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AssigneeChicago Mercantile Exchange Inc.
InventorsSuneel Iyer, Moody Hadi, Ketan Patel
Estimating the term…
Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium.
A method for evaluating a settlement rate curve for an interest rate swap product, the settlement rate curve representing a series of settlement values for plural consecutive settlement periods for said swap product, the settlement values being derived from a settlement value algorithm, the method comprising:
A method comprising:
An apparatus comprising a display, a memory unit, and a processing unit coupled to the memory unit and configured to perform steps comprising:
A tangible computer-readable medium containing computer-executable instructions for causing a computing device to perform steps comprising:
Dependencies are inferred from the claim text.