COMPUTER SYSTEM AND METHOD FOR CALCULATING MARGIN

• US 20100332370A1
• Filed: 03/18/2010
• Published: 12/30/2010
• Est. Priority Date: 06/24/2009
• Status: Active Grant

• Current Assignee: Nasdaq Technology AB (Nasdaq, Inc.)
• Original Assignee: OMX Technology AB
• Inventors: LINDBLOM, Albert Samuel, Jansson, Bengt
• Granted Patent: US 8,548,894 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• 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

The present invention relates to a computer system, computerized method and computer program product for calculating margin requirements in a more efficient way. In particular it relates to margin calculations for being used by clearing house in order to optimize calculation of margin requirements.

Claims

1. A computer system for calculating margin requirements, the computer system comprising

a memory comprising one or more accounts, the accounts comprising one or more positions comprising contracts,

a processor associated with the memory,

wherein the computer system is configured such that the processor divides the contracts in the memory into cash flows.

2. A computer system according to claim 1, wherein the computer system further is configured to netting the cash flows of a contract against other cash flows of other contracts.

3. A computer system according to claim 1, wherein the computer system further is configured to treat each cash flow separately.

4. A computer system according to claim 1, wherein the computer system further is configured to netting currency exposures across future value dates for the cash flows of the contracts.

5. A computer system according to claim 1, wherein the computer system is configured to handle multi currency products within the same margin system run.

6. A computer system according to claim 1, wherein the computer system is a clearing house computer system.

7. A computer system according to claim 1, wherein the contracts are divided up into their relevant currencies.

8. A computerized method for calculating margin requirements implemented on a computer system, the computer system comprising a memory comprising contracts and a processor associated with the memory, the method comprising the steps of:

identifying the contracts in the memory,

breaking up each individual contracts into cash flows.

9. A computerized method for calculating margin requirements according to claim 8, wherein the method further comprising the steps of:

netting each cash flow of a contract against other cash flows of other contracts.

10. A computerised method for calculating margin requirements according to claim 8, wherein the method further comprising the steps of:

list future payment flow in a table,

calculate net present valued payments,

apply a scanning range parameter to each net present valued payments, and

calculate margin requirements.