Liquidity Charge Determination
First Claim
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1. A method comprising:
- receiving, in an exchange computer system, a performance bond value for a portfolio, wherein the performance bond value represents a quantity of a monetary unit;
accessing liquidity charge data by the exchange computer system, wherein the liquidity charge data definespossible input values for a performance bond, andliquidity charges based on any of the possible input values, wherein a per monetary unit value of a liquidity charge increases for increasing input values;
determining a liquidity charge by the exchange computer system, wherein the liquidity charge is based on the received performance bond value as an input value to the accessed liquidity charge data; and
calculating an augmented performance bond value, by the exchange computer system, by adding the received performance bond value and the determined liquidity charge.
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Abstract
A liquidity charge may be determined and added to a performance bond value for a portfolio. The resulting sum may then represent an augmented performance bond value that compensates for expected liquidation cost associated with the portfolio. Liquidation charge data may be stored for each of multiple portfolio types. For each of those portfolio types, the stored data may define possible input values for a pre-augmentation performance bond and liquidity charges based on any of the possible input values. That data may then be used to determine a liquidity charge based on the pre-augmentation performance bond value.
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Citations
27 Claims
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1. A method comprising:
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receiving, in an exchange computer system, a performance bond value for a portfolio, wherein the performance bond value represents a quantity of a monetary unit; accessing liquidity charge data by the exchange computer system, wherein the liquidity charge data defines possible input values for a performance bond, and liquidity charges based on any of the possible input values, wherein a per monetary unit value of a liquidity charge increases for increasing input values; determining a liquidity charge by the exchange computer system, wherein the liquidity charge is based on the received performance bond value as an input value to the accessed liquidity charge data; and calculating an augmented performance bond value, by the exchange computer system, by adding the received performance bond value and the determined liquidity charge. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9)
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10. One or more non-transitory computer-readable media storing computer executable instructions that, when executed, cause a computer system to perform operations that include:
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receiving a performance bond value for a portfolio, wherein the performance bond value represents a quantity of a monetary unit; accessing liquidity charge data, wherein the liquidity charge data defines possible input values for a performance bond, and liquidity charges based on any of the possible input values, wherein a per monetary unit value of a liquidity charge increases for increasing input values; determining a liquidity charge, wherein the liquidity charge is based on the received performance bond value as an input value to the accessed liquidity charge data; and calculating an augmented performance bond value by adding the received performance bond value and the determined liquidity charge. - View Dependent Claims (11, 12, 13, 14, 15, 16, 17, 18)
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19. A computer system comprising:
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at least one processor; and at least one non-transitory memory, wherein the at least one non-transitory memory stores instructions that, when executed, cause the computer system to perform operations that include receiving a performance bond value for a portfolio, wherein the performance bond value represents a quantity of a monetary unit, accessing liquidity charge data, wherein the liquidity charge data defines possible input values for a performance bond, and liquidity charges based on any of the possible input values, wherein a per monetary unit value of a liquidity charge increases for increasing input values, determining a liquidity charge, wherein the liquidity charge is based on the received performance bond value as an input value to the accessed liquidity charge data, and calculating an augmented performance bond value by adding the received performance bond value and the determined liquidity charge. - View Dependent Claims (20, 21, 22, 23, 24, 25, 26, 27)
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Specification