Settling over-the-counter derivatives using synthetic spot benchmark rates
US8510209B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Aug 15, 2011 |
| Grant date | Aug 13, 2013 |
| Priority date | — |
| Expiry date | Aug 15, 2031 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/00
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
Techniques and systems for settling over-the-counter financial instruments includes sampling over a periodic interval are disclosed. A volume weighted average price of the sampled process may be calculated and forward points may be applied to the volume weighted average priced to determine an associated spot exchange rate. Such a synthetic spot FX exchange rate may be published to subscribers. Over-the-counter financial derivatives may establish delivery obligations according to the spot exchange rate. In the event where a number of transactions during the sampling period is less than a threshold, a midpoint of bids and asks associated with orders for the exchange traded financial derivative may be used to determine an average of the midpoint, to which the forward points may be applied to determine the spot exchange rate. Alternatively, the time-weighted average of the bid and ask orders during a periodic interval may be used in computing the volume-weighted average price.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.