Fixed income portfolio index processor

• US 6,754,639 B2
• Filed: 01/04/1999
• Issued: 06/22/2004
• Est. Priority Date: 06/10/1992
• Status: Expired due to Term

• Current Assignee: CFPH LLC (Cantor Fitzgerald, L.P.)
• Original Assignee: CFPH LLC (Cantor Fitzgerald, L.P.)
• Inventors: Ginsberg, Philip Myron
• Primary Examiner(s): AKERS, GEOFFREY R
• Application Number:
  US09/225,537
• Publication Number:
  US 20020019789A1
• Time in Patent Office: 1,996 Days
• Field of Search: 705/36, 705/35, 705/4, 364/408
• US Class Current: 705/36.00R
• CPC Class Codes: G06Q 20/102 Bill distribution or payments
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/02 Banking, e.g. interest calculation or account maintenance credit or loans G06Q40/03
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• 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

A data processing system receives a continuous stream of real time transactional data regarding market transactions of fixed income securities. The incoming data is qualified and then used to determine the term structure of interest rates based on price information. The system provides linear interpolation techniques to complete an operative data set. This set is updated with current trade data, with term structure shifting using pivot points from newly qualified data. An index value for a pre-select portfolio of securities is then calculated and expressed in terms of price relative to par, yield to maturity and duration.

Claims

1. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for other instruments, the method comprising:

calculating a value for each of the other instruments from market data related to market conditions for the other instruments;

calculating a price or a yield of the notional fixed income related instrument using the values for the other instruments;

providing or utilizing an electronic futures market for the trading of futures contracts based on the notional fixed-income related instrument;

electronically executing a trade of the futures contracts; and

electronically distributing in real time executed trade information relating to the executed trade to at least one of a) a clearing processor b) data vendors and c) market participants.

2. The method of claim 1, further comprising settling the futures contracts based on the notional fixed-income related instrument.

3. The method of claim 1, further comprising determining the delivery expense of the futures contracts based on the notional fixed-income related instrument.

4. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for other instruments, the method comprising:

calculating a value for each of the other instruments from market data related to market conditions for the other instruments;

calculating a price or a yield of the notional fixed income related instrument using the values for the other instruments;

providing or utilizing an electronic options market for the trading of options contracts based on the notional fixed-income related instrument;

electronically executing a trade of the options contracts; and

electronically distributing in real time executed trade information relating to the executed trade to at least one of a) a clearing processor b) data vendors and c) market participants.

5. The method of claim 4, further comprising settling the options contracts based on the notional fixed-income related instrument.

6. The method of claim 4, further comprising determining the delivery expense of the options contracts based on the notional fixed-income related instrument.

7. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for another instrument, the method comprising:

calculating a value for the other instrument from market data related to market conditions for the other instruments;

calculating a price or a yield of the notional fixed income related instrument using the value for the other instrument;

providing or utilizing an electronic futures market for the trading of futures contracts based on the notional fixed-income related instrument;

electronically executing a trade of the futures contracts; and

electronically distributing in real time executed trade information relating to the executed trade to at least one of a) a clearing processor b) data vendors and c) market participants.

8. The method of claim 7, further comprising settling the futures contracts based on the notional fixed-income related instrument.

9. The method of claim 7, further comprising determining the delivery expense of the futures contracts based on the notional fixed-income related instrument.

10. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for another instrument, the method comprising:

calculating a value for the other instrument from market data related to market conditions for the other instruments;

calculating a price or a yield of the notional fixed income related instrument using the value for the other instrument;

providing or utilizing an electronic options market for the trading of options contracts based on the notional fixed-income related instrument;

electronically executing a trade of the options contracts; and

electronically distributing in real time executed trade information relating to the executed trade to at least one of a) a clearing processor b) data vendors and c) market participants.

11. The method of claim 10, further comprising settling the options contracts based on the notional fixed-income related instrument.

12. The method of claim 10, further comprising determining the delivery expense of the options contracts based on the notional fixed-income related instrument.

13. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for another instrument or instruments, the method comprising:

calculating a value for each of the other instrument or instruments from market data related to market conditions for the other instrument or instruments;

calculating a price or a yield of the notional fixed income related instrument using the values for the other instrument or instruments;

providing or utilizing an electronic market for the trading of the notional fixed-income related instrument;

electronically executing a trade of the notional fixed-income instrument; and

electronically distributing in real time executed trade information relating to the executed trade to at least one of a) a clearing processor b) data vendors and c) market participants.

14. The method of claim 13, further comprising settling a trade of the instrument or instruments based on the notional fixed-income related instrument.

15. A system for electronically trading futures contracts or options contracts based on a notional fixed-income related instrument, the system comprising:

a plurality of computer terminals;

data network or data networks;

processors; and

wherein the plurality of computer terminals are coupled by the data network or data networks to the processors , and wherein the plurality of computer terminals are adapted to display quantities of futures or options contracts for bids and offers relating to the notional fixed-income related instrument, the value of the notional fixed-income related instrument being based on the value of another instrument, the value of the notional fixed-income related instrument being expressed in terms of a price or a yield, the processors being adapted to execute a trade of the futures or options contracts.

16. The system of claim 15, wherein at least one of the processors is adapted to distribute in real time executed trade information relating to an executed trade to at least one of a) a clearing processor b) data vendors and c) a market participant.

17. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for other instruments, the method comprising:

calculating a value for each of the other instruments from market data related to market conditions for the other instruments;

calculating a price or a yield of the notional fixed income related instrument using the values for the other instruments;

providing or utilizing an electronic futures market for the trading of futures contracts based on the notional fixed-income related instrument;

electronically executing a trade of the futures contracts; and

electronically distributing in real time executed trade information relating to the executed trade to a clearing processor.

18. The method of claim 17, further comprising settling the futures contracts based on the notional fixed-income related instrument.

19. The method of claim 17, further comprising determining the delivery expense of the futures contracts based on the notional fixed-income related instrument.

20. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for other instruments, the method comprising:

calculating a value for each of the other instruments from market data related to market conditions for the other instruments;

calculating a price or a yield of the notional fixed income related instrument using the values for the other instruments;

providing or utilizing an electronic options market for the trading of options contracts based on the notional fixed-income related instrument;

electronically executing a trade of the options contracts; and

electronically distributing in real time executed trade information relating to the executed trade to a clearing processor.

21. The method of claim 20, further comprising settling the options contracts based on the notional fixed-income related instrument.

22. The method of claim 20, further comprising determining the delivery expense of the options contracts based on the notional fixed-income related instrument.

23. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for another instrument, the method comprising:

calculating a value for the other instrument from market data related to market conditions for the other instruments;

calculating a price or a yield of the notional fixed income related instrument using the value for the other instrument;

providing or utilizing an electronic futures market for the trading of futures contracts based on the notional fixed-income related instrument;

electronically executing a trade of the futures contracts; and

electronically distributing in real time executed trade information relating to the executed trade to data vendors.

24. The method of claim 23, further comprising settling the futures contracts based on the notional fixed-income related instrument.

25. The method of claim 23, further comprising determining the delivery expense of the futures contracts based on the notional fixed-income related instrument.

26. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for another instrument, the method comprising:

calculating a value for the other instrument from market data related to market conditions for the other instruments;

calculating a price or a yield of the notional fixed income related instrument using the value for the other instrument;

providing or utilizing an electronic options market for the trading of options contracts based on the notional fixed-income related instrument;

electronically executing a trade of the options contracts; and

electronically distributing in real time executed trade information relating to the executed trade to a clearing processor.

27. The method of claim 26, further comprising settling the options contracts based on the notional fixed-income related instrument.

28. The method of claim 26, further comprising determining the delivery expense of the options contracts based on the notional fixed-income related instrument.

29. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for another instrument or instruments, the method comprising:

calculating a value for each of the other instrument or instruments from market data related to market conditions for the other instrument or instruments;

calculating a price or a yield of the notional fixed income related instrument using the values for the other instrument or instruments;

providing or utilizing an electronic market for the trading of notional fixed-income instrument;

electronically executing a trade of the notional fixed-income instrument; and

electronically distributing in real time executed trade information relating to the executed trade to data vendors.

30. The method of claim 29, further comprising settling a trade of the instrument or instruments based on the notional fixed-income related instrument.

31. A system for electronically trading futures contracts or options contracts based on a notional fixed-income related instrument, the system comprising:

a plurality of computer terminals;

data network or data networks;

processors; and

wherein the plurality of computer terminals are coupled by the data network or data networks to the processors, and wherein the plurality of computer terminals are adapted to display quantities of futures or options contracts for bids and offers relating to the notional fixed-income related instrument, the value of the notional fixed-income related instrument being based on the value of another instrument, the value of the notional fixed-income related instrument being expressed in terms of a price or a yield, the processors being adapted to execute a trade of the futures or options contracts and wherein at least one of the processors is adapted to distribute in real time executed trade information relating to an executed trade to a clearing processor.

32. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for other instruments, the value for the other instruments being calculated from market data related to market conditions for the other instruments, a price or a yield for the notional-fixed income related instrument being calculated using values for the other instruments, the method comprising:

providing or utilizing an electronic futures market for the trading of futures contracts based on the price or yield of the notional fixed-income related instrument; and

electronically executing a trade of the futures contracts based on the price or the yield of the notional fixed income related instrument.

33. The method of claim 32 further comprising electronically distributing in real time executed trade information relating to the executed trade to at least one of a) a clearing processor b) data vendors and c) market participants.

34. The method of claim 32, further comprising settling the futures contracts based on the price or yield of the notional fixed-income related instrument.

35. The method of claim 32, further comprising determining the delivery expense of the futures contracts based on the price or yield of the notional fixed-income related instrument.

36. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for other instruments, the value for the other instruments being calculated from market data related to market conditions for the other instruments, a price or a yield for the notional-fixed income related instrument being calculated using values for the other instruments, the method comprising:

providing or utilizing an electronic options market for the trading of options contracts based on the notional fixed-income related instrument; and

electronically executing a trade of the options contracts based on the price or yield of the notional fixed-income related instrument.

37. The method of claim 36 further comprising electronically distributing in real time executed trade information relating to the executed trade to at least one of a) a clearing processor b) data vendors and c) market participants.

38. The method of claim 36, further comprising settling the options contracts based on the price or yield of the notional fixed-income related instrument.

39. The method of claim 36, further comprising determining the delivery expense of the options contracts based on price or yield of the notional fixed-income related instrument.

40. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for other instruments, the value for the other instruments being calculated from market data related to market conditions for the other instruments, a price or a yield for the notional-fixed income related instrument being calculated using values for the other instruments, the method comprising:

providing or utilizing an electronic futures market for the trading of futures contracts of the notional fixed-income related instrument; and

electronically executing a trade of the futures contracts based on the price or yield of the notional fixed-income related instrument.

41. The method of claim 40, further comprising settling the futures contract based on the notional fixed-income related instrument.

42. The method of claim 40, further comprising determining the delivery expense of the futures contracts based on the notional fixed-income related instrument.

43. The method of claim 40 further comprising electronically distributing in real time executed trade information relating to the executed trade to at least one of a) a clearing processor b) data vendors and c) market participants.

44. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for other instruments, the value for the other instruments being calculated from market data related to market conditions for the other instruments, a price or a yield for the notional-fixed income related instrument being calculated using values for the other instruments, the method comprising:

providing or utilizing an electronic options market for the trading of options contracts based on the notional fixed-income related instrument; and

electronically executing a trade of the options contracts.

45. The method of claim 44, further comprising settling the options contracts based on the notional fixed-income related instrument.

46. The method of claim 44, further comprising determining the delivery expense of the options contracts based on the notional fixed-income related instrument.

47. The method of claim 44, further comprising electronically distributing in real time executed trade information relating to the executed trade to at least one of a) a clearing processor b) data vendors and c) market participants.

48. A method of determining an index value in terms of a notional fixed-income related instrument, the method using market data for other instruments, the value for the other instruments being calculated from market data related to market conditions for the other instruments, a price or a yield for the notional-fixed income related instrument being calculated using values for the other instruments, the method comprising:

providing or utilizing an electronic market for the trading of the notional fixed-income instrument;

electronically executing a trade of the notional fixed-income instrument based on the price or yield of the notional fixed income instrument; and

electronically distributing in real time executed trade information relating to the executed trade to at least one of a) a clearing processor b) data vendors and c) market participants.

49. The method of claim 48, further comprising settling a trade of the instrument or instruments based on the price or yield of the notional fixed-income related instrument.