Invention Grant
US08190503B2 Systems and methods for swap contracts management with a discount curve feedback loop
有权
利用折扣曲线反馈循环进行掉期合约管理的系统和方法
- Patent Title: Systems and methods for swap contracts management with a discount curve feedback loop
- Patent Title (中): 利用折扣曲线反馈循环进行掉期合约管理的系统和方法
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Application No.: US12964458Application Date: 2010-12-09
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Publication No.: US08190503B2Publication Date: 2012-05-29
- Inventor: Thomas Green , Garry O'Connor , Michael Dundon , John Shay , Gerald P. Lawlor
- Applicant: Thomas Green , Garry O'Connor , Michael Dundon , John Shay , Gerald P. Lawlor
- Applicant Address: US NY New York
- Assignee: International Derivatives Clearing Group, LLC
- Current Assignee: International Derivatives Clearing Group, LLC
- Current Assignee Address: US NY New York
- Agency: Winston & Strawn LLP
- Main IPC: G06Q40/00
- IPC: G06Q40/00

Abstract:
A method, system, apparatus and media are directed to managing trading of financial instruments with a clearinghouse as a counter-party to trades. A plurality of inputs that includes trade data for trades executed using the computer system is received. A discount curve for projected prices of a swap contract over time based on the received plurality of inputs is determined in real-time. A swap contract price is valued based on the determined discount curve. A margin requirement is determined for a user who wishes to trade or hold a position in the swap contract in the user's account based on the swap contract price. Data about a trade of the swap contract that is executed within the computer system is incorporated into the trade data used for determining the discount curve to provide a feedback loop into the real-time determination of the discount curve.
Public/Granted literature
- US20110153521A1 SYSTEMS AND METHODS FOR SWAP CONTRACTS MANAGEMENT WITH A DISCOUNT CURVE FEEDBACK LOOP Public/Granted day:2011-06-23
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