Wells Fargo Bank, N.A.

Bernhard Hientzsch

Abhijit Rao

Peter Bordow

Fernando Cela Diaz

Vanio Markov

Zhiqiu Li

A method for valuing one or more cash flow occurrences in an interest rate swap transaction. An example method includes estimating a mean interest rate for each tenor of one or more combinations of two or more tenors of an interest rate swap. The method may include determining a forward interest rate based on the mean interest rate of each tenor of the one or more combinations for the cash flow occurrences. The method may include determining an estimate value, a standard deviation of the estimate value, and a probability or outcome associated with the estimate value. The method may include determining an overall value of the interest rate swap based on one or more determinations of estimate value, standard deviation of the estimate value, and probability or outcome associated with the estimate value.

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Flushing, NY, United States of America

Bernhard Hientzsch