Systems and methods for swap contracts management with a discount curve feedback loop
US8190503B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Dec 9, 2010 |
| Grant date | May 29, 2012 |
| Priority date | — |
| Expiry date | Dec 9, 2030 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A method, system, apparatus and media are directed to managing trading of financial instruments with a clearinghouse as a counter-party to trades. A plurality of inputs that includes trade data for trades executed using the computer system is received. A discount curve for projected prices of a swap contract over time based on the received plurality of inputs is determined in real-time. A swap contract price is valued based on the determined discount curve. A margin requirement is determined for a user who wishes to trade or hold a position in the swap contract in the user's account based on the swap contract price. Data about a trade of the swap contract that is executed within the computer system is incorporated into the trade data used for determining the discount curve to provide a feedback loop into the real-time determination of the discount curve.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.