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1. WO2009051725 - METHODS AND SYSTEMS FOR VALUING EMBEDDED OPTIONS

Publication Number WO/2009/051725
Publication Date 23.04.2009
International Application No. PCT/US2008/011763
International Filing Date 15.10.2008
IPC
G06Q 40/00 2006.01
GPHYSICS
06COMPUTING; CALCULATING OR COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
CPC
G06Q 40/00
GPHYSICS
06COMPUTING; CALCULATING; COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
G06Q 40/04
GPHYSICS
06COMPUTING; CALCULATING; COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
04Exchange, e.g. stocks, commodities, derivatives or currency exchange
G06Q 40/06
GPHYSICS
06COMPUTING; CALCULATING; COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
06Investment, e.g. financial instruments, portfolio management or fund management
Applicants
  • KELLEY, Sean [US]/[US]
Inventors
  • KELLEY, Sean
Agents
  • BOONE, Travis D.
Priority Data
11/907,68616.10.2007US
Publication Language English (EN)
Filing Language English (EN)
Designated States
Title
(EN) METHODS AND SYSTEMS FOR VALUING EMBEDDED OPTIONS
(FR) PROCÉDÉS ET SYSTÈMES D'ÉVALUATION D'OPTIONS INTÉGRÉES
Abstract
(EN)
Methods and systems are disclosed for valuing a financial obligation having an embedded option. The method includes determining a value of the embedded option, converting the embedded option value to a target basis representing the yield difference between the financial obligation having the embedded option and a corresponding financial instrument without an embedded option, determining an actual basis between the financial obligation and the corresponding financial instrument; and determining a current value of the financial obligation based on the difference between the target basis and the actual basis.
(FR)
Cette invention se rapporte à des procédés et des systèmes d'évaluation d'une obligation financière comportant une option intégrée. Le procédé comprend les étapes suivantes : la détermination d'une valeur de l'option intégrée ; la conversion de la valeur de l'option intégrée sur une base cible représentant la différence de rendement entre l'obligation financière comportant l'option intégrée et un instrument financier correspondant ne comportant pas d'option intégrée ; la détermination d'une base réelle entre l'obligation financière et l'instrument financier correspondant ; et la détermination d'une valeur actuelle de l'obligation financière en fonction de la différence entre la base cible et la base réelle.
Also published as
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