×

System and method for flexible spread participation

  • US 8,271,373 B2
  • Filed: 01/06/2012
  • Issued: 09/18/2012
  • Est. Priority Date: 09/10/2004
  • Status: Active Grant
First Claim
Patent Images

1. A computer implemented method of minimizing computations required to compute a margin requirement for a portfolio comprising a first subset of three or more products of a plurality of products traded on an exchange, the method comprising:

  • identifying, by a computer processor, a second subset of two or more products of the plurality of products traded on the exchange and determining a risk offset thereof, the identifying being independent of the first subset;

    identifying, by a computer processor, a third subset of two or more products of the plurality of products traded on the exchange and determining a risk offset thereof, the third subset being different from the second subset, the identifying being independent of the first subset;

    determining, by the computer processor, a fourth subset of two or more products consisting of two or more products contained in both the first and second subsets, a fifth subset of two or more products consisting of two or more products contained in both the first and third subsets, and a sixth subset of one or more products consisting of one or more products included in the first subset and not included in either the second or third subsets;

    computing, by the computer processor, a risk offset for each of the products of the first subset identified by the sixth subset; and

    computing, by the computer processor, a risk offset for the portfolio based on at least a portion of the risk offset of the second subset characterizing the fourth subset, at least a portion of the risk offset of the third subset characterizing the fifth subset and the computed risk offsets of each of the products of the first subset identified by the sixth subset.

View all claims
  • 0 Assignments
Timeline View
Assignment View
    ×
    ×