Index for fixed income securities market

• US 8,005,749 B2
• Filed: 07/10/2009
• Issued: 08/23/2011
• Est. Priority Date: 06/10/1992
• Status: Expired due to Fees

• Current Assignee: CFPH LLC (Cantor Fitzgerald, L.P.)
• Original Assignee: CFPH LLC (Cantor Fitzgerald, L.P.)
• Inventors: Ginsberg, Philip Myron
• Primary Examiner(s): Colbert; Ella
• Assistant Examiner(s): GREENE, DANIEL LAWSON
• Application Number:
  US12/500,959
• Publication Number:
  US 20090281939A1
• Time in Patent Office: 774 Days
• Field of Search: 705/35, 705/36.R, 705/37
• US Class Current: 705/37
• 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

An index for a fixed income securities market may be determined based on price information regarding current activity taking place on one or more securities.

Claims

1. A method comprising:

receiving by at least one computing device prices for a plurality of securities traded in a securities market;

determining by the at least one computing device an index based at least in part on a plurality of the prices, in which the index comprises an indicator for tracking a fixed income securities market, and in which determining the index comprises determining a plurality of interest rates based at least in part on the plurality of prices; and

as the securities are being traded in the securities market and prices of the securities are thereby changing;

(a) receiving by the at least one computing device at least one of the prices that has changed;

(b) updating by the at least one computing device the index based at least in part on the at least one changed price, in which updating the index comprises updating at least one of the plurality of interest rates based at least in part on the at least one changed price; and

(c) communicating by the at least one computing device the updated index to at least a second computing device; and

iteratively repeating at least steps (a), (b), and (c) as the securities continue to be traded in the securities market and the prices of the securities thereby continue to change.

2. The method of claim 1, in which the fixed income securities market comprises the United States Treasuries market.

3. The method of claim 2, in which the indicator tracks a portion of the United States Treasuries market.

4. The method of claim 1, in which the fixed income securities market comprises a market foreign to a United States market.

5. The method of claim 1, in which the fixed income securities market comprises a corporate bond market.

6. The method of claim 1, in which the index comprises at least one of:

a price index,

a yield to maturity index, and

a duration index.

7. The method of claim 1, in which the at least one changed price comprises at least one of:

a bid price, and

an ask price.

8. The method of claim 1, in which the at least one changed price comprises a transaction price.

9. The method of claim 1, in which updating the index comprises updating the index in real time as the securities are being traded in the securities market and the prices of the securities are thereby changing.

10. The method of claim 1, in which updating the index comprises updating the index asynchronously as the securities are being traded in the securities market and the prices of the securities are thereby changing.

11. The method of claim 1,

in which the prices for the plurality of securities comprise bid prices for at least a portion of the plurality of securities;

and

in which determining the index comprises determining the index based at least in part on a plurality of the bid prices.

12. The method of claim 1,

in which the prices for the plurality of securities comprise ask prices for at least a portion of the plurality of securities;

and

in which determining the index comprises determining the index based at least in part on a plurality of the ask prices.

13. The method of claim 1,

in which the prices for the plurality of securities comprise bid and ask prices for at least a portion of the plurality of securities;

and

in which determining the index comprises determining the index based at least in part on a plurality of the bid and ask prices.

14. The method of claim 1,

in which the prices for the plurality of securities comprise transaction prices for at least a portion of the plurality of securities;

and

in which determining the index comprises determining the index based at least in part on a plurality of the transaction prices.

15. The method of claim 1,

in which at least one of the plurality of securities comprises a non-actively traded security;

and

in which determining the index based at least in part on the plurality of the prices comprises not using the price corresponding to the at least one non-actively traded security to determine the index.

16. The method of claim 1,

in which at least one of the plurality of securities comprises a non-liquid security;

and

in which determining the index based at least in part on the plurality of the prices comprises not using the price corresponding to the at least one non-liquid security to determine the index.

17. The method of claim 1, in which receiving the at least one changed price comprises receiving the at least one changed price in real time as the securities are being traded in the securities market and the prices of the securities are thereby changing.

18. The method of claim 1, in which receiving the at least one changed price comprises receiving the at least one changed price asynchronously as the securities are being traded in the securities market and the prices of the securities are thereby changing.

19. The method of claim 1, further comprising:

after receiving the at least one changed price, determining that the at least one changed price comprises a valid price; and

in which updating the index based on the at least one changed price comprises updating the index based at least in part on determining that the at least one changed price comprises the valid price.

20. The method of claim 19, in which determining that the at least one changed price comprises the valid price comprises at least one:

comparing the at least one changed price to a bid price and determining that the at least one changed price is greater than the bid price,

comparing the at least one changed price to an offer price and determining that the at least one changed price is less than the offer price, and

determining a spread between the at least one changed price and another price and determining that the spread does not exceed a predetermined value.

21. The method of claim 1, further comprising:

after receiving the at least one changed price, determining that the security corresponding to the at least one changed price comprises a liquid security; and

in which updating the index based on the at least one changed price comprises updating the index based at least in part on determining that the security corresponding to the at least one changed price comprises the liquid security.

22. The method of claim 21, further comprising:

determining that the at least one changed price comprises a valid price; and

in which updating the index based on the at least one changed price comprises updating the index based at least in part on;

determining that the at least one changed price comprises the valid price, and

determining that the security corresponding to the at least one changed price comprises the liquid security.

23. The method of claim 22, in which determining that the at least one changed price comprises the valid price comprises at least one:

comparing the at least one changed price to a bid price and determining that the at least one changed price is greater than the bid price,

comparing the at least one changed price to an offer price and determining that the at least one changed price is less than the offer price, and

determining a spread between the at least one changed price and another price and determining that the spread does not exceed a predetermined value.

24. The method of claim 1, further comprising:

after receiving the at least one changed price, determining that the security corresponding to the at least one changed price comprises an actively traded security; and

in which updating the index based on the at least one changed price comprises updating the index based at least in part on determining that the security corresponding to the at least one changed price comprises the actively traded security.

25. The method of claim 24, further comprising:

determining that the at least one changed price comprises a valid price; and

in which updating the index based on the at least one changed price comprises updating the index based at least in part on;

determining that the at least one changed price comprises the valid price, and

determining that the security corresponding to the at least one changed price comprises the actively traded security.

26. The method of claim 25, in which determining that the at least one changed price comprises the valid price comprises at least one:

comparing the at least one changed price to a bid price and determining that the at least one changed price is greater than the bid price,

comparing the at least one changed price to an offer price and determining that the at least one changed price is less than the offer price, and

determining a spread between the at least one changed price and another price and determining that the spread does not exceed a predetermined value.

27. The method of claim 1, in which the at least second computing device is associated with at least one data vendor.

28. The method of claim 1, in which communicating the updated index comprises communicating the updated index to the at least second computing device in real time as the securities are being traded in the securities market and the prices of the securities are thereby changing.

29. The method of claim 1, in which communicating the updated index comprises communicating the updated index to the at least second computing device asynchronously as the securities are being traded in the securities market and the prices of the securities are thereby changing.

30. An apparatus comprising at least one computing device operable to:

receive prices for a plurality of securities traded in a securities market;

determine an index based at least in part on a plurality of the prices, in which the index comprises an indicator for tracking a fixed income securities market, and in which to determine the index comprises to determine a plurality of interest rates based at least in part on the plurality of prices; and

as the securities are being traded in the securities market and prices of the securities are thereby changing;

(a) receive at least one of the prices that has changed;

(b) update the index based at least in part on the at least one changed price, in which to update the index comprises to update at least one of the plurality of interest rates based at least in part on the at least one changed price; and

(c) communicate the updated index to at least a second computing device; and

in which the at least one computing device is further operable to iteratively repeat at least operations (a), (b), and (c) as the securities continue to be traded in the securities market and the prices of the securities thereby continue to change.

31. The apparatus of claim 30, in which the at least one computing device is further operable to:

after receiving the at least one changed price, determine that the at least one changed price comprises a valid price; and

in which to update the index based on the at least one changed price comprises to update the index based at least in part on determining that the at least one changed price comprises the valid price.

32. The apparatus of claim 31, in which to determine that the at least one changed price comprises the valid price comprises at least one:

to compare the at least one changed price to a bid price and determine that the at least one changed price is greater than the bid price,

to compare the at least one changed price to an offer price and determine that the at least one changed price is less than the offer price, and

to determine a spread between the at least one changed price and another price and determine that the spread does not exceed a predetermined value.

33. The apparatus of claim 30, in which the at least one computing device is further operable to:

after receiving the at least one changed price, determine that the security corresponding to the at least one changed price comprises a liquid security; and

in which to update the index based on the at least one changed price comprises to update the index based at least in part on determining that the security corresponding to the at least one changed price comprises the liquid security.

34. The apparatus of claim 33, in which the at least one computing device is further operable to:

determine that the at least one changed price comprises a valid price; and

in which to update the index based on the at least one changed price comprises to update the index based at least in part on;

determining that the at least one changed price comprises the valid price, and

determining that the security corresponding to the at least one changed price comprises the liquid security.

35. The apparatus of claim 34, in which to determine that the at least one changed price comprises the valid price comprises at least one:

to compare the at least one changed price to a bid price and determine that the at least one changed price is greater than the bid price,

to compare the at least one changed price to an offer price and determine that the at least one changed price is less than the offer price, and

to determine a spread between the at least one changed price and another price and determine that the spread does not exceed a predetermined value.

36. The apparatus of claim 30, in which the at least one computing device is further operable to:

after receiving the at least one changed price, determine that the security corresponding to the at least one changed price comprises an actively traded security; and

in which to update the index based on the at least one changed price comprises to update the index based at least in part on determining that the security corresponding to the at least one changed price comprises the actively traded security.

37. The apparatus of claim 36, in which the at least one computing device is further operable to:

determine that the at least one changed price comprises a valid price; and

in which to update the index based on the at least one changed price comprises to update the index based at least in part on;

determining that the at least one changed price comprises the valid price, and

determining that the security corresponding to the at least one changed price comprises the actively traded security.

38. The apparatus of claim 37, in which to determine that the at least one changed price comprises the valid price comprises at least one:

to compare the at least one changed price to a bid price and determine that the at least one changed price is greater than the bid price,

to compare the at least one changed price to an offer price and determine that the at least one changed price is less than the offer price, and

to determine a spread between the at least one changed price and another price and determine that the spread does not exceed a predetermined value.

39. A method comprising:

receiving by at least one computing device prices for a plurality of securities traded in a securities market;

determining by the at least one computing device an index based at least in part on a plurality of the prices, in which the index comprises an indicator for tracking a fixed income securities market, and in which determining the index comprises determining a plurality of interest rates based at least in part on the plurality of prices; and

as the securities are being traded in the securities market and prices of the securities are thereby changing;

(a) receiving by the at least one computing device at least one of the prices that has changed;

(b) updating by the at least one computing device the index based at least in part on the at least one changed price, in which updating the index comprises updating at least one of the plurality of interest rates based at least in part on the at least one changed price; and

(c) displaying by the at least one computing device the updated index; and

iteratively repeating at least steps (a), (b), and (c) as the securities continue to be traded in the securities market and the prices of the securities thereby continue to change.

40. The method of claim 39, in which displaying the index comprises displaying the index in real time as the securities are being traded in the securities market and prices of the securities are thereby changing.

41. The method of claim 40, further comprising:

after receiving the at least one changed price, determining that the security corresponding to the at least one changed price comprises a liquid security; and

in which updating the index based on the at least one changed price comprises updating the index based at least in part on determining that the security corresponding to the at least one changed price comprises the liquid security.

42. The method of claim 41, further comprising:

determining that the at least one changed price comprises a valid price; and

in which updating the index based on the at least one changed price comprises updating the index based at least in part on;

determining that the at least one changed price comprises the valid price, and

determining that the security corresponding to the at least one changed price comprises the liquid security.

43. The method of claim 42, in which determining that the at least one changed price comprises the valid price comprises at least one:

comparing the at least one changed price to a bid price and determining that the at least one changed price is greater than the bid price,

comparing the at least one changed price to an offer price and determining that the at least one changed price is less than the offer price, and

determining a spread between the at least one changed price and another price and determining that the spread does not exceed a predetermined value.