The patent badge is an abbreviated version of the USPTO patent document. The patent badge does contain a link to the full patent document.
The patent badge is an abbreviated version of the USPTO patent document. The patent badge covers the following: Patent number, Date patent was issued, Date patent was filed, Title of the patent, Applicant, Inventor, Assignee, Attorney firm, Primary examiner, Assistant examiner, CPCs, and Abstract. The patent badge does contain a link to the full patent document (in Adobe Acrobat format, aka pdf). To download or print any patent click here.
Patent No.:
Date of Patent:
Feb. 11, 2025
Filed:
Feb. 16, 2022
Wells Fargo Bank, N.a., San Francisco, CA (US);
Peter Bordow, Fountain Hills, AZ (US);
Fernando Cela Diaz, New York, NY (US);
Bernhard Hientzsch, Flushing, NY (US);
Zhiqiu Li, Charlotte, NC (US);
Vanio Markov, Ridgewood, NJ (US);
Abhijit Rao, Irvine, CA (US);
Wells Fargo Bank, N.A., San Francisco, CA (US);
Abstract
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.