Wells Fargo Bank, N.a.

Vanio Markov

Abhijit Rao

Peter Bordow

Fernando Cela Diaz

Serhan Altunata

Bernhard Hientzsch

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.

Systems and methods for valuing an interest rate swap transaction

Systems, apparatuses, methods, and computer program products are disclosed for low-code utilization of a computing system involving a classical computing device and a quantum computing device. An example method includes receiving, by formulation circuitry, an input from an interaction modality. The example method includes transmitting, by the formulation circuitry, the input to a machine learning model to produce an intermediate output. The example method includes determining, by the formulation circuitry, a type of computing device needed for based on the intermediate output. The example method includes generating, by a first runtime circuitry, one or more algorithms based on the determined type of computing device. The example method includes executing, by a second runtime circuitry, the one or more algorithms on one or more corresponding computing devices to produce an output. The example method further includes packaging, by the formulation circuitry, the output for transmission via the interaction modality.

Systems and methods for low-code utilization of a computing system

Systems, apparatuses, methods, and computer program products are disclosed for predicting or determining the side of an order book that market liquidity will cluster at a future time period to facilitate optimization of spread capture. The method may include receiving market tick data. The method may include receiving an order book. The method may include in response to reception of the market tick data generating a probability or outcome indicating which side of the order book will cluster, determining an execution strategy based on the probability or outcome, and performing the execution strategy in relation to the order book.

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Ridgewood, NJ, United States of America

Vanio Markov