To provide a rational and quick method for calculating the current price of an asset back security and its program.
This method for calculating the current price of an asset back security to be issued with the gross assets of a cash flow based on assets as guarantee comprises a step 10 for making a computer accept the upper limit value of tranche indicating the range of the assets being the guarantee of a security and the lower limit value of the tranche, steps 20 and 30 for making an expected gross assets disappearing process indicating the expectation of the gross assets disappearing process with the gross assets disappearing process as a levy process based on a model obtained based on the past data of the gross assets disappearing process, and a step 40 for making an arithmetic means calculate the current price of the security based on the upper limit value of the tranche, the lower limit value of the tranche, and the expected gross assets disappearing process.
Arihara Koichi
Matsushima Tetsuo
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