Method and apparatus for deriving benchmarks for trading instruments

US8548892B2 · kind B2 · utility

Assignee

• EBS Group Limited · GB

Inventors

• Edward R. Howorka · Denville, US
• David J. Liu · New York, US
• Jeffrey Edward Power
• Nasir Ahmed Zubairi · London, GB
• Neena Jain · South Plainfield, US

Key dates

• Filing date: Nov 5, 2004
• Grant date: Oct 1, 2013
• Expiry date: Mar 24, 2030

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/00
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

Benchmarks for the price of a financial instrument such as FX spot rate for a currency pair are calculated by an algorithm based on a previous benchmark and a market price. The market price is derived from a deal price and a quote price. The deal price is based on deals conducted since the last benchmark and the quote price is based on bids and offers entered since the last benchmark. For each of the deal and quote prices, a price, weight and scatter is calculated which is used to calculate a benchmark price, weight and scatter and a benchmark error.