Brian A Zola

US Patent:

20070078744, Apr 5, 2007

Filed:

Sep 28, 2006

Appl. No.:

11/541147

Inventors:

Michael Koss - New York NY, US
David Heike - New York NY, US
Ross Shapiro - New York NY, US
Akhil Mago - New York NY, US
Brian Zola - New York NY, US

Assignee:

Lehman Brothers Inc. - New York NY

International Classification:

G06Q 40/00

US Classification:

70503600R

Abstract:

In at least one aspect, the invention comprises a method comprising creating, based on specified rules, an index of asset-backed floating rate securities categorized into a plurality of asset classes; and pricing the index according to a matrix pricing method. In at least one other aspect, the invention comprises an index of asset-backed floating rate securities categorized into a plurality of asset classes, wherein the index is created based on specified rules and priced according to a matrix pricing method. In at least one other aspect, the invention comprises a method comprising participating in a total return swap on an index of asset-backed floating rate securities categorized into a plurality of asset classes, wherein the index has been created based on specified rules and priced according to a matrix pricing method.