Zero coupon conversion factor calculation

US8751367B2 · kind B2 · utility

Assignee

• Chicago Mercantile Exchange Inc. · US

Inventors

• Frederick Sturm · Chicago, US
• Daniel Grombacher · Evanston, US
• James Boudreault · Palatine, US
• Michael Kamradt · Flossmoor, US
• John Labuszewski · Westmont, US

Key dates

• Filing date: Oct 2, 2012
• Grant date: Jun 10, 2014
• Expiry date: Nov 2, 2032

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/08
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

The disclosed embodiments relate to a system which calculates a conversion factor (CF) based upon a zero percent (0%) futures contract standard. The zero percent futures contract standard may be used in the context of futures or forwards based upon coupon bearing debt securities including Treasuries, Treasury Inflation Protected Securities (TIPS), agencies, corporates, municipals, or any fixed income security. The system also facilitates listing, trading, and settlement of an interest rate futures contract that sets forth such a zero percent futures contract standard. The system may be configured for both interest rate futures contracts utilizing a nonzero percent futures contract standard and interest rate futures contract utilizing a zero percent futures contract standard. The system may be configured to calculate an invoice amount for the interest rate futures contract to be paid in exchange for the delivery of the one of the set of eligible interest rate or debt securities and instruments.