Foreign currency exchange
First Claim
1. A system which supports a systematic relationship between markets, constituent orders, resulting transactions, and market data, comprising:
- establishing a consistent internal data model which represents orders and transactions as a series of flows;
defining a hierarchical relationship between products;
defining a hierarchy of dates; and
defining a system to derive implied and spread markets.
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Abstract
In accordance with the principles of the present invention, a system is provided to help link foreign exchange liquidity at a given settlement date. Exchange trade is represented as a positive product flow and a negative product flow relative to a side of the exchange trade. An exchange relationship between products is defined. A hierarchy of the products is defined. Cross rates to other foreign exchange products in the system are calculated. In accordance with the present invention, a system is provided to integrate spot/forward and swap markets. A forward event type and a swap event type are defined. In a database, spot and other designated dates are defined. Correct settlement dates for the named dates are determined. When an order is entered into the system, the order is entered into an order book, whereby settlement dates are aligned for transactions. In accordance with the present invention, a system is provided to match products in a swap. Products are matched against resting real orders. Products are then matched against resting implied orders with a prioritization scheme. For any residual resting order, implied markets are computed and again checked for matches. When new implieds are generated/checked, if the original order is a ‘spot’ order implieds are generated/checked first along a product axis, then along a date axis. For all other orders, implieds are generated/checked first along the date axis, then the product axis.
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Citations
76 Claims
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1. A system which supports a systematic relationship between markets, constituent orders, resulting transactions, and market data, comprising:
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establishing a consistent internal data model which represents orders and transactions as a series of flows;
defining a hierarchical relationship between products;
defining a hierarchy of dates; and
defining a system to derive implied and spread markets. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20)
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21. A system to link foreign exchange liquidity at a given settlement date, comprising:
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calculating implied markets from related markets;
deriving implied liquidity;
adding the implied liquidity to original liquidity for each market; and
matching trades. - View Dependent Claims (22, 23, 24, 25, 26, 27, 28, 29, 30, 31, 32)
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33. A system to expose various markets in multiple currency denominations, comprising:
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defining the market as a product having a numerator and a denominator;
calculating implied cross rates from existing foreign exchange markets to the denominator of the market; and
restricting the market from cross rate calculations that would place it in the numerator of the biproduct. - View Dependent Claims (34, 35, 36, 37)
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38. A system to integrate spot, forward and swap markets, comprising:
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defining a forward order type and a swap order type and their relationship to a spot transaction; and
using a date hierarchy to augment the priority and process of matching. - View Dependent Claims (39, 40, 41, 42, 43, 44, 45, 46, 47)
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48. A system to expose a market in multiple currencies with proper settlement dates comprising:
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establishing an foreign exchange spot and forward market which supports trading to the proper settlement date for the target financial transactions; and
performing an exchange clearing relationship that facilitates the integration of a foreign exchange market with another financial product market. - View Dependent Claims (49, 50, 51, 52, 53, 54, 55, 56, 57)
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58. A system to transform a cleared foreign exchange forward market into a futures market comprising:
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establishing a foreign exchange forward market that supports trading to the same settlement date as foreign exchange futures;
establishing an exchange clearing relationship which facilitates the integration of a cleared foreign exchange forward market with a foreign exchange futures market; and
defining a relationship between a futures market and a cleared forward market and thereby defining a system to link liquidity via implied markets. - View Dependent Claims (59, 60, 61, 62, 63, 64, 65, 66, 67, 68, 69, 70, 71, 72, 73, 74, 75, 76)
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Specification