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Method, system, and computer program product for trading interest rate swaps

  • US 6,304,858 B1
  • Filed: 12/11/1998
  • Issued: 10/16/2001
  • Est. Priority Date: 02/13/1998
  • Status: Expired due to Term
First Claim
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1. A computer implemented method of trading, comprising the steps of:

  • trading a standardized contract obligating a buyer and a seller to settle the contract based on a price of the contract at a first effective date, through an exchange that guarantees payment to the buyer of any amount owed to the buyer from the seller as a result of the contract and that guarantees payment to the seller of any amount owed to the seller from the buyer as a result of the contract; and

    determining the price of the contract based on preselected notional cash flows discounted by an interest rate swap curve obtained from a preselected swap rate source.

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