发明名称 |
Method and device for calculating a forward price for using links in a network |
摘要 |
The invention relates to a method for calculating in a network that comprises links a distribution of forward prices for using the links in the network. The method comprises the following steps: a) a provision step for providing an observed forward price of a forward contract for each of the links, b) a determination step for deriving from the observed forward prices a proposed joint distribution of forward prices by applying a forward pricing process to each of the links, thereby generating a geographical arbitrage in the network; c) an arbitrage reduction step for reducing the geographical arbitrage in the proposed joint distribution of forward prices by a geographical arbitrage reduction value; d) a verification step for verifying if the proposed joint distribution of forward prices together with the observed forward prices has a defined property in response to the determination step and the arbitrage reduction step; if the verification step results in the defined property being not present e) a generation step for generating a property reduction value; repeating the determination step, the arbitrage reduction step and the verification step, applying the property reduction value to the forward pricing process of each of the links. |
申请公布号 |
US7720741(B2) |
申请公布日期 |
2010.05.18 |
申请号 |
US20080197463 |
申请日期 |
2008.08.25 |
申请人 |
INTERNATIONAL BUSINESS MACHINES CORPORATION |
发明人 |
CHELIOTIS GEORGIOS;KENYON CHRISTOPHER M. |
分类号 |
G06Q40/00;H04L12/14;H04L12/56;H04Q3/00 |
主分类号 |
G06Q40/00 |
代理机构 |
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代理人 |
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主权项 |
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地址 |
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