Abstract: In one aspect, the invention comprises a computer-implemented method comprising: (1) electronically receiving data describing a fund index and funds on which the index is based; (2) electronically receiving data describing one or more securities; (3) electronically receiving data describing returns of: (a) the fund index, (b) funds on which the index is based, and (c) the one or more securities; (4) electronically identifying a subset of funds on which the fund index is based as superior-performing funds over a period of time preceding a first time; and (5) constructing, at the first time, and based on the identified subset of funds, a first portfolio of securities whose return exceeds a return of the fund index over a first period of time. Other aspects of the invention comprise software for implementing the above aspect and embodiments thereof, as well as portfolios constructed according to the above aspect and embodiments thereof.

Abstract: In one aspect, the present invention comprises a computer system for market making, comprising: (a) a computer component for receiving data identifying a user-specified basket of securities; (b) a database storing the data identifying a user-specified basket of securities and storing data describing inventory of a market maker; and (c) a computer component for calculating a swap price for the basket in light of the inventory, the calculating based at least in part on quote deflection related to the inventory. Other aspects comprise related methods and software.

Abstract: In at least one aspect, the invention comprises a computer-implemented method comprising: electronically receiving data regarding prices of exchange-traded futures contracts on physical commodities; selecting, based on said received data, one or more of said futures contracts to be referenced by a commodity index; identifying, on a periodic basis, one or more deferred futures contracts into which said selected one or more futures contracts will roll; and providing one or more derivative products linked to said commodity index. In at least one aspect, the invention comprises a commodity index that references exchange-traded futures contracts on physical commodities, wherein one or more deferred futures contracts into which the futures contracts will roll are identified on a periodic basis, and wherein said one or more deferred futures contracts are identified based on an effective spot price. In at least one aspect, the invention comprises a derivative product linked to a commodity index.

Abstract: Processing pricing data can be provided by receiving first data associating a first price source, a first market condition, and an instrument; receiving second data from at least one of a plurality of price sources, the second data comprising a first price quote for the instrument; determining that the at least one of the plurality of price sources matches the first price source; and generating a second price quote for the instrument based on the second data. Time data may be used for synchronizing the first data and the second data. The first price source may be changed to a second price source and/or the first market condition may be changed to a second market condition; and a third price quote generated for the instrument based on the associated second price source. Cached data may be used for processing the pricing data.

Abstract: A money laundering prevention program administered by a financial institution. A plurality of risk factors associated with a potential for conducting illicit activities in connection with an account held at the financial institution are identified. The risk factors include jurisdiction-based risk factors, entity type-based risk factors, and/or business type-based risk factors. The risk factors are ranked and, based on the rank, each of the risk factors is assigned to a tier. Each of the tiers represents a level of risk that illicit activities will be conducted in connection with the account.

Abstract: A system and method for providing an extendable swap is provided. In a preferred embodiment, two parties enter into an ISDA Master Agreement and then negotiate one or more OTC derivative transaction agreements, including interest rate swaps, cross-currency swaps, commodity swaps, equity swaps and/or currency swaps. The parties negotiate terms including conditions precedent to the automatic extension of the extendable swap. Where the condition(s) precedent are met at the end of a period, the agreement automatically renews for another period (with the same terms), up to a final termination date. Where the conditions precedent are not met, the contract in not renewed, and the agreement terminates on the relevant anniversary date. Such a swap enables a party to offer better pricing due to period valuations and probabilities that are used to calculate the price of the swap.

Abstract: In one aspect, the invention comprises a computer-implemented method for predicting interest rates, comprising the steps of: electronically receiving data describing one or more Fed fund futures rates; electronically adjusting the data describing the one or more Fed fund futures rates to obtain adjusted data regarding the one or more Fed fund futures rates; and electronically determining data regarding one or more expected Fed fund target rates. In another aspect, the invention comprises a system for predicting interest rates, comprising: one or more processors operable to determine probability distribution data for one or more Eurodollar rates based on Eurodollar futures option data; one or more processors operable to link said probability distribution data for one or more Eurodollar rates to overnight forward Fed funds rate data; and one or more processors operable to link said forward Fed funds rate data to expected Fed funds rate data.

Abstract: An exemplary aspect comprises a computer system comprising: (a) one or more servers that receive electronic data describing prices for a first category of futures positions; and (b) one or more processors that calculate an index value at a specified time based on one or more weighted price changes for said first category of futures positions, wherein said index value has a target exposure to one or more yields for said first category of futures positions. In one or more exemplary embodiments, the computer system further comprises one or more processors that receive electronic data describing prices for a second category of futures positions, wherein the index value at the specified time is based on one or more differences between weighted price changes for the first category of futures positions and the second category of futures positions. Other exemplary aspects comprise related methods and software.

Abstract: In one aspect, the invention comprises entering into an agreement with a borrower to provide a loan of a specified amount on a specified date, wherein the agreement further specifies a fixed rate and a spread; and on the specified date specifying whether the borrower must pay a fixed coupon at the fixed rate or pay a floating coupon based on the spread. In another aspect, the invention comprises an agreement between a lender and a borrower whereby the lender provides to the borrower a loan of a specified amount on a specified date; a fixed rate and a spread are specified; and the borrower receives the specified amount on the specified date, and during the term pays, at lender's option to be specified on the specified date, either a fixed coupon at the fixed rate or a floating coupon at a floating rate based on the spread.

Abstract: Methods and systems for providing real-time reporting of software usage includes an agent running on a local computer. The agent identifies new processes started on the computer and checks the new process against a restricted list. If the new process is on the restricted list, the agent automatically performs one or more restriction actions associated with the executable name of the process. The restricted list is contained in a configuration file stored on the local computer. A master configuration file for the local computer is stored on a server and replaces the configuration file when the configuration file is outdated. An authorized administrator may edit the master configuration file by adding or removing executable and DLL names from the restricted list and by adding or removing restriction actions associated with the executable and DLL names on the restricted list.

Abstract: The disclosed technology involves estimating daily trading volume for a securities market for a next day, estimating daily trading volume for a particular security for a next day, and estimating intraday trading volume for a particular security for a next time bin in the current day.

Abstract: In one aspect the invention comprises systems and methods for providing hedging against loss of value of a block of variable annuity policies to be sold, between the signing and closing dates of the transaction. In one embodiment, a purchase price adjustment grid (or formula) is used to adjust the purchase price for the sale of variable annuities between signing and closing dates as a result of changes in market parameters over that time period. One aspect comprising the steps of: (a) storing data representing at least one equity amount table having a horizontal axis corresponding to a first variable and a vertical axis corresponding to a second variable; (b) receiving a first value of the first variable and a second value of the second variable; and (c) calculating a table amount based on a bilinear interpolation of quantities in the equity amount table.

Abstract: In one aspect, the invention comprises a method comprising: (1) selling a note to an investor for a specified amount; and (2) using proceeds from selling the note to purchase (a) one or more zero coupon municipal bonds, and (b) an option on at least one of the group comprising: a hedge fund, a fund of funds, and a hedge fund index; wherein the note entitles the investor to substantially all of the returns on the one or more bonds and on the option, wherein the one or more bonds are configured to provide a return substantially equal to the specified amount, and wherein the option is a European option. This option can be a variable option.

Abstract: A credit event referenced asset having a par value includes (a) a provision for a right of a creditor to receive interest on the asset for a credit term, wherein the interest is reduced if a credit event occurs with respect to a reference entity, and (b) a provision for a right of the creditor to receive the par value at a maturity date of the asset.

Abstract: In at least one aspect, the invention comprises constructing one or more hybrid adjustable rate mortgage aggregates based on one or more of: agency, program, coupon, and origination year; for each of one or more of the aggregates, constructing one or more sub-aggregates based on one or more of: rate-index, capitalization structure, and existence of interest-only feature; mapping pools of adjustable rate mortgages to the aggregates and sub-aggregates; constructing an index based on the mapping; and pricing the index.

Abstract: A system and method for providing responses to pricing inquiries that bypasses the trading desk is disclosed that includes a CPS database configured to receive and store pricing data from at least one data source and a CPS console configured to receive a pricing inquiry, estimate a price for the issue, and automatically generate and distribute the estimated price. A Pricing Analyst (PA) manages the receipt and processing of the pricing inquiry and can modify the estimation parameters through the CPS console. Processing of the inquiry by the CPS console relieves traders at the trading desk of the job of responding to pricing inquiries during the trading day.

Abstract: Systems and methods are provided for a liquidity-based commodity index in which historical liquidity-related data for a commodity is used to determine whether to include a commodity in an index and also used to weight commodities in the index. Liquidity of a commodity is calculated based on an average daily dollar value of contracts traded for the commodity. The commodity liquidity is compared to a liquidity threshold to determine that the commodity should be included in the index. A liquidity factor is calculated for each commodity included in the index and is also used to weight the commodity in the index.

Abstract: A system and method for determining and displaying return-on-investment (ROI) of components on a network is described. The system includes one or more processes that initiate and receive data streams directly or indirectly from components on the network or from other databases on the network. A dependency tree is created for each component relating each component to other components and to information characterizing the component. A portal is provided to export data feeds to other systems on the network and to generate reports and display usage information on each component on the network. Usage information may be grouped or summarized according to business function or by top level manager.

Abstract: In one aspect, the invention comprises: (a) calculating an average bid-ask spread of securities; (b) calculating values associated with one or more markets; (c) receiving and storing data regarding an order size for the securities; (d) receiving and storing data regarding an average daily volume of the securities traded on a specified market; (d) calculating data regarding expected historical volatility over a trading interval of the securities; (e) calculating data regarding an average rate of trading over the trading interval of the securities; and (f) calculating an estimated cost of trading the securities using data comprising a formula based on the average bid-ask spread, the values associated with one or more markets, the data regarding order size, the data regarding average daily volume, the data regarding expected historical volatility, and the data regarding an average rate of trading over the trading interval.

Abstract: In one aspect, the invention comprises a computer-implemented method for predicting interest rates, comprising the steps of: electronically receiving data describing one or more Fed fund futures rates; electronically adjusting the data describing the one or more Fed fund futures rates to obtain adjusted data regarding the one or more Fed fund futures rates; and electronically determining data regarding one or more expected Fed fund target rates. In another aspect, the invention comprises a system for predicting interest rates, comprising: one or more processors operable to determine probability distribution data for one or more Eurodollar rates based on Eurodollar futures option data; one or more processors operable to link said probability distribution data for one or more Eurodollar rates to overnight forward Fed funds rate data; and one or more processors operable to link said forward Fed funds rate data to expected Fed funds rate data.