COMPUTER METHODOLOGY PROVIDING AS-OF-DAY VOLATILITY SURFACE CONSTRUCTION FOR PRICING

摘要

A method and system are disclosed for more efficiently constructing a volatility surface. The methodology results in measurable reduction in the quantity of storage memory space needed on a computer executing the novel methodology, reduces the measurable, on-demand computational load on the processor(s) of a computer executing the novel methodology, and permits as-of-day calculations of the volatility surface that were previously impossible to obtain in near real-time.