REAL TIME TRADING OF FOREIGN FINANCIAL INSTRUMENTS IN LOCAL CURRENCY
First Claim
1. A method for producing quotes in a first currency for a financial instrument traded in a second currency, the method comprising the steps of:
- a) receiving at least one substantially real time series of currency conversion quotes for converting the second currency to the first currency;
b) applying the at least one substantially real time series of currency conversion quotes to a currency conversion model adapted to estimate a plurality of future currency conversion quotes;
c) determining an offered conversion price for converting the second currency to the first currency within a settlement time window using the plurality of estimated future currency conversion quotes, the settlement time window beginning at a current time and extending for a financial instrument settlement period;
d) receiving a substantially real time series of quotes for the financial instrument, quotes of the substantially real time series of quotes being in the second currency;
e) multiplying i) a quote of the substantially real time series of quotes for the financial instrument substantially corresponding to the current time by ii) the offered conversion price to determine a hedged quote for the foreign financial instrument in the first currency; and
f) displaying the hedged quote for the foreign financial instrument.
1 Assignment
0 Petitions
Accused Products
Abstract
A method for producing quotes in a first currency for a financial instrument traded in a second currency. At least one substantially real time series of currency conversion quotes for converting the second currency to the first currency is received. This series of currency conversion quotes is applied to a currency conversion model adapted to estimate future currency conversion quotes. An offered conversion price within a settlement time window is determined using the estimated future currency conversion quotes. The settlement time window begins at the current time and extends through the financial instrument settlement period. A substantially real time series of quotes for the financial instrument, in the second currency, is received. A substantially current time quote for the financial instrument is multiplied by the offered conversion price to determine a hedged quote for the foreign financial instrument in the first currency. The hedged quote is displayed.
-
Citations
11 Claims
-
1. A method for producing quotes in a first currency for a financial instrument traded in a second currency, the method comprising the steps of:
-
a) receiving at least one substantially real time series of currency conversion quotes for converting the second currency to the first currency; b) applying the at least one substantially real time series of currency conversion quotes to a currency conversion model adapted to estimate a plurality of future currency conversion quotes; c) determining an offered conversion price for converting the second currency to the first currency within a settlement time window using the plurality of estimated future currency conversion quotes, the settlement time window beginning at a current time and extending for a financial instrument settlement period; d) receiving a substantially real time series of quotes for the financial instrument, quotes of the substantially real time series of quotes being in the second currency; e) multiplying i) a quote of the substantially real time series of quotes for the financial instrument substantially corresponding to the current time by ii) the offered conversion price to determine a hedged quote for the foreign financial instrument in the first currency; and f) displaying the hedged quote for the foreign financial instrument. - View Dependent Claims (2, 3, 4, 5, 6, 7)
-
-
8. A method for purchasing a financial instrument traded in a first currency using a second currency, a predetermined amount of the first currency being purchased with the second currency to settle an order for the financial instrument placed in the first currency, the method comprising the steps of:
-
a) applying at least one substantially real time series of currency conversion quotes to a currency conversion model adapted to estimate a plurality of future currency conversion quotes and a plurality of risk values associated with the plurality of future currency conversion quotes, each future currency conversion quote including a conversion price and a transaction time; b) using an algorithm that includes parameters for the plurality of future currency conversion quotes and the associated plurality of risk values estimated in step (a) to determine an expected transaction time, the expected transaction time being before a settlement time of the order and determined to obtain a minimum conversion price within a set of risk criteria; c) repeating steps (a) and (b) to update the expected transaction time until a current time is approximately the expected transaction time; and d) purchasing the predetermined amount of the first currency with the second currency at a best current conversion price. - View Dependent Claims (9, 10, 11)
-
Specification