SYSTEMS AND METHODS FOR EVALUATING LIQUIDITY OF A MARKET
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Nov 9, 2016
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Nov 11, 2015
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Systems and methods are provided for calculating a liquidity metric. A spline is fit to a set of securities. A model yield to maturity is calculated based on the spline for each security in the set of securities. A market yield to maturity is calculated based on market data for each security in the set of securities. A liquidity metric is calculated for the set of securities based on the calculated model yields to maturity and the calculated market yields to maturity.
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