Method and system for determining, contracting to exchange, and accounting for matched sets of offsetting cash flows
OwnerGarland Temple Stephens, Raj Daryananiinventors
Life of this patent
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Abstract
One disclosed embodiment comprises a computerized method and system for matching structured cash flows by transmitting a information of an exchange definition comprising information of two or more underlyings, a notional amount or range, and a payment provision, and receiving information of a linear combination of one or more partial exchange definitions such that the net present value of the cumulative cash flow of the linear combination of partial exchange definitions is substantially zero.
Claims17
A computer system for matching structured cash flows for exchange comprising:
- one or more processors;
- a database of one or more exchange definitions;
- said one or more processors running a stored program code for retrieving from the database of one or more exchange definitions one or more exchange definitions comprising underlyings compatible with a first exchange definition, each exchange definition of the one or more exchange definitions comprising two or more underlyings, one or more notional amounts or notional ranges, and one or more payment provisions;
- and
- said one or more processors running a stored program code for determining a linear combination of partial exchange definitions such that the net present value of the cumulative cash flow of the linear combination of partial exchange definitions is substantially zero, each partial exchange definition comprising a portion of a notional amount of the corresponding exchange definition in the range of zero to one.
A computer system for contracting to exchange structured cash flows comprising:
- a memory;
- database comprising a plurality of exchange definitions, each exchange definition comprising:
- an indication of a first underlying,
- an indication of a second underlying,
- an indication of a notional amount,
- an indication of a payment provision defining cash flows to be paid or received with respect to the notional amount and underlying;
- a processor running a transaction monitor providing atomicity, consistency, integrity and durability to operations on the database;
- said processor running a query system for searching the database for exchange definitions comprising specified underlyings;
- and
- said processor which accesses said memory and said database to determine a linear combination of partial exchange definitions such that the net present value of a cumulative cash flow of the linear combination of partial exchange definitions is substantially zero, each partial exchange definition comprising a portion of a notional amount of the corresponding exchange definition in the range of zero to one.
A digital memory coupled to a processor, wherein said digital memory storing program code for matching structured cash flows for exchange comprising:
- one or more digital memories storing program code, further comprising:
- program code for determining information corresponding to a linear combination of one or more partial exchange definitions such that the net present value of the cash flows of the linear combination of partial exchange definitions is substantially zero, each partial exchange definition comprising a portion of a notional amount of the exchange definition in the range of zero to one;
- and
- program code for determining information indicating, for each party that provided an exchange definition corresponding to a partial exchange definition of the linear combination, the portion of the party's exchange definition that comprises the corresponding partial exchange definition of the combination.
Dependencies are inferred from the claim text.