Structured finance securities option pricing architecture and process

1. A system for valuing a structured finance product based on loans, the loans characterized by probabilities of default and prepayment, the system comprising:

at least one processor;

at least one non-transitory computer readable medium having computer executable code embodied therein, said computer executable code causes said at least one processor to:

obtain, from a database, data for a structured finance product; said data comprising historical and current market and loan information;

determine, utilizing the data and hazard rates estimated from the data, statistical probabilities of default and prepayment on loans that serve as collateral for a collection of structured finance notes in a trust for the structured finance product; each of the statistical probabilities of default and prepayment being proportional to an intensity of a stochastic Cox process; obtaining the statistical probabilities of default and prepayment comprises including at least one of credit risk, default or prepayment risk; the credit risk and prepayment risk being modeled using a reduced form methodology;

obtain, utilizing the statistical probabilities, and the data, a statistically significant number of cashflow data for each loan, wherein the number of cashflow data results in a standard error from a mean of a distribution of cashflows being statistically small; cashflow data being obtained by analysis of other stochastic processes; the other stochastic processes include interest rate risk modeled using Heath, Jarrow, Morton (HJM) model augmented by an expression for the evolution of constant maturity zero coupon bonds, constituting an augmented HJM model; using a statistically significant number of paths over a time period, each path generated under a martingale measure, estimating hazard rates, determining interest rate, using the augmented H JM model, and determining default or prepayment at predetermined intervals in the time period; said cashflows being obtained from valuation expressions for Cox processes evaluated using Monte Carlo simulations; the Monte Carlo simulations including interaction with a structured finance product pricing system at each predetermined interval; the structured finance product pricing system allocating loans into tranches;

generate, utilizing the data, a number of predicted interest rate and loan value paths, thereby generating an econometric model; outputs of the econometric model include interest rates; and

determine, utilizing the data, the econometric model, and the statistical cashflow information, a valuation for the structured finance product, said valuation comprising a fair value; said valuation obtained using the cashflows obtained from valuation expressions for Cox processes evaluated using the Monte Carlo simulations;

at least one display device; and,

wherein said computer executable code also causes said at least one processor to implement a user interface for display on said at least one display device, said user interface comprising:

a structured collection of data including criteria for viewing candidate structured finance products;

a component for-selecting criteria from said structured collection of data;

another structured collection of data including structured finance products satisfying the selected criteria;

another component for-selecting a portfolio of structured finance products from the structured finance products satisfying the selected criteria;

other components for-displaying valuation parameters for each structured finance product from the portfolio of structured finance products; and

components for enabling valuation and transactions for the portfolio of structured finance products.

2. The system of claim 1 wherein the enabled transactions in said user interface include hedging.

3. The system of claim 1 wherein the enabled transactions in said user interface include pricing.

4. The system of claim 1 wherein the enabled transactions in said user interface include cashflow performance monitoring.

5. The system of claim 1 wherein the enabled transactions in said user interface include portfolio returns calculation and monitoring.

6. The system of claim 1 wherein the enabled transactions in said user interface include portfolio risk monitoring.