×

System and method of margining fixed payoff products

  • US 8,825,541 B2
  • Filed: 08/15/2013
  • Issued: 09/02/2014
  • Est. Priority Date: 09/10/2004
  • Status: Active Grant
First Claim
Patent Images

1. A computer-implemented method of computing a margin requirement for a portfolio comprising at least one product having an associated fixed payoff value based on an occurrence of one of a finite set of at least two outcomes of an event, the method comprising:

  • determining, by a computer processor, a subset of outcomes, out of the finite set of all possible outcomes, at which each of the at least one product may settle and a resultant change in value thereof;

    assigning, by the computer processor, a probability weight to each outcome of the subset of outcomes representative of a probability of an occurrence thereof, wherein determination of the probability weight is based at least in part on one or more parameters reflecting a desired degree of risk coverage and/or one or more types of market data; and

    computing, by the computer processor, the margin requirement based on the resultant change in value resulting from each of the subset of outcomes and the probability weight assigned thereto.

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