Invention Grant
US08548892B2 Method and apparatus for deriving benchmarks for trading instruments
有权
用于衍生贸易工具的基准的方法和装置
- Patent Title: Method and apparatus for deriving benchmarks for trading instruments
- Patent Title (中): 用于衍生贸易工具的基准的方法和装置
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Application No.: US10983170Application Date: 2004-11-05
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Publication No.: US08548892B2Publication Date: 2013-10-01
- Inventor: Edward R. Howorka , David Jifeng Liu , Jeffrey Edward Power , Nasir Ahmed Zubairi , Neena Jain
- Applicant: Edward R. Howorka , David Jifeng Liu , Jeffrey Edward Power , Nasir Ahmed Zubairi , Neena Jain
- Applicant Address: GB London
- Assignee: EBS Group Limited
- Current Assignee: EBS Group Limited
- Current Assignee Address: GB London
- Agency: Dickstein Shapiro LLP
- Main IPC: G06Q40/00
- IPC: G06Q40/00
Abstract:
Benchmarks for the price of a financial instrument such as FX spot rate for a currency pair are calculated by an algorithm based on a previous benchmark and a market price. The market price is derived from a deal price and a quote price. The deal price is based on deals conducted since the last benchmark and the quote price is based on bids and offers entered since the last benchmark. For each of the deal and quote prices, a price, weight and scatter is calculated which is used to calculate a benchmark price, weight and scatter and a benchmark error.
Public/Granted literature
- US20050171895A1 Method and apparatus for deriving benchmarks for trading instruments Public/Granted day:2005-08-04
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