Invention Grant
- Patent Title: Coupon blending of a swap portfolio
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Application No.: US16532026Application Date: 2019-08-05
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Publication No.: US10650457B2Publication Date: 2020-05-12
- Inventor: Dhiraj Bawadhankar , Fateen Sharaby , Steve Dayon , Jack Callahan
- Applicant: Chicago Mercantile Exchange Inc.
- Applicant Address: US IL Chicago
- Assignee: Chicago Mercantile Exchange Inc.
- Current Assignee: Chicago Mercantile Exchange Inc.
- Current Assignee Address: US IL Chicago
- Agency: Lempia Summerfield Katz LLC
- Main IPC: G06Q40/06
- IPC: G06Q40/06

Abstract:
Systems and methods for blending a plurality of swaps may include determining a fixed rate for use in blending a plurality of swaps, each of the plurality of swaps having matching economics and a different associated fixed rate. A computing device may determine a first remnant swap for blending fixed rate components of the plurality of swaps using the fixed rate. In some cases, the computing device may determine second remnant swap for blending floating rate components of the plurality of swaps based on the first remnant swap.
Information query