System and method of margining fixed payoff products
US8341062B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Nov 21, 2011 |
| Grant date | Dec 25, 2012 |
| Priority date | — |
| Expiry date | Dec 6, 2031 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/08
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A system and method is disclosed for determining performance bonds for fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the value thereof. The worst outcome of the overall portfolio, which may contain more multiple instruments, is calculated, allowing the portfolio to have both long and short positions on the same underlying event and offsets among instruments within the portfolio. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, and single events with multiple outcomes, each with a probability thereof. Each outcome has an associated price and probability. Low probability events will have low values, resulting in a lower margin requirement. The margin requirement is then the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability thereof.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.