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US 12,223,548 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.
Claims21
A computer implemented method comprising:
- identifying, by a processor in a data structure coupled therewith which stores data indicative of a set of positions in a set of outright-traded products, another set of positions in a another set of products counter to and which offset one or more of the positions in the set of positions, the other set of products being selected from a plurality of outright-traded products and/or a plurality of spread-traded products each formed by a combination of two or more of the plurality of outright-traded products, wherein each of the positions in the other set is associated with an estimated effect on a cost to obtain that position;
- maximizing, by the processor, a number of positions in the set of positions that are offset by a subset of the other set of positions while minimizing a cumulative cost to obtain the subset of the other set of positions, including reducing a number of combinations in the other set to evaluate by:
- determining, by the processor, a set of estimated allocations of the set of positions in each of the set of outright-traded products among each of the positions in the other set;
- and
- determining, iteratively by the processor using the set of estimated allocations and the estimated effect on the cost to obtain the position associated with each position of the other set, the estimated allocation of the set of estimated allocations that is characterized by a lowest cumulative estimated effect on the cost to obtain those positions of the other set;
- and
- outputting, by the processor, data indicating at least a portion of a performance bond for the set of positions, subsequent to being offset by the subset of the other set of position, based on the determined lowest cumulative estimated effect on the cost to obtain those positions of the other set.
4 more elements
A non-transitory computer-readable media storing computer executable instructions that, when executed, cause a processor to perform operations that include:
- identifying, in a data structure coupled therewith which stores data indicative of a set of positions in a set of outright-traded products, another set of positions in a another set of products counter to and which offset one or more of the positions in the set of positions, the other set of products being selected from a plurality of outright-traded products and/or a plurality of spread-traded products each formed by a combination of two or more of the plurality of outright-traded products, wherein each of the positions in the other set is associated with an estimated effect on a cost to obtain that position;
- maximizing a number of positions in the set of positions that are offset by a subset of the other set of positions while minimizing a cumulative cost to obtain the subset of the other set of positions, including reducing a number of combinations in the other set to evaluate by:
- determining a set of estimated allocations of the set of positions in each of the set of outright-traded products among each of the positions in the other set;
- and
- determining, iteratively using the set of estimated allocations and the estimated effect on the cost to obtain the position associated with each position of the other set, the estimated allocation of the set of estimated allocations that is characterized by a lowest cumulative estimated effect on the cost to obtain those positions of the other set;
- and
- outputting data indicating at least a portion of a performance bond for the set of positions, subsequent to being offset by the subset of the other set of position, based on the determined lowest cumulative estimated effect on the cost to obtain those positions of the other set.
4 more elements
A 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:
- identify, in a data structure coupled therewith which stores data indicative of a set of positions in a set of outright-traded products, another set of positions in a another set of products counter to and which offset one or more of the positions in the set of positions, the other set of products being selected from a plurality of outright-traded products and/or a plurality of spread-traded products each formed by a combination of two or more of the plurality of outright-traded products, wherein each of the positions in the other set is associated with an estimated effect on a cost to obtain that position;
- maximize a number of positions in the set of positions that are offset by a subset of the other set of positions while minimizing a cumulative cost to obtain the subset of the other set of positions, including reducing a number of combinations in the other set to evaluate by:
- determine a set of estimated allocations of the set of positions in each of the set of outright-traded products among each of the positions in the other set;
- and
- determine, iteratively using the set of estimated allocations and the estimated effect on the cost to obtain the position associated with each position of the other set, the estimated allocation of the set of estimated allocations that is characterized by a lowest cumulative estimated effect on the cost to obtain those positions of the other set;
- and
- output data indicating at least a portion of a performance bond for the set of positions, subsequent to being offset by the subset of the other set of position, based on the determined lowest cumulative estimated effect on the cost to obtain those positions of the other set.
7 more elements
Dependencies are inferred from the claim text.