Liquidation cost calculation
First Claim
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1. A method for optimizing allocation of a plurality of products in a portfolio, comprising:
- accessing, by a computer system, an array data structure corresponding to the plurality of products in the portfolio, wherein for each of a plurality of outright-traded products in the portfolio, the array data structure defines a portfolio position in the outright-traded product;
identifying, by the computer system, data defining a liquidation of products X1 through Xk, wherein (i) the products X1 through Xk include the plurality of outright-traded products and further include one or more spread-traded products, (ii) each of the spread-traded products represents a combination of two or more of the outright-traded products, and (iii) each of the products X1 through Xk respectively corresponds to one of cost functions C1 through Ck for estimating a liquidation cost based on notional value;
determining, by the computer system, estimated allocations Nest(X1) through Nest(Xk) of the portfolio positions to products X1 through Xk;
determining, by the computer system using the estimated allocations Nest(X1) through Nest(Xk), allocations N(Xi) through N(Xk) corresponding to a liquidation cost LC less than a liquidation cost LCest corresponding to the estimated allocations, wherein
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Abstract
A set of estimated allocations Nest(X1) through Nest(Xk) of portfolio positions to products X1 through Xk may be determined, with products X1 through Xk including portfolio products and spread-traded products based on some of the portfolio products. Utilizing the set of estimated allocations, an optimized liquidation cost LCopt may be designated. Data indicating at least a portion of a performance bond based on the optimized liquidation LCopt may be output.
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Citations
20 Claims
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1. A method for optimizing allocation of a plurality of products in a portfolio, comprising:
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accessing, by a computer system, an array data structure corresponding to the plurality of products in the portfolio, wherein for each of a plurality of outright-traded products in the portfolio, the array data structure defines a portfolio position in the outright-traded product; identifying, by the computer system, data defining a liquidation of products X1 through Xk, wherein (i) the products X1 through Xk include the plurality of outright-traded products and further include one or more spread-traded products, (ii) each of the spread-traded products represents a combination of two or more of the outright-traded products, and (iii) each of the products X1 through Xk respectively corresponds to one of cost functions C1 through Ck for estimating a liquidation cost based on notional value; determining, by the computer system, estimated allocations Nest(X1) through Nest(Xk) of the portfolio positions to products X1 through Xk; determining, by the computer system using the estimated allocations Nest(X1) through Nest(Xk), allocations N(Xi) through N(Xk) corresponding to a liquidation cost LC less than a liquidation cost LCest corresponding to the estimated allocations, wherein - View Dependent Claims (2, 3, 4, 5, 6, 7)
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8. One or more non-transitory computer-readable media storing computer executable instructions that, when executed, cause a computer system to perform operations that include:
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accessing portfolio data defining, for each of a plurality of outright-traded products, a portfolio position in the outright-traded product; identifying data defining a liquidation set of products X1 through Xk, wherein (i) the products X1 through Xk include the plurality of outright-traded products and further include one or more spread-traded products, (ii) each of the spread-traded products represents a combination of two or more of the outright-traded products, and (iii) each of the products X1 through Xk respectively corresponds to one of cost functions C1 through Ck for estimating a liquidation cost based on notional value; determining a set of estimated allocations Nest(X1) through Nest(Xk) of the portfolio positions to products X1 through Xk; determining, using the estimated allocations Nest(X1) through Nest(Xk), a set of allocations N(X1) through N(Xk) corresponding to a liquidation cost LC less than a liquidation cost LCest corresponding to the set of estimated allocations, wherein - View Dependent Claims (9, 10, 11, 12, 13, 14)
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15. A computer system comprising:
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at least one processor; and at least one non-transitory memory, wherein the at least one non-transitory memory stores instructions that, when executed, cause the computer system to perform operations that include; accessing portfolio data defining, for each of a plurality of outright-traded products, a portfolio position in the outright-traded product; identifying data defining a liquidation set of products X1 through Xk, wherein (i) the products X1 through Xk include the plurality of outright-traded products and further include one or more spread-traded products, (ii) each of the spread-traded products represents a combination of two or more of the outright-traded products, and (iii) each of the products X1 through Xk respectively corresponds to one of cost functions C1 through Ck for estimating a liquidation cost based on notional value; determining a set of estimated allocations Nest(X1) through Nest(Xk) of the portfolio positions to products X1 through Xk; determining, using the estimated allocations Nest(X1) through Nest(Xk), a set of allocations N(X1) through N(Xk) corresponding to a liquidation cost LC less than a liquidation cost LCest corresponding to the set of estimated allocations, wherein - View Dependent Claims (16, 17, 18, 19, 20)
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Specification