Method and system for low latency basket calculation

US10229453B2 · kind B2 · utility

Assignee

• IP Reservoir, LLC · US

Inventors

• David E. Taylor · Chesterfield, US
• Naveen Singla · Chesterfield, US
• Benjamin C. Brodie · University City, US
• Nathaniel Sutton McVicar · Chesterfield, US
• Justin Ryan Thiel · Glen Carbon, US
• Ronald S. Indeck · Chesterfield, US

Key dates

• Filing date: Jan 11, 2008
• Grant date: Mar 12, 2019
• Expiry date: Apr 25, 2029

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/06
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

A basket calculation engine is deployed to receive a stream of data and accelerate the computation of basket values based on that data. In a preferred embodiment, the basket calculation engine is used to process financial market data to compute the net asset values (NAVs) of financial instrument baskets. The basket calculation engine can be deployed on a coprocessor and can also be realized via a pipeline, the pipeline preferably comprising a basket association lookup module and a basket value updating module. The coprocessor is preferably a reconfigurable logic device such as a field programmable gate array (FPGA).