Initial Margining Using Decayed Scenarios
First Claim
1. A computer implemented method for determining a margin requirement for a financial position, the computer implemented method comprising:
- obtaining a present value of the financial position;
calculating, with a processor, scenario projected values of the financial position at a future date for a plurality of loss risk scenarios in accordance with a plurality of scenario curves representative of the plurality of loss risk scenarios, respectively;
determining, with the processor, an initial margin requirement based on the obtained present value and the calculated scenario projected values;
wherein each scenario curve of the plurality of scenario curves is configured to forecast the respective loss risk scenario of the plurality of loss risk scenarios as if looking forward from the future date.
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Accused Products
Abstract
A margin requirement is determined for a financial product. A present value of the financial position is obtained, and scenario projected values of the financial position at a future date are calculated for a plurality of loss risk scenarios in accordance with a plurality of scenario curves representative of the plurality of loss risk scenarios, respectively. An initial margin requirement is determined based on the obtained present value and the calculated scenario projected values. Each scenario curve of the plurality of scenario curves is configured to forecast the respective loss risk scenario of the plurality of loss risk scenarios as if looking forward from the future date. In some cases, when the financial position includes a swaption that expires before the future date, the swaption is converted to a seasoned swap if the swaption resides in-the-money.
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Citations
20 Claims
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1. A computer implemented method for determining a margin requirement for a financial position, the computer implemented method comprising:
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obtaining a present value of the financial position; calculating, with a processor, scenario projected values of the financial position at a future date for a plurality of loss risk scenarios in accordance with a plurality of scenario curves representative of the plurality of loss risk scenarios, respectively; determining, with the processor, an initial margin requirement based on the obtained present value and the calculated scenario projected values; wherein each scenario curve of the plurality of scenario curves is configured to forecast the respective loss risk scenario of the plurality of loss risk scenarios as if looking forward from the future date. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12)
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13. A system for determining a margin requirement for a financial position, the system comprising:
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a scenario curve generator configured to generate a plurality of scenario curves representative of a plurality of loss risk scenarios, respectively, for the financial position; a price calculator configured to calculate scenario projected values of the financial position at a future date in accordance with the plurality of scenario curves; and an initial margin calculator configured to determine an initial margin requirement based on the calculated scenario projected values and a present value of the financial position; wherein each scenario curve of the plurality of scenario curves is configured to forecast the respective loss risk scenario of the plurality of loss risk scenarios as if looking forward from the future date. - View Dependent Claims (14, 15, 16)
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17. A system for determining a margin requirement for a financial position, the system comprising:
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a processor; a memory coupled with the processor; first logic stored in the memory and executable by the processor to cause the processor to obtain a present value of the financial position; second logic stored in the memory and executable by the processor to cause the processor to generate a plurality of scenario curves for a plurality of loss risk scenarios, respectively, each scenario curve of the plurality of scenario curves being configured to forecast the respective loss risk scenario of the plurality of loss risk scenarios as if looking forward from a future date; third logic stored in the memory and executable by the processor to cause the processor to calculate a scenario projected value of the financial position at the future date for each loss risk scenario of the plurality of loss risk scenarios in accordance with the respective scenario curve of the plurality of scenario curves; and fourth logic stored in the memory and executable by the processor to cause the processor to determine an initial margin requirement based on the obtained present value and the calculated scenario projected values. - View Dependent Claims (18, 19, 20)
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Specification