Method and System for High Speed Options Pricing
First Claim
1. A device for processing financial market data, the device comprising:
- a reconfigurable logic device that is configured to (1) receive a data stream comprising financial market data and (2) perform an options pricing operation on at least a portion of the received data stream.
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Accused Products
Abstract
A high speed technique for options pricing in the financial industry is disclosed that can provide both high throughput and low latency. A parallel/pipelined architecture is disclosed for computing an implied volatility in connection with an option. Parallel/pipelined architectures are also disclosed for computing an option'"'"'s theoretical fair price. Preferably these parallel/pipelined architectures are deployed in hardware, and more preferably reconfigurable logic such as Field Programmable Gate Arrays (FPGAs) to accelerate the options pricing operations relative to conventional software-based options pricing operations.
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Citations
124 Claims
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1. A device for processing financial market data, the device comprising:
a reconfigurable logic device that is configured to (1) receive a data stream comprising financial market data and (2) perform an options pricing operation on at least a portion of the received data stream. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13)
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14. A method for processing financial market data, the method comprising:
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streaming financial market data through a reconfigurable logic device; and
performing an options pricing operation with the reconfigurable logic device on at least a portion of the financial market data as the financial market data streams therethrough. - View Dependent Claims (15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26)
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27. A device for computing an implied volatility for an option on an underlying financial instrument, the device comprising:
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a plurality of computational modules arranged in a pipeline, each computational module being configured to (1) receive a plurality of option characteristic values for the option, (2) compute a plurality of theoretical fair market prices for the option from the option characteristic values and a plurality of different volatility values, (3) determine whether a condition has been satisfied, and (4) in response to a determination that the condition has been satisfied, determine the implied volatility for the option based at least in part on the computed theoretical fair market prices; and
wherein each computational module in the pipeline is configured to successively operate on a progressively narrower band of volatility values for the option. - View Dependent Claims (28, 29, 30, 31, 32, 33, 34, 35, 36, 37, 38)
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39. A computer-implemented method for determining an implied volatility for an option on an underlying financial instrument, the method comprising:
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computing a plurality of theoretical fair market prices for the option, each theoretical fair market price being computed based at least in part upon a volatility value for the underlying financial instrument;
identifying a band of volatility values within which the theoretical fair market price for the option differs from an actual purchase price for the option by less than a predetermined threshold;
iteratively narrowing the band of volatility values and repeating the computing step for a plurality of volatility values within the narrowed band until one of the computed theoretical fair market prices differs from the actual purchase price by less than the predetermined threshold; and
defining the implied volatility for the option as the volatility value for which the computed theoretical fair market price differs from the actual purchase price by less than the predetermined threshold. - View Dependent Claims (40, 41, 42, 43, 44, 45, 46, 47, 48, 49, 50, 51, 52, 53, 54, 55)
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56. A computer-implemented method for determining an implied volatility for an option on an underlying financial instrument, the method comprising:
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computing a plurality of theoretical fair market prices for the option, each of said computed theoretical fair market prices corresponding to an assumed volatility value for the underlying financial instrument;
comparing the computed theoretical fair market prices with an actual purchase price for the option to determine whether at least one of the computed theoretical fair market prices satisfies a predetermined condition and, if the pre-determined condition is satisfied, then declaring the volatility value for which the computed theoretical fair market price approximates the offer price as the option'"'"'s implied volatility, and, if the predetermined condition is not satisfied, identifying at least one computed theoretical fair market price in relative close proximity to the actual purchase price and selecting a band of volatility values within which the actual purchase price is expected to be found based on the identified at least one computed theoretical fair market price, and within the selected band, computing a second plurality of theoretical fair market prices and repeating the comparing step. - View Dependent Claims (57)
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58. A device comprising:
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an option pricing engine that is configured to process a financial market data stream to compute an implied volatility for an option on an underlying financial instrument, wherein the option pricing engine is configured to iteratively subdivide a range of volatility values for the underlying financial instrument into a plurality m of bands and, for each band compute at least two theoretical fair market prices for the option based on at least two volatility values for the band;
wherein the option pricing engine is further configured to continue the iterative subdivision and the corresponding theoretical fair market computations until an implied volatility for the option is found as determined by at least one condition. - View Dependent Claims (59, 60, 61, 62, 63, 64, 65, 66, 67, 68, 69, 70, 71, 72, 73, 74, 75, 76, 77, 78)
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79. A computer-implemented method for computing an implied volatility for an option on an underlying financial instrument, the method comprising:
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receiving data describing an option on an underlying financial instrument; and
performing an iterative m-ary search within a range of volatility values for the underlying financial instrument using the option data to thereby compute the implied volatility for the option. - View Dependent Claims (80)
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81. A computer-implemented method for determining an implied volatility for an option on an underlying financial instrument, the method comprising:
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computing a plurality of theoretical fair market prices for a plurality of different volatility values;
choosing at least one computed theoretical fair market price relatively close to an actual purchase price for the option;
iteratively computing a plurality of theoretical fair market prices in correspondingly narrowing bands of volatility values until a predetermined condition is satisfied; and
in response to satisfaction of the predetermined condition, defining the implied volatility for the option based at least in part on a volatility value used to compute a theoretical fair market price when the predetermined condition was satisfied. - View Dependent Claims (82)
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83. A computer-implemented method for computing a value of interest in relation to a financial instrument, the method comprising:
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receiving financial market data that is descriptive of a financial instrument, wherein the financial instrument is associated with at least a first parameter and a second parameter, wherein the first parameter is a monotonically increasing or decreasing function of the second parameter;
iteratively computing a value of interest for the financial instrument by;
(1) defining a plurality of second parameter values, wherein the plurality of second parameter values together define a range of second parameter values that has been subdivided into a plurality m of bands;
(2) for each defined second parameter value, computing a value for the first parameter; and
(3) for each computed first parameter value, computing a value that is indicative of how closely the first parameter value and the received financial market data value match each other;
(4) for each computed indicative value, comparing the computed indicative value with a predetermined threshold to thereby determine whether any additional iterations are needed;
(5) responsive to a determination that no additional iterations are needed, outputting as the value of interest the first parameter value used to compute the second parameter value for which the comparing step resulted in a determination that no further iterations are needed, and responsive to a determination that an additional iteration is needed, repeating steps (1)-(5) for a next iteration, wherein for the next iteration the range of second parameter values in the defining step is the band for which the received financial market data value falls between the two first parameter values computed for that band. - View Dependent Claims (84, 85, 86, 87, 88, 89)
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90. A device for computing a price for an option, the device comprising:
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an options pricing engine configured to process data describing an option through an option pricing model to thereby compute a theoretical fair market price for the option;
wherein the options pricing engine comprises a plurality of pipelined stages, the plurality of pipelined stages comprising a plurality of parallel computational nodes, each of said nodes being configured to compute a step of a stepwise option pricing model, and wherein said computational nodes are cascaded such that each successive pipelined stage is configured to receive as its input the output from at least two computational nodes in the immediately preceding pipelined stage, wherein the output of the last pipelined stage comprises the computed theoretical fair market price for the option. - View Dependent Claims (91, 92, 93, 94, 95, 96, 97, 98, 99, 100)
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101. A computer-implemented method comprising:
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receiving data describing an option on an underlying financial instrument; and
computing a theoretical fair market price for the option using a plurality of pipelined stages, the plurality of pipelined stages comprising a plurality of parallel computational nodes, each of said nodes being configured to compute a step of a stepwise option pricing model, and wherein said computational nodes are cascaded such that each successive pipelined stage receives as its input the output from at least two computational nodes in the immediately preceding pipelined stage, wherein the output of the last pipelined stage comprises the computed theoretical fair market price for the option. - View Dependent Claims (102, 103, 104, 105, 106, 107, 108, 109, 110, 111, 112, 113)
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114. A device for computing a theoretical fair market price for a European option on an underlying financial instrument, the device comprising:
an options pricing engine that is configured to retrieve from a lookup table a plurality of precomputed terms for use in computing the theoretical fair market price, wherein the options pricing engine is configured to retrieve the plurality of precomputed terms using an index based at least in part upon a volatility for the underlying financial instrument. - View Dependent Claims (115, 116, 117)
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118. A computer-implemented method for computing a theoretical fair market price for a European option on an underlying financial instrument, the method comprising:
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retrieving, based at least in part upon a volatility for the underlying financial instrument, a plurality of precomputed terms from a lookup table for use in computing the theoretical fair market price; and
computing the theoretical fair market price for the option based at least in part upon the retrieved precomputed terms. - View Dependent Claims (119, 120, 121, 122, 123, 124)
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Specification