Back to results
US 11,295,388 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 computer implemented method comprising:
- accessing, by a computer system, a data structure which stores data indicative of a position in each of a plurality of outright-traded products in a portfolio;
- identifying, by the computer system, a set of liquidation products which includes the plurality of outright-traded products and further includes one or more spread-traded products formed by a combination of two or more of the plurality of outright-traded products, wherein each of the liquidation products in the set of liquidation products is associated with a cost function for estimating a liquidation cost based on notional value of the associated liquidation product;
- using an approximation to limit a number of orderings and a number of branches considered:
- determining, by the computer system, a set of estimated allocations of the positions in each of the plurality of outright-traded products among each of the liquidation products of the set of liquidation products;
- and
- determining, iteratively by the computer system using the set of estimated allocations and the associated cost functions associated with each liquidation product therein, the estimated allocation of the set of estimated allocations that is characterized by a lowest liquidation cost;
- and
- wherein the method further comprises outputting, by the computer system, data indicating at least a portion of a performance bond based on the determined lowest liquidation cost.
5 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 a data structure which stores data indicative of a position in each of a plurality of outright-traded products in a portfolio;
- identifying a set of liquidation products which includes the plurality of outright-traded products and further includes one or more spread-traded products formed by a combination of two or more of the plurality of outright-traded products, wherein each of the liquidation products in the set of liquidation products is associated with a cost function for estimating a liquidation cost based on notional value of the associated liquidation product;
- determining a set of estimated allocations of the positions in each of the plurality of outright-traded products among each of the liquidation products of the set of liquidation products;
- determining, using the set of estimated allocations and the associated cost functions associated with each liquidation product therein, the estimated allocation of the set of estimated allocations that is characterized by a lowest liquidation cost;
- and
- outputting data indicating at least a portion of a performance bond based on the determined lowest liquidation cost.
3 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 a data structure which stores data indicative of a position in each of a plurality of outright-traded products in a portfolio;
- identifying a set of liquidation products which includes the plurality of outright-traded products and further includes one or more spread-traded products formed by a combination of two or more of the plurality of outright-traded products, wherein each of the liquidation products in the set of liquidation products is associated with a cost function for estimating a liquidation cost based on notional value of the associated liquidation product;
- determining a set of estimated allocations of the positions in each of the plurality of outright-traded products among each of the liquidation products of the set of liquidation products;
- determining, using the set of estimated allocations and the associated cost functions associated with each liquidation product therein, the estimated allocation of the set of estimated allocations that is characterized by a lowest liquidation cost;
- and
- outputting data indicating at least a portion of a performance bond based on the determined lowest liquidation cost.
6 more elements
Dependencies are inferred from the claim text.