个预测市场数据值，每个预测市场数据值与水平日期相关联。

2. 发明申请

US20050222934A1 Method and system for derivatives pricing 有权
标题翻译：衍生品定价的方法和系统
公开(公告)号：US20050222934A1
公开(公告)日：2005-10-06
申请号：US10812055
申请日：2004-03-30
申请人： Reinhard Poetzsch
发明人： Reinhard Poetzsch
IPC分类号： G06Q40/00 , G06F17/60
CPC分类号： G06Q40/06 , G06Q40/04
摘要： A method and system of calculating a net present value of an average spot basket option is provided. The method includes calculating a first and second moment of a sum of spot values of all underlyings of a basket and applying a Black-Scholes formalism to the first and second moments to determine the net present value of an average spot basket option. The method further includes calculating a modified forward spot, a modified strike value, and first and second modified normal distribution functions for application in the Black-Scholes formalism. A system in accordance with the invention includes a memory that stores data that is exercised in connection with determining the net present value, a processor that executes code to determine the net present value in accordance with the a first and second moment of the sum of spot values of all underlyings of a basket and the application of a Black-Scholes formalism to the first and second moments to determine the net present value of the average spot basket option.
摘要翻译：提供了一种计算平均现货篮选项净现值的方法和系统。该方法包括计算篮子所有基础的点值之和的第一和第二时刻，并将Black-Scholes形式化应用于第一和第二时刻以确定平均点篮选项的净现值。该方法还包括计算修改后的前景点，修改的打击值，以及应用于Black-Scholes形式主义的第一和第二修改的正态分布函数。根据本发明的系统包括存储器，其存储与确定净现值一起行使的数据;处理器，其执行代码以根据点和点的第一和第二时刻确定净现值所有篮下的价值观以及Black-Scholes形式主义在第一和第二时刻的应用，以确定平均现货篮选项的净现值。

3. 发明申请

US20050222939A1 Method and system for average spot basket pricing options with arbitrary fixing schedules and with weighting factors 有权
标题翻译：具有任意固定时间表和加权因子的平均现货篮定价选项的方法和系统
公开(公告)号：US20050222939A1
公开(公告)日：2005-10-06
申请号：US11031079
申请日：2005-01-10
申请人： Reinhard Poetzsch
发明人： Reinhard Poetzsch
IPC分类号： G06Q40/00 , G06F17/60
CPC分类号： G06Q40/06 , G06Q30/0278 , G06Q40/00 , G06Q40/04
摘要： Methods and systems of calculating a net present value (“NPV”) of an average spot basket option are provided. One method includes reading an evaluation date, contract data and market data associated with a basket, and calculating net present value of the average spot basket option by applying Black-Scholes theory to the sum of spot prices of the underlying assets of the basket, wherein the sum of spot prices of the underlying assets of the basket is represented as a single underlying asset. Another method includes calculating first and second moments of a sum of weighted spot price values of underlying assets of a basket and applying Black-Scholes theory using these moments to calculate NPV. Another method includes calculating a NPV according to a set of equations and displaying the calculated NPV. A system includes a memory and a processor that executes code to in accordance with the methods described herein.
摘要翻译：提供了计算平均现货篮选项净现值（“净现值”）的方法和系统。一种方法包括阅读与篮子相关联的评估日期，合同数据和市场数据，以及通过将Black-Scholes理论应用于篮子的相关资产的现货价格总和来计算平均现货篮选项的净现值，其中篮子的相关资产的现货价格总和表示为单一标的资产。另一种方法包括计算篮子相关资产的加权现货价格值的第一和第二时刻，并使用这些时刻应用Black-Scholes理论来计算NPV。另一种方法包括根据一组方程计算NPV并显示所计算的NPV。系统包括根据本文所述的方法执行代码的存储器和处理器。

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