Evaluation and adjustment of settlement value curves
US8060425B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Dec 5, 2008 |
| Grant date | Nov 15, 2011 |
| Priority date | — |
| Expiry date | Sep 13, 2029 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/00
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.