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US 10,643,282 B2Granted
Liquidation cost calculation
AssigneeChicago Mercantile Exchange Inc.
InventorsAdam Olszewski, Dmitriy Glinberg, Edmund Li, Feliks Landa
Life of this patent
Estimating the term…
Abstract
A set of estimated allocations Nest(X1) through Nest(Xk) of portfolio positions to products X1 through Xk may be determined, with products X1 through Xk including portfolio products and spread-traded products based on some of the portfolio products. Utilizing the set of estimated allocations, an optimized liquidation cost LCopt may be designated. Data indicating at least a portion of a performance bond based on the optimized liquidation LCopt may be output.
Claims20
A method for optimizing allocation of a plurality of products in a portfolio, comprising:
- accessing, by a computer system, an array data structure corresponding to the plurality of products in the portfolio, wherein for each of a plurality of outright-traded products in the portfolio, the array data structure defines a portfolio position in the outright-traded product;
- identifying, by the computer system, data defining a liquidation of products X1 through Xk, wherein (i) the products X1 through Xk include the plurality of outright-traded products and further include one or more spread-traded products, (ii) each of the spread-traded products represents a combination of two or more of the outright-traded products, and (iii) each of the products X1 through Xk respectively corresponds to one of cost functions C1 through Ck for estimating a liquidation cost based on notional value;
- determining, by the computer system, estimated allocations Nest(X1) through Nest(Xk) of the portfolio positions to products X1 through Xk;
- determining, by the computer system using the estimated allocations Nest(X1) through Nest(Xk), allocations N(Xi) through N(Xk) corresponding to a liquidation cost LC less than a liquidation cost LCest corresponding to the estimated allocations, wherein
- LC
- =
- ∑
- i
- =
- 1
- k
-
- C
- i
-
- (
- N
-
- (
- X
- i
- )
- )
-
-
- and
- LC
- est
- =
- ∑
- i
- =
- 1
- k
-
- C
- i
-
- (
- N
- est
-
- (
- X
- i
- )
- )
- ;
- designating, by the computer system, an optimized liquidation cost LCopt;
- and
- outputting, by the computer system, data indicating at least a portion of a performance bond based on the optimized liquidation LCopt;
- wherein the outputting by the computer system is performed in an optimized manner using an approximation to limit a number of orderings and a number of branches considered in both of the determining steps.
49 more elements
One or more non-transitory computer-readable media storing computer executable instructions that, when executed, cause a computer system to perform operations that include:
- accessing portfolio data defining, for each of a plurality of outright-traded products, a portfolio position in the outright-traded product;
- identifying data defining a liquidation set of products X1 through Xk, wherein (i) the products X1 through Xk include the plurality of outright-traded products and further include one or more spread-traded products, (ii) each of the spread-traded products represents a combination of two or more of the outright-traded products, and (iii) each of the products X1 through Xk respectively corresponds to one of cost functions C1 through Ck for estimating a liquidation cost based on notional value;
- determining a set of estimated allocations Nest(X1) through Nest(Xk) of the portfolio positions to products X1 through Xk;
- determining, using the estimated allocations Nest(X1) through Nest(Xk), a set of allocations N(X1) through N(Xk) corresponding to a liquidation cost LC less than a liquidation cost LCest corresponding to the set of estimated allocations, wherein
- L
-
-
- C
- =
- ∑
- i
- =
- 1
- k
-
- C
- i
-
- (
- N
-
- (
- X
- i
- )
- )
-
-
- and
- L
-
-
- C
- est
- =
- ∑
- i
- =
- 1
- k
-
- C
- i
-
- (
- N
- est
-
- (
- X
- i
- )
- )
- ;
- designating an optimized liquidation cost LCopt;
- and
- outputting data indicating at least a portion of a performance bond based on the optimized liquidation LCopt.
54 more elements
A computer system comprising:
- at least one processor;
- and
- at least one non-transitory memory, wherein the at least one non-transitory memory stores instructions that, when executed, cause the computer system to perform operations that include:
- accessing portfolio data defining, for each of a plurality of outright-traded products, a portfolio position in the outright-traded product;
- identifying data defining a liquidation set of products X1 through Xk, wherein (i) the products X1 through Xk include the plurality of outright-traded products and further include one or more spread-traded products, (ii) each of the spread-traded products represents a combination of two or more of the outright-traded products, and (iii) each of the products X1 through Xk respectively corresponds to one of cost functions C1 through Ck for estimating a liquidation cost based on notional value;
- determining a set of estimated allocations Nest(X1) through Nest(Xk) of the portfolio positions to products X1 through Xk;
- determining, using the estimated allocations Nest(X1) through Nest(Xk), a set of allocations N(X1) through N(Xk) corresponding to a liquidation cost LC less than a liquidation cost LCest corresponding to the set of estimated allocations, wherein
- LC
- =
- ∑
- i
- =
- 1
- k
-
- C
- i
-
- (
- N
-
- (
- X
- i
- )
- )
-
-
- and
- LC
- est
- =
- ∑
- i
- =
- 1
- k
-
- C
- i
-
- (
- N
- est
-
- (
- X
- i
- )
- )
- ,
- designating an optimized liquidation cost LCopt;
- and
- outputting data indicating at least a portion of a performance bond based on the optimized liquidation LCopt.
51 more elements
Dependencies are inferred from the claim text.