Unsteadiness compensation in valuation system and methods

Abstract

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.

Description

[0001]This application is a divisional application of application Ser. No. 10 / 990,751, filed on Nov. 18, 2004 (now pending), which claims priority to European Applications No. 03026605.0, filed on Nov. 19, 2003, 04009013.6, filed on Apr. 15, 2004, and 04025198.5, filed on Oct. 22, 2004; the contents of which are herein incorporated by reference.BACKGROUND OF THE INVENTION[0002]1. Field of the Invention[0003]The invention generally relates to data processing systems and methods, and more particularly to systems and methods for valuing a bundle of constructs that may individually fail, in case of a separation event causing a bundle of constructs to separate a failing construct from the bundle.[0004]2. Description of the Related Art[0005]Many techniques exist where a bundle of constructs is used that may individually fail. Constructs may be hardware arrangements in computer systems or other automated systems, or may be software routines. It is further well known in the art that even mo...

AI Technical Summary

Problems solved by technology

Any such construct may fail, in the sense that the task or function assigned to that construct is not (completely) fulfilled.

For instance, a hardware component may break, a software routine may dysfunction or even stop to be performed, or a condition can lead to negative results or can be rendered void.

In case of a separation event, the present value of a bundle of constructs will experience some unsteadiness.

For instance, if the value of the bundle of constructs indicates some functionality degree, a separation event that causes a failing construct to be separated from the bundle will lead to an abrupt change in the value.

Similarly, separating a credit default swap from a basket will lead to price swings.

Such unsteadiness, however, is often undesirable in case the value of the bundle of constructs is monitored over time.

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