Fixed income portfolio index processor

• US 20030055777A1
• Filed: 09/04/2002
• Published: 03/20/2003
• Est. Priority Date: 06/10/1992
• Status: Active Grant

• Current Assignee: CFPH LLC (Cantor Fitzgerald, L.P.)
• Original Assignee: CFPH LLC (Cantor Fitzgerald, L.P.)
• Inventors: Ginsberg, Philip M.
• Granted Patent: US 7,707,095 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 20/102 Bill distribution or payments
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/02 Banking, e.g. interest calculation or account maintenance credit or loans G06Q40/03
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A data processing system receives a continuous stream of real time transactional data regarding market transactions of fixed income securities. The incoming data is qualified and then used to determine the term structure of interest rates based on price information. The system provides linear interpolation techniques to complete an operative data set. This set is updated with current trade data, with term structure shifting using pivot points from newly qualified data. An index value for a pre-select portfolio of securities is then calculated and expressed in terms of price relative to par, yield to maturity and duration. In a specific implementation using U.S. Treasuries as the monitored security, the index value supports an automated trading function for futures and/or options contracts based on the change in value of the index. The index provides a more accurate barometer of market changes and a more useful tool in measuring portfolio management for plan sponsors.

Claims

1. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for other instruments, the method comprising:

calculating a value for each of the other instruments from market data related to the other instruments;

calculating a price or a yield of the notional fixed income related instrument based on the values for the other instruments; and

displaying information relating to an executed trade of a futures contract based on the notional fixed-income related instrument on a computer terminal associated with at least one of a) a clearing processor b) a data vendor and c) a market participant.

2. The method of claim 1 further comprising:

utilizing an electronic futures market for the trading of futures contracts based on the notional fixed-income related instrument; and

electronically executing a trade of the futures contracts.

3. The method of claim 1, further comprising settling the futures contract based on the notional fixed-income related instrument.

4. The method of claim 1, further comprising determining the delivery expense of the futures contract based on the notional fixed-income related instrument.

5. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for other instruments, the method comprising:

calculating a value for each of the other instruments from market data related to the other instruments;

calculating a price or a yield of the notional fixed income related instrument based on the values for the other instruments; and

displaying information relating to an executed trade of an options contract based on the notional fixed-income related instrument on a computer terminal associated with at least one of a) a clearing processor b) a data vendor and c) a market participant.

6. The method of claim 5 further comprising:

electronically executing a trade of the options contracts; and

electronically distributing in real time information relating to the executed trade to at least one of a) a clearing processor b) data vendors and c) market participants.

7. The method of claim 5, further comprising settling the options contract based on the notional fixed-income related instrument.

8. The method of claim 5, further comprising determining the delivery expense of the options contract based on the notional fixed-income related instrument.

9. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for another instrument, the method comprising:

calculating a value for the other instrument from market data related to the other instrument;

calculating a price or a yield of the notional fixed income related instrument based on the value for the other instrument; and

displaying information relating to an executed trade of a futures contract based on the notional fixed-income related instrument on a computer terminal associated with at least one of a) a clearing processor b) a data vendor and c) a market participant.

10. The method of claim 9 further comprising:

utilizing an electronic futures market for the trading of futures contracts based on the notional fixed-income related instrument; and

electronically executing a trade of the futures contracts.

11. The method of claim 9, further comprising settling the futures contract based on the notional fixed-income related instrument.

12. The method of claim 9, further comprising determining the delivery expense of the futures contract based on the notional fixed-income related instrument.

13. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for another instrument, the method comprising:

calculating a value for the other instrument from market data related to the other instrument;

calculating a price or a yield of the notional fixed income related instrument using the value for the other instrument;

electronically displaying information relating to an executed trade of an options contract based on the notional fixed-income related instrument on a computer terminal associated with at least one of a) a clearing processor b) a data vendor and c) a market participant.

14. The method of claim 13 further comprising:

utilizing an electronic options market for the trading of options contracts based on the notional fixed-income related instrument; and

electronically executing a trade of the options contracts.

15. The method of claim 13, further comprising settling the options contract based on the notional fixed-income related instrument.

16. The method of claim 13, further comprising determining the delivery expense of the options contract based on the notional fixed-income related instrument.

17. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for another instrument or instruments, the method comprising:

calculating a value for each of the other instrument or instruments from market data related to the other instrument or instruments;

calculating a price or a yield of the notional fixed income related instrument using the values for the other instrument or instruments; and

displaying information, the information relating to an executed trade of the notional fixed-income related instrument, on a computer terminal associated with at least one of a) a clearing processor b) a data vendor and c) a market participant.

18. The method of claim 17 further comprising:

providing or utilizing an electronic market for the trading of the notional fixed-income instrument; and

electronically executing a trade of the notional fixed-income instrument.

19. The method of claim 17, further comprising settling a trade of the other instrument or instruments based on the notional fixed-income related instrument.

20. A system for electronically trading futures contracts or options contracts, the futures contracts or options contracts being based on a notional fixed-income related instrument, the system comprising:

a plurality of computer terminals; and

wherein the plurality of computer terminals are adapted to display quantities of bids and offers for futures or options contracts relating to the notional fixed-income related instrument, the notional fixed-income related instrument having a value being based on a value of other instruments, the value of the other instruments being calculated based on market data related to the other instruments and expressed in terms of a price or a yield.

21. The system of claim 20, further comprising at least one processor adapted to distribute in real time executed trade information to the plurality of commuter terminals via a data network, the plurality of computer terminals being associated with at least one of a) a clearing processor b) a data vendor and c) a market participant.

22. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for other instruments, the method comprising:

calculating a value for each of the other instruments from market data related to the other instruments;

calculating a price or a yield of the notional fixed income related instrument based on the values for the other instruments; and

electronically displaying information relating to an executed trade on a computer terminal associated with a clearing processor.

23. The method of claim 22, further comprising:

providing or utilizing an electronic futures market for the trading of futures contracts based on the notional fixed-income related instrument; and

electronically executing a trade of the futures contracts.

24. The method of claim 22, further comprising settling a futures contract based on the notional fixed-income related instrument.

25. The method of claim 22, further comprising determining the delivery expense of the futures contract based on the notional fixed-income related instrument.

26. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for other instruments, the method comprising:

calculating a value for each of the other instruments from market data related to the other instruments;

calculating a price or a yield of the notional fixed income related instrument using the values for the other instruments; and

electronically displaying in real time information relating to an executed trade of an options contract, based on the notional fixed-income related instrument, to a clearing processor.

27. The method of claim 26, further comprising:

utilizing an electronic options market for the trading of the options contract based on the notional fixed-income related instrument; and

electronically executing a trade of the options contract.

28. The method of claim 26, further comprising settling the options contract based on the notional fixed-income related instrument.

29. The method of claim 26, further comprising determining the delivery expense of the options contract based on the notional fixed-income related instrument.

30. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for another instrument, the method comprising:

calculating a value for the other instrument from market data related to the other instrument;

calculating a price or a yield of the notional fixed income related instrument using the value for the other instrument; and

electronically displaying information relating to an executed trade of a futures contract based on the notional fixed income related instrument on a computer terminal associated with at least one data vendor.

31. The method of claim 30 further comprising:

providing or utilizing an electronic futures market for the trading of futures contracts based on the notional fixed-income related instrument; and

electronically executing a trade of the futures contracts.

32. The method of claim 30, further comprising settling the futures contract based on the notional fixed-income related instrument.

33. The method of claim 30, further comprising determining the delivery expense of the futures contract based on the notional fixed-income related instrument.

34. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for another instrument, the method comprising:

calculating a value for the other instrument from market data related to the other instrument;

calculating a price or a yield of the notional fixed income related instrument using the value for the other instrument; and

electronically displaying information relating to the executed trade of an options contract based on the notional fixed income related instrument on a computer terminal associated with a clearing processor.

35. The method of claim 34 further comprising:

utilizing an electronic options market for the trading of the options contract based on the notional fixed-income related instrument; and

electronically executing a trade of the options contract.

36. The method of claim 34, further comprising settling the options contract based on the notional fixed-income related instrument.

37. The method of claim 34, further comprising determining the delivery expense of the options contract based on the notional fixed-income related instrument.

38. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for another instrument or instruments, the method comprising:

calculating a value for each of the other instrument or instruments from market data related to the other instrument or instruments;

calculating a price or a yield of the notional fixed income related instrument using the values for the other instrument or instruments; and

electronically distributing in real time executed trade information relating to an executed trade to data vendors.

39. The method of claim 38, further comprising:

utilizing an electronic market for the trading of the notional fixed-income instrument;

electronically executing a trade of the notional fixed-income instrument.

40. The method of claim 38, further comprising settling a trade of the other instrument or instruments based on the notional fixed-income related instrument.

41. A system for electronically trading futures contracts or options contracts based on a notional fixed-income related instrument, the system comprising:

a plurality of computer terminals adapted to display quantities of bids and offers for futures or options contracts relating to the notional fixed-income related instrument, the value of the notional fixed-income related instrument being based on a value of another instrument, the value of the other instrument being calculated based on market data related to the other instrument, the value of the notional fixed-income related instrument being expressed in terms of a price or a yield.

42. A method of determining an index value in terms of a notional fixed-income related instrument, the method comprising:

providing an electronic futures market for the trading of futures contracts based on the price or yield of the notional fixed-income related instrument, the price or yield for the notional-fixed income related instrument being calculated using values for other instruments, a value for the other instruments being calculated from market data related to the other instruments.

43. A method of determining an index value in terms of a notional fixed-income related instrument, the method comprising:

displaying information on a computer terminal associated with at least one of a) a data vendor and b) a market participant, the information relating to an executed trade of the notional fixed-income related instrument, a price or yield for the notional fixed-income related instrument being determined based on other instruments, a value of the other instruments being calculated from market data related to the other instruments.

44. The method of claim 43, further comprising:

electronically executing a trade of futures contracts based on the price or the yield of the notional fixed income related instrument.

45. The method of claim 43 further comprising electronically distributing in real time executed trade information relating to the executed trade to at least one of a) a clearing processor b) data vendors and c) market participants.

46. The method of claim 43, further comprising settling a futures contract based on the price or yield of the notional fixed-income related instrument.

47. The method of claim 43, further comprising determining the delivery expense of a futures contract based on the price or yield of the notional fixed-income related instrument.

48. A method of determining an index value in terms of a notional fixed-income related instrument, the method comprising:

displaying information on a computer terminal associated with at least one of a) a data vendor and b) a market participant, the information relating to an executed trade of a futures contract or an options contract, the futures contract or options contract being based on the notional fixed-income related instrument, a price or yield for the notional fixed-income related instrument being determined based on other instruments, a value of the other instruments being calculated from market data related to the other instruments.

49. The method of claim 48 further comprising electronically distributing in real time executed trade information relating to the executed trade to at least one of a) a clearing processor b) data vendors and c) market participants.

50. The method of claim 48, further comprising settling the futures contract or the options contract based on the price or yield of the notional fixed-income related instrument.

51. The method of claim 48, further comprising determining the delivery expense of the futures contract or the options contract based on the price or yield of the notional fixed-income related instrument.

52. The method of claim 48, further comprising:

utilizing an electronic market for the trading of the futures contract or the options contract; and

electronically executing a trade of the futures contract or the options contract based on the notional fixed income related instrument.

53. A method of determining an index value in terms of a notional fixed-income related instrument, the method comprising:

displaying information on a computer terminal associated with at least one of a) a data vendor and b) a market participant, the information relating to an executed trade of a futures contract or an options contract, the futures contract or options contract being based on the notional fixed-income related instrument, a value for the notional fixed-income related instrument being determined based on other instruments, a value of the other instruments being calculated from market data related to the other instruments.

54. The method of claim 53, further comprising settling the futures contract or the options contract based on the notional fixed-income related instrumen

55. The method of claim 53, further comprising electronically distributing in real time executed trade information relating to the executed trade to at least one of a) a clearing processor b) data vendors and c) market participants.

56. The method of claim 53, further comprising:

utilizing an electronic market for the trading of the futures contract or the options contract; and

electronically executing a trade of the futures contract or the options contract based on the price or yield of the notional fixed income instrument.

57. A method of determining an index value in terms of a notional fixed-income related instrument, the method comprising:

displaying information on a computer terminal associated with at least one of a) a data vendor and b) a market participant, the information relating to an executed trade of a futures contract or an options contract, the futures contract or options contract being based on the notional fixed-income related instrument, a price or yield for the notional fixed-income related instrument being determined based on another instrument, a value of the other instrument being calculated from market data related to the other instrument.

58. The method of claim 57, further comprising settling the futures contract or the options contract based on the notional fixed-income related instrument.

59. The method of claim 57, further comprising determining the delivery expense of the futures contract or the options contract based on the notional fixed-income related instrument.

60. The method of claim 57, further comprising electronically distributing in real time information relating to the executed trade to a computer terminal associated with at least one of a) a clearing processor b) a data vendor and c) a market participant.

61. The method of claim 57, further comprising:

utilizing an electronic market for the trading of the futures contract or the options contract; and

electronically executing a trade of the futures contract or the options contract based on the price or yield of the notional fixed income instrument.

62. A system for electronically trading futures contracts or options contracts based on a notional fixed-income related instrument, the system comprising:

a plurality of computer terminals;

data network or data networks;

processors; and

wherein the plurality of computer terminals are coupled by the data network or data networks to the processors, and wherein the plurality of computer terminals are adapted to display quantities of the futures contracts or options contracts for bids and offers relating to the notional fixed-income related instrument, the value of the notional fixed-income related instrument being based on a value of another instrument or instruments, the value of the other instrument or instruments being calculated based on market data related to the other instrument or instruments, the value of the notional fixed-income related instrument being expressed in terms of a price or a yield;

the processors being adapted to execute a trade of the futures contracts or options contracts.

63. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for another instrument or other instruments, the value for the other instrument or instruments being calculated from market data related to market conditions for the other instrument or instruments, a price or a yield for the notional-fixed income related instrument being calculated using values for the other instrument or instruments, the method comprising:

providing or utilizing an electronic market for the trading of a futures contract or options contract based on the notional fixed-income instrument;

electronically executing a trade of the futures contract or the options contract; and

electronically distributing in real time executed trade information relating to the executed trade to at least one of a) a clearing processor b) data vendors and c) market participants.