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    • 1. 发明申请
    • SYSTEMS AND METHODS FOR SWAP CONTRACTS MANAGEMENT WITH A DISCOUNT CURVE FEEDBACK LOOP
    • 用折返曲线反馈环路进行交换合同管理的系统和方法
    • US20110153521A1
    • 2011-06-23
    • US12964458
    • 2010-12-09
    • Thomas GreenGarry O'ConnorMichael DundonJohn ShayGerald P. Lawlor
    • Thomas GreenGarry O'ConnorMichael DundonJohn ShayGerald P. Lawlor
    • G06Q40/00
    • G06Q40/06
    • A method, system, apparatus and media are directed to managing trading of financial instruments with a clearinghouse as a counter-party to trades. A plurality of inputs that includes trade data for trades executed using the computer system is received. A discount curve for projected prices of a swap contract over time based on the received plurality of inputs is determined in real-time. A swap contract price is valued based on the determined discount curve. A margin requirement is determined for a user who wishes to trade or hold a position in the swap contract in the user's account based on the swap contract price. Data about a trade of the swap contract that is executed within the computer system is incorporated into the trade data used for determining the discount curve to provide a feedback loop into the real-time determination of the discount curve.
    • 一种方法,系统,设备和媒体旨在管理金融工具的交易,并将交易所作为交易对手。 接收包括使用计算机系统执行的交易的交易数据的多个输入。 实时确定基于所接收的多个输入的交换合同随时间的预计价格的折现曲线。 基于确定的折扣曲线估值掉期合约价格。 对于希望根据掉期合同价格在用户账户中交换或持有交换合约中的头寸的用户,确定保证金要求。 关于在计算机系统内执行的交换合同的交易的数据被并入用于确定折扣曲线的交易数据中,以便为折扣曲线的实时确定提供反馈回路。
    • 2. 发明授权
    • Systems and methods for swap contracts management with a discount curve feedback loop
    • 利用折扣曲线反馈循环进行掉期合约管理的系统和方法
    • US08190503B2
    • 2012-05-29
    • US12964458
    • 2010-12-09
    • Thomas GreenGarry O'ConnorMichael DundonJohn ShayGerald P. Lawlor
    • Thomas GreenGarry O'ConnorMichael DundonJohn ShayGerald P. Lawlor
    • G06Q40/00
    • G06Q40/06
    • A method, system, apparatus and media are directed to managing trading of financial instruments with a clearinghouse as a counter-party to trades. A plurality of inputs that includes trade data for trades executed using the computer system is received. A discount curve for projected prices of a swap contract over time based on the received plurality of inputs is determined in real-time. A swap contract price is valued based on the determined discount curve. A margin requirement is determined for a user who wishes to trade or hold a position in the swap contract in the user's account based on the swap contract price. Data about a trade of the swap contract that is executed within the computer system is incorporated into the trade data used for determining the discount curve to provide a feedback loop into the real-time determination of the discount curve.
    • 一种方法,系统,设备和媒体旨在管理金融工具的交易,并将交易所作为交易对手。 接收包括使用计算机系统执行的交易的交易数据的多个输入。 实时确定基于所接收的多个输入的交换合同随时间的预计价格的折现曲线。 基于确定的折扣曲线估值掉期合约价格。 对于希望根据掉期合同价格在用户账户中交换或持有交换合约中的头寸的用户,确定保证金要求。 关于在计算机系统内执行的交换合同的交易的数据被并入用于确定折扣曲线的交易数据中,以便为折扣曲线的实时确定提供反馈回路。