公开(公告)号：US20210056635A1

公开(公告)日：2021-02-25

申请号：US16996386

申请日：2020-08-18

Applicant: Chicago Mercantile Exchange Inc.

Inventor： Mark Andrew Rogerson ,  Edmund Bowering Carey ,  David Edward Bixby, JR. ,  Frederick Sturm ,  Gavin Keith Lee ,  Agha Irtaza Mirza

IPC: G06Q40/06 ,  G06Q40/02

Abstract: The disclosed embodiments relate to automated generation of objective data for use in computing a forward interest rate for a future time period subsequent to a current date, as well as post validation thereof. Periodic sample sets of the prices of actual completed trades between anonymized parties of each of a set of interest rate futures contracts having consecutive expiration months which collectively include the selected future time period are obtained from an anonymized electronic trading system. The prices of current best offers to buy/sell each of those contracts are also randomly obtained. Each sample set, along with the randomly selected prices, is then processed to identify a subset thereof which are consistent with a relationship between the underlying interest rate of the set of contracts and time period covered thereby. The identified subset of each sampling period are then combined into an objective data set for submission to a rate generator which computes one or more forward interest rates, for one or more tenors, based thereon.

公开(公告)号：US10430881B2

公开(公告)日：2019-10-01

申请号：US15000793

申请日：2016-01-19

Applicant: Chicago Mercantile Exchange Inc.

Inventor： David Bixby ,  Frederick Sturm ,  Edmund Carey ,  Sten Anderson ,  Vivek Kondaveeti ,  Thomas Lord

IPC: G06Q40/04

Abstract: A computer implemented method for assigning values to objects includes receiving a plurality of values for each of a plurality of base objects including a first and second base object; receiving a plurality of values for a first composite object associated with the first and second base objects; generating and storing in the memory a solution set including combinations of values of the first and second base objects; for each combination in the solution set, generating first transaction results by computing transactions between the values of the first and second base objects; comparing each of the first transaction results to a first range of values including the values of the first composite object; and removing, from the solution set and from the memory, the combinations of the values of the first and second base objects corresponding to the first transaction results that are outside of the first range of values.

公开(公告)号：US20140316961A1

公开(公告)日：2014-10-23

申请号：US13868781

申请日：2013-04-23

Applicant: CHICAGO MERCANTILE EXCHANGE, INC.

Inventor： James Boudreault ,  Frederick Sturm ,  John Labuszewski ,  Daniel Grombacher ,  Richard Co

IPC: G06Q40/00

CPC classification number: G06Q40/04

Abstract: Systems and methods are provided for dynamically adjusting a bid ask spread while maintaining a fixed trading increment. Various criteria may be analyzed to determine if a bid ask spread meets the desired criteria. When the criteria is not met, the bid ask spread may be adjusted by aggregating orders. Aggregation may include raising a price of the lowest ask prices and/or lowering a price of the highest bid orders.

Abstract translation: 提供了系统和方法，用于在维持固定的交易增量的同时动态调整买卖价差。 可以分析各种标准以确定买卖价差是否满足期望的标准。 当不符合标准时，可以通过汇总订单来调整买卖价差。 汇总可能包括提高最低询价价格的价格和/或降低最高出价单的价格。

公开(公告)号：US12282960B2

公开(公告)日：2025-04-22

申请号：US18486545

申请日：2023-10-13

Applicant: Chicago Mercantile Exchange Inc.

Inventor： Suzanne Sprague ,  Sean Downey ,  Robert Taylor ,  Dhiraj Bawadhankar ,  Stephen Hurst ,  Matthew Simpson ,  Frederick Sturm

IPC: G06Q40/04 ,  G06F7/08

Abstract: An illustrative computing device may include a processor and a non-transitory memory device for storing a data structure capable of being compressed, where the data structure includes a plurality of data elements and each of the plurality of data elements includes a date field and a quantity field. The computing device may process instructions to arrange the plurality of data elements in a consecutive series in date order based on a value stored in the date field of each data element, determine whether a gap appears in the consecutive series of data elements based on a value stored in the quantity field of each element, remove the determined gaps in each of the data elements, and repeat the determining and removing steps until a predetermined criterion has been reached.

公开(公告)号：US10657587B2

公开(公告)日：2020-05-19

申请号：US13954559

申请日：2013-07-30

Applicant: Chicago Mercantile Exchange Inc.

Inventor： James Boudreault ,  John Wiley ,  Frederick Sturm ,  Jonathan Kronstein ,  Suzanne Spain ,  Peter Barker

IPC: G06Q40/00 ,  G06Q40/06 ,  G06Q40/04 ,  G06Q40/02 ,  G06Q40/08

Abstract: The disclosed embodiments relate to determining a listing date, an expiration date and the cash settlement price of a futures contract, i.e. a Treasury Futures, for the delivery of the most recently issued, referred to as an on-the-run, US treasury Note of a particular maturity by reference to the U.S. Treasury Auction cycle and the difference between a resultant industry surveyed swap rate and a resultant industry surveyed swap spread of the respective tenors (time remaining until maturity) of the on-the-run treasury futures.

公开(公告)号：US20150324910A1

公开(公告)日：2015-11-12

申请号：US14272620

申请日：2014-05-08

Applicant: Chicago Mercantile Exchange Inc.

Inventor： John Labuszewski ,  Frederick Sturm ,  John Nyhoff ,  James Boudreault ,  Jonathan Kronstein

IPC: G06Q40/04

CPC classification number: G06Q40/04

Abstract: A computer system may process data associated with synthetic series derivative contracts. Those contracts may be settled in cash to an imputed value of a fixed income security. This fixed income security may be coupon bearing. The imputed value of the fixed income security may be based on a calculated value of a series of interest-based derivative contracts. Both that series and the fixed income security may be hypothetical.

Abstract translation: 计算机系统可以处理与合成序列衍生合同相关联的数据。 这些合同可以以现金方式解决固定收入保障的估算值。 这种固定收益保障可能是息票。 固定收益证券的估算值可以基于一系列利率衍生工具合约的计算值。 这一系列和固定收入保障可能是假设的。

公开(公告)号：US20150254774A1

公开(公告)日：2015-09-10

申请号：US14714872

申请日：2015-05-18

Applicant: Chicago Mercantile Exchange, Inc.

Inventor： John Nyhoff ,  Frederick Sturm ,  John Labuszewski

IPC: G06Q40/04

CPC classification number: G06Q40/04

Abstract: Computer readable media, methods, and apparatuses may be configured for processing a yield of a first financial instrument, determining a single floating rate payment based on the yield, determining a single fixed rate payment based on a fixed interest rate, determining a present value of the single floating rate payment, determining a present value of the single fixed rate payment, and generating a quote for a forward rate agreement index financial product as a function of the present value of the single floating rate payment and the present value of the single fixed rate payment.

Abstract translation: 计算机可读介质，方法和装置可以被配置用于处理第一金融工具的收益率，基于收益确定单个浮动利率支付，基于固定利率确定单个固定利率支付，确定固定利率的现值 单一浮动利率支付，确定单一固定利率支付的现值，以及作为单个浮动利率支付的现值的函数的远期汇率协议指数金融产品的报价和单个固定利率支付的现值 费率付款

公开(公告)号：US20140222645A1

公开(公告)日：2014-08-07

申请号：US14245593

申请日：2014-04-04

Applicant: CHICAGO MERCANTILE EXCHANGE INC.

Inventor： Daniel Grombacher ,  James Boudreault ,  Frederick Sturm ,  John Labuszewski

IPC: G06Q40/04

CPC classification number: G06Q40/04

Abstract: The disclosed system makes available multiple interest rate futures contracts (“IRFC”) for a given set of interest rate securities, such as US Treasury Notes, which may be used to satisfy the delivery obligation. The terms on which the delivery obligation of each such IRFC are met are governed by an associated conversion factor yield (“CFY”) value which is associated, in turn, with a corresponding set of conversion factors (“CF”), each of which corresponds to one member of the set of securities eligible for delivery, and which may be used at the time of delivery of such eligible interest rate security, to determine the delivery invoice price. Offering different CFY's and corresponding CF's may enable a market participant who seeks to use such futures to acquire or shed financial risk exposure to select from such array of futures contracts the member contract that most closely mirror the participant's intended risk profile.

Abstract translation: 所披露的系统为特定的一系列利率证券（如美国国库券）提供多种利率期货合约（“IRFC”），可用于满足交割义务。 每个这样的IRFC的交付义务符合的条款由相关的转换因子收益率（“CFY”）值决定，而相关的转换因子收益率又与相应的一组转换因子（“CF”）相关联 对应于有资格交付的一组证券中的一个成员，并且可以在交付这种符合条件的利率保证金时使用，以确定交货发票价格。 提供不同的CFY和相应的CF可能使寻求使用这种期货的市场参与者获得或减少金融风险暴露，从这样的期货合约中选择最能反映参与者预期风险状况的成员合同。

公开(公告)号：US20130166474A1

公开(公告)日：2013-06-27

申请号：US13770186

申请日：2013-02-19

Applicant: CHICAGO MERCANTILE EXCHANGE INC.

Inventor： Frederick Sturm ,  James Boudreault ,  Daniel Grombacher ,  Julie Winkler

IPC: G06Q40/06

CPC classification number: G06Q40/04 ,  G06Q40/06

Abstract: The disclosed embodiments relate to determining a listing date, an expiration date and the cash settlement price of a futures contract, i.e. a Treasury Futures, for the delivery of the most recently issued, referred to as an on-the-run, US treasury Note of a particular maturity by reference to the U.S. Treasury Auction cycle and the difference between a resultant industry surveyed swap rate and a resultant industry surveyed swap spread of the respective tenors (time remaining until maturity) of the on-the-run treasury futures.

Abstract translation: 所披露的实施例涉及确定期货合约（即国债期货）的上市日期，到期日和现金结算价格，用于交付最近发行的，被称为在期的美国国库券 通过参考美国国库拍卖周期以及由此产生的行业调查掉期利率和相应行业之间的差异，调查了各自的期权（期限至到期的剩余时间）的期权交割期差异。

公开(公告)号：US20240013298A1

公开(公告)日：2024-01-11

申请号：US18372175

申请日：2023-09-25

Applicant: Chicago Mercantile Exchange Inc.

Inventor： David Bixby ,  Frederick Sturm ,  Edmund Carey ,  Sten Anderson ,  Vivek Kondaveeti ,  Thomas Lord

IPC: G06Q40/04

CPC classification number: G06Q40/04

Abstract: A computer implemented method for assigning values to objects includes receiving a plurality of values for each of a plurality of base objects including a first and second base object; receiving a plurality of values for a first composite object associated with the first and second base objects; generating and storing in the memory a solution set including combinations of values of the first and second base objects; for each combination in the solution set, generating first transaction results by computing transactions between the values of the first and second base objects; comparing each of the first transaction results to a first range of values including the values of the first composite object; and removing, from the solution set and from the memory, the combinations of the values of the first and second base objects corresponding to the first transaction results that are outside of the first range of values.