Credit default swap post credit event
AssigneeChicago Mercantile Exchange Inc.
InventorsKevin Fallon, Nicholas Bellios, Ketan Patel, Scimeca Giuseppe
Life of this patent
Estimating the term…
Abstract
Methods, systems and apparatuses are described for determining that a credit event has occurred for an entity; determining an upfront price and a bond price for a credit default swap deliverable (CDSD) contract associated with the entity; determining a first weighting for the upfront price and a second weighting for the bond price; and calculating a settlement price for the CDSD contract that is a function of the first weighting, the second weighting, the upfront price, and the bond price.
Claims23
A computer implemented method comprising:
- determining that a credit event has occurred for an entity;
- determining an upfront price and a bond price for a credit default swap deliverable (CDSD) contract associated with the entity;
- determining a weighting for the upfront price and a weighting for the bond price;
- iteratively adjusting the upfront price weighting and the bond price weighting so that the upfront price weighting decreases over time and so that the bond price weighting increases over time;
- and
- calculating, by a processor, a settlement price for the CDSD contract that is a function of the upfront price weighting, the bond price weighting, the upfront price, and the bond price.
An apparatus comprising:
- a processor;
- and
- a memory storing computer executable instructions that, when executed, cause the apparatus to perform operations comprising:
- determining that a credit event has occurred for an entity;
- determining an upfront price and a bond price for a credit default swap deliverable (CDSD) contract associated with the entity;
- determining a weighting for the upfront price and a weighting for the bond price;
- iteratively adjusting the upfront price weighting and the bond price weighting so that the upfront price weighting decreases over time and so that the bond price weighting increases over time and
- calculating a settlement price for the CDSD contract that is a function of the upfront price weighting, the bond price weighting, the upfront price, and the bond price.
A computer readable medium storing computer executable instructions that, when executed, cause an apparatus to perform operations comprising:
- determining that a credit event has occurred for an entity;
- determining an upfront price and a bond price for a credit default swap deliverable (CDSD) contract associated with the entity;
- determining a weighting for the upfront price and a weighting for the bond price;
- iteratively adjusting the upfront price weighting and the bond price weighting so that the upfront price weighting decreases over time and so that the bond price weighting increases over time;
- and
- calculating a settlement price for the CDSD contract that is a function of the upfront price weighting, the bond price weighting, the upfront price, and the bond price.
Dependencies are inferred from the claim text.