Mark B Garman

US Patent:

58192379, Oct 6, 1998

Filed:

Feb 13, 1996

Appl. No.:

8/600685

Inventors:

Mark B. Garman - Orinda CA

Assignee:

Financial Engineering Associates, Inc. - Berkeley CA

International Classification:

G06F 1760

US Classification:

705 36

Abstract:

A system, method, and product determines the incremental impact of any number of candidate trades on the value at risk (VaR) measure of a trading portfolio within a trading interval, without requiring that the VaR measure be redetermined individually with respect to each candidate trade. The method includes determining the VaR measure for the trading portfolio, and determining a derivative vector quantity for the VaR measure. For each candidate trade, the impact of the candidate trade on the VaR measure is determined as the vector product of the derivative vector and the mapped cashflows of the candidate trade. A negative sign indicates a desirable reduction in the VaR measure. This determination may be made for any number of candidate trades without having to re-determine the VaR measure. The software product employs this method in a financial analysis application in an optimized implementation. The system includes the software product along with databases storing the trading portfolio(s).

US Patent:

61226238, Sep 19, 2000

Filed:

Jul 2, 1998

Appl. No.:

9/109110

Inventors:

Mark B. Garman - Orinda CA

Assignee:

Financial Engineering Associates, Inc. - Berkeley CA

International Classification:

G06F 1760

US Classification:

705 36

Abstract:

A system, computer implemented method, and software product provide for the correct allocation of cashflows to enable accurate determination of value at risk with respect to income and balance sheet risk for transactions portfolio including transactions occurring in different fiscal periods. The computer implemented method includes establishing watershed variables, such as watershed dates, and partitioning both cashflows derived from the transaction portfolio and the vertex set of market risk data into distinct subsets. The partitioned cashflows are allocated, using a regular allocation function, onto individual ones of the partitioned vertex sets. The partitioning and allocation correctly segregate cashflows with respect to the fiscal periods to which they contribute to the value at risk. The allocated cashflows are then each separately treated by a value at risk computation. A system includes a computer, database of transactions, networked or local access to market risk data, and a software product executing the computer implemented method.

US Patent:

59268220, Jul 20, 1999

Filed:

Sep 6, 1996

Appl. No.:

8/709101

Inventors:

Mark B. Garman - Orinda CA

Assignee:

Financial Engineering Associates, Inc. - Berkeley CA

International Classification:

G06F 1730

US Classification:

707503

Abstract:

A spreadsheet application includes functions and data structures for transforming real time data items individually received over time from a real time data source into time series data globally available within the spreadsheet environment. The spreadsheet application includes a tape function operating in conjunction with a plurality of tape data structures, to store real time data items received over individually over time from a real time data source into one of the tape data structures, thereby persistently storing a set of previously received real time data items in a manner that is accessible to other functions of the spreadsheet. A plurality of filter functions and filter data structures enable computation of various statistical measures on real time data items by storing in globally accessible filter data structures information derived from a sequence of real time data items, such as a previously computed filter output, latency information describing the time intervals between real time data items, and other data, to allow the computation of a current filter output without storing all previously received real time data items. The filter and tape functions allow for various uses of real time data items without the need to provide complex macro programming.

US Patent:

56922337, Nov 25, 1997

Filed:

Feb 3, 1995

Appl. No.:

8/384376

Inventors:

Mark B. Garman - Orinda CA

Assignee:

Financial Engineering Associates, Inc. - Berkeley CA

International Classification:

G06F 1760
G06G 752

US Classification:

705 36

Abstract:

A system and method for analyzing derivative securities includes a central processing unit, an input device, an output device, and a storage. The system includes input and output routines, a compiler, a sequencer, and a simulator. The input and output routines generate graphical user interfaces that allow the user to construct scenarios for simulation. A scenario includes a set of events that define changes to the value of the derivative security over time. The compiler parses an input scenario and converts it to a low-level executable object. The sequencer then uses the output of the compiler and other simulation code for a financial Monte Carlo simulation to produce programs executable by the CPU. The simulator is automatically invoked and runs the executable code using the CPU. The simulator utilizes the input and output routines to display the results on the display device.