System and method for flexible spread participation
First Claim
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.
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Abstract
A system and method for risk analysis of a portfolio of derivative products is disclosed which is conducted based on a set of flexible rules. The system and method allow creating predefined sets of products for the purpose of future risk offsets. If a futures trade as a subset of that set of products that met a threshold level, then the subset is assigned the offset value (or a pro rata or other portion of the offset value) of the predefined set. For example, assume that the predefined set consists of one S&P 500 futures, one NASDAQ futures, one S&P Midcap 400 futures and one Russell 1000 futures and the threshold is three. If the futures trader holds any three of those four futures, the three futures can be grouped, assigned an offset value, and this group can be used as one asset for purpose of further risk offsets.
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Citations
20 Claims
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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:
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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 Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9)
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10. A system for 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 system comprising:
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a first parameter set, stored in a memory, which identifies, independent of the first subset of three or more products, a second subset of two or more products of the plurality of products traded on the exchange and a risk offset thereof; a second parameter set, stored in the memory, which identifies, independent of the first subset of three or more products, a third subset of two or more products of the plurality of products traded on the exchange and a risk offset thereof, the third subset being different from the second subset; a risk processor coupled with the memory so as to access the first and second stored parameter sets and operative to execute a computer program stored in the memory, the computer program being operative to cause the risk processor to determine 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; and wherein execution of the computer program is further operative to cause the risk processor to compute a risk offset for each of the products of the first subset identified by the sixth subset and further operative to cause the risk processor to compute 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 Dependent Claims (11, 12, 13, 14, 15, 16, 17, 18)
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19. A system for 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 system comprising:
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a first parameter set, stored in a memory, which identifies, independent of the first subset of three or more products, a second subset of two or more products of the plurality of products traded on the exchange and a risk offset thereof; a risk processor coupled with the memory so as to access the first stored parameter set and operative to execute a computer program stored in the memory, the computer program being operative to cause the risk processor to determine a third subset of two or more products consisting of two or more products contained in both the first and second subsets, and a fourth subset of one or more products consisting of one or more products included in the first subset and not included in the second; and wherein execution of the computer program is further operative to cause the risk processor to compute a risk offset for each of the products of the first subset identified by the fourth subset and further operative to cause the risk processor to compute a risk offset for the portfolio based on at least a portion of the risk offset of the second subset characterizing the third subset and the computed risk offsets of each of the products of the first subset identified by the sixth subset. - View Dependent Claims (20)
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Specification