Factorization of interest rate swap variation
US8024255B2 · kind B2 · utility
6Cited by
1References
21Claims
0Family size
Assignee
Inventors
Key dates
| Filing date | Dec 4, 2007 |
| Grant date | Sep 20, 2011 |
| Priority date | — |
| Expiry date | Oct 11, 2029 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/04
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
Methods are described for processing and clearing derivative products such as interest rate swaps (IRSs). A swap value factor (SVF) may be generated to calculate the mark-to-market value of an IRS. The SVF may be a function of interest rates derived from a yield curve. Cash flow may be generated between the buyer and the seller to reflect the change in the market price of the derivative, i.e., the mark-to-market process. The results of a cleared swap may be used to determine or alter the margin deposit required by the buyer or seller.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.