Patent application number | Description | Published |
20090157561 | CONVERSION AND LIQUIDATION OF DEFAULTED POSITIONS - A method of liquidating defaulted positions associated with centrally cleared financial product is disclosed. The method includes identifying a defaulted position associated with a centrally cleared financial product, calculating a value differential between the defaulted position and a standard position, offering the value differential and the standard position to a party such that the value differential and the standard position represent a converted position, and settling the converted position upon acceptance of the offer by the party. | 06-18-2009 |
20090171826 | CONVERSION OF OVER-THE-COUNTER SWAPS TO STANDARDIZED FORWARD SWAPS - Systems, processes and methods are described for converting over-the-counter derivative products such as interest rate swaps (IRSs) to standardized forward swaps, such as centrally cleared interest rate swaps. The value of each leg of the over-the counter swap may be determined and compared to a value of a corresponding leg of the forward swap. A mark-to-market value may be determined as the difference between the values. | 07-02-2009 |
20090248588 | SCANNING BASED SPREADS USING A HEDGE RATIO NON-LINEAR OPTIMIZATION MODEL - The disclosed embodiments utilize hedge ratios to determine the optimal hedge ratio and associated scanning spread. This tells traders what ratios of the quantities of products they should have in their portfolio in order to maintain the status of the portfolios as delta neutral, i.e. be delta hedged, and receive optimal margin credits therefore. | 10-01-2009 |
20100042550 | WEATHER DERIVATIVE VOLATILITY SURFACE ESTIMATION - Systems and methods are provided for determining the volatility of weather derivative option contracts. Volatility levels are initially determined with conventional methods. Unreliable volatility levels are then replaced with futures contracts volatility levels. If the futures contracts volatility levels are not available or appear unreliable, meteorological volatility levels are utilized. The data may be reduced to a three dimensional surface and used when determining margin account requirements. | 02-18-2010 |
20110066569 | ALLOCATION OF A CREDIT DEFAULT SWAP PORTFOLIO - A method for allocating margin of a credit default swap portfolio is provided. The method includes identifying a credit default swap portfolio maintained by a defaulting clearing firm, determining a defaulting margin for the portfolio, the defaulting margin being determined using a margin model; and allocating the defaulting margin to one or more non-defaulting clearing firms based on account margins for each of the non-defaulting clearing firms. | 03-17-2011 |
20110246394 | SCANNING BASED SPREADS USING A HEDGE RATIO NON-LINEAR OPTIMIZATION MODEL - The disclosed embodiments utilize hedge ratios to determine the optimal hedge ratio and associated scanning spread. This tells traders what ratios of the quantities of products they should have in their portfolio in order to maintain the status of the portfolios as delta neutral, i.e. be delta hedged, and receive optimal margin credits therefore. | 10-06-2011 |
20120047063 | CONVERSION OF OVER-THE-COUNTER SWAPS TO STANDARDIZED FORWARD SWAPS - Systems, processes and methods are described for converting over-the-counter derivative products such as interest rate swaps (IRSs) to standardized forward swaps, such as centrally cleared interest rate swaps. The value of each leg of the over-the counter swap may be determined and compared to a value of a corresponding leg of the forward swap. A mark-to-market value may be determined as the difference between the values. | 02-23-2012 |
20120259798 | Scanning Based Spreads Using a Hedge Ratio Non-Linear Optimization Model - The disclosed embodiments utilize hedge ratios to determine the optimal hedge ratio and associated scanning spread. This tells traders what ratios of the quantities of products they should have in their portfolio in order to maintain the status of the portfolios as delta neutral, i.e. be delta hedged, and receive optimal margin credits therefore. | 10-11-2012 |
20130031027 | Weather Derivative Volatility Surface Estimation - Systems and methods are provided for determining the volatility of weather derivative option contracts. Volatility levels are initially determined with conventional methods. Unreliable volatility levels are then replaced with futures contracts volatility levels. If the futures contracts volatility levels are not available or appear unreliable, meteorological volatility levels are utilized. The data may be reduced to a three dimensional surface and used when determining margin account requirements. | 01-31-2013 |
20130346279 | Weather Derivative Volatility Surface Estimation - Systems and methods are provided for determining the volatility of weather derivative option contracts. Volatility levels are initially determined with conventional methods. Unreliable volatility levels are then replaced with futures contracts volatility levels. If the futures contracts volatility levels are not available or appear unreliable, meteorological volatility levels are utilized. The data may be reduced to a three dimensional surface and used when determining margin account requirements. | 12-26-2013 |
20140067721 | SCANNING BASED SPREADS USING A HEDGE RATIO NON-LINEAR OPTIMIZATION MODEL - The disclosed embodiments utilize hedge ratios to determine the optimal hedge ratio and associated scanning spread. This tells traders what ratios of the quantities of products they should have in their portfolio in order to maintain the status of the portfolios as delta neutral, i.e. be delta hedged, and receive optimal margin credits therefore. | 03-06-2014 |
20140279377 | Weather Derivative Volatility Surface Estimation - Systems and methods are provided for determining the volatility of weather derivative option contracts. Volatility levels are initially determined with conventional methods. Unreliable volatility levels are then replaced with futures contracts volatility levels. If the futures contracts volatility levels are not available or appear unreliable, meteorological volatility levels are utilized. The data may be reduced to a three dimensional surface and used when determining margin account requirements. | 09-18-2014 |