Trading System
First Claim
1. A method, comprising the steps performed on one or more computers, of:
- computing a value representative of a first yield for a first instrument, the first instrument being a derivative of an underlying financial instrument, the first instrument being a non-fixed-income instrument;
computing a second yield of a second financial instrument; and
controlling automated trading of the first instrument based at least in part on comparison of the first yield value with a computed second yield of a second financial instrument, and/or based on comparison of a differential of the first instrument value over change in market interest rates against a differential of the second instrument value over change in market interest rates, the control balancing sizes of positions in the first instrument and second instrument to achieve a desired financial risk profile.
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Accused Products
Abstract
A method for enabling collaborative processing of data by one or more computers or digital data processing systems. The computer(s) compute a value representative of a first yield for a first instrument, the first instrument being a derivative of an underlying financial instrument, the first instrument being a non-fixed-income instrument. The computer(s) compute a second yield of a second financial instrument. The computer(s) control automated trading of the first instrument based at least in part on comparison of the first yield value with a computed second yield of a second financial instrument, and/or based on comparison of a differential of the first instrument value over change in market interest rates against a differential of the second instrument value over change in market interest rates, the control balancing sizes of positions in the first instrument and second instrument to achieve a desired financial risk profile.
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Citations
20 Claims
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1. A method, comprising the steps performed on one or more computers, of:
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computing a value representative of a first yield for a first instrument, the first instrument being a derivative of an underlying financial instrument, the first instrument being a non-fixed-income instrument; computing a second yield of a second financial instrument; and controlling automated trading of the first instrument based at least in part on comparison of the first yield value with a computed second yield of a second financial instrument, and/or based on comparison of a differential of the first instrument value over change in market interest rates against a differential of the second instrument value over change in market interest rates, the control balancing sizes of positions in the first instrument and second instrument to achieve a desired financial risk profile. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12)
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13. One or more tangible computer memories, having embedded thereon one or more programs to cooperate to cause one or more computers to:
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compute a value representative of a first yield for a first instrument, the first instrument being a derivative of an underlying financial instrument, the first instrument being a non-fixed-income instrument; compute a second yield of a second financial instrument; and control automated trading of the first instrument based at least in part on comparison of the first yield value with a computed second yield of a second financial instrument, and/or based on comparison of a differential of the first instrument value over change in market interest rates against a differential of the second instrument value over change in market interest rates, the control balancing sizes of positions in the first instrument and second instrument to achieve a desired financial risk profile. - View Dependent Claims (14, 15, 16, 17, 18, 19, 20)
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Specification