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US 2017/0161836 A1Published application
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(X1) 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 over prior methods, using an approximation to limit the number of orderings and the 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
- 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.
48 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.
50 more elements
Dependencies are inferred from the claim text.