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- Nachgewiesen in: USPTO Patent Applications
- Sprachen: English
- Document Number: 20170076375
- Publication Date: March 16, 2017
- Appl. No: 14/849904
- Application Filed: September 10, 2015
- Claim: 1. A method comprising: accessing, by a computer system, data describing positions of a multi-currency credit default swap (CDS) portfolio PF, the portfolio PF including a portfolio portion PF1 comprising positions in CDS products denominated in a first currency and a portfolio portion PF2 comprising positions in CDS products denominated in a second currency; calculating, by the computer system, based on the accessed data, and based on an exchange rate FX21_UP for converting the second currency to the first currency, a first margin component in the first currency; calculating, by the computer system, based on the accessed data, and based on an exchange rate FX21_DN for converting the second currency to the first currency, a second margin component in the first currency, wherein FX21_UP is greater than FX21_DN; calculating, by the computer system, a margin component MC1 as a maximum of a set of values that includes the first margin component and the second margin component; calculating, by the computer system and based on the accessed data, a margin component MC21 in the first currency; calculating, by the computer system based on the accessed data, a margin component MC22 in the second currency; calculating, by the computer system, a first currency margin requirement MR1 as a sum of the margin component MC21 and a portion of the margin component MC1 corresponding to the portfolio portion PF1; calculating, by the computer system, a second currency margin requirement MR2 as a sum of the margin component MC22 and a portion of the margin component MC1 corresponding to the portfolio portion PF2; and transmitting, by the computer system, data representing the first currency margin requirement MR1 and the second currency margin requirement MR2.
- Claim: 2. The method of claim 1, wherein the margin component MC1 comprises a spread risk component, a jump-to-default component, and a jump-to-heath component.
- Claim: 3. The method of claim 2, wherein the margin component MC21 and the margin component MC22 each comprises an interest rate component and a liquidity charge component.
- Claim: 4. The method of claim 1, wherein the margin component MC21 and the margin component MC22 each comprises an interest rate component and a liquidity charge component.
- Claim: 5. The method of claim 1, wherein the portfolio PF includes a portfolio portion PF3 comprising positions in CDS products denominated in a third currency, wherein calculating the first margin requirement comprises calculating based on an exchange rate FX31_UP for converting the third currency to the first currency; wherein calculating the second margin requirement comprises calculating based on an exchange rate FX31_DN for converting the third currency to the first currency, wherein FX31_UP is greater than FX31_DN, wherein calculating margin component MC1 comprises calculating margin component MC1 as a maximum of a set of values that includes the first margin component, the second margin component, a third margin component, and a fourth margin component, and wherein transmitting data representing the first currency margin requirement MR1 and the second currency margin requirement MR2 includes transmitting data representing a third currency margin requirement MR3, and further comprising calculating, by the computer system, based on the accessed data, and based on the exchange rates FX21_UP and FX31_DN, the third margin component in the first currency; calculating, by the computer system, based on the accessed data, and based on the exchange rates FX21_DN and FX31_UP, the fourth margin component in the first currency; calculating, by the computer system based on the accessed data, a margin component MC23 in the third currency; and calculating, by the computer system, the third currency margin requirement MR3 as a sum of the margin component MC23 and a portion of the margin component MC1 corresponding to the portfolio portion PF3.
- Claim: 6. 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 data describing positions of a multi-currency credit default swap (CDS) portfolio PF, the portfolio PF including a portfolio portion PF1 comprising positions in CDS products denominated in a first currency and a portfolio portion PF2 comprising positions in CDS products denominated in a second currency; calculating, based on the accessed data and on an exchange rate FX21_UP for converting the second currency to the first currency, a first margin component in the first currency; calculating, based on the accessed data and on an exchange rate FX21_DN for converting the second currency to the first currency, a second margin component in the first currency, wherein FX21_UP is greater than FX21_DN; calculating a margin component MC1 as a maximum of a set of values that includes the first margin component and the second margin component; calculating, based on the accessed data, a margin component MC21 in the first currency; calculating, based on the accessed data, a margin component MC22 in the second currency; calculating a first currency margin requirement MR1 as a sum of the margin component MC21 and a portion of the margin component MC1 corresponding to the portfolio portion PF1; calculating a second currency margin requirement MR2 as a sum of the margin component MC22 and a portion of the margin component MC1 corresponding to the portfolio portion PF2; and transmitting data representing the first currency margin requirement MR1 and the second currency margin requirement MR2.
- Claim: 7. The one or more non-transitory computer-readable media of claim 6, wherein the margin component MC1 comprises a spread risk component, a jump-to-default component, and a jump-to-heath component.
- Claim: 8. The one or more non-transitory computer-readable media of claim 7, wherein the margin component MC21 and the margin component MC22 each comprises an interest rate component and a liquidity charge component.
- Claim: 9. The one or more non-transitory computer-readable media of claim 6, wherein the margin component MC21 and the margin component MC22 each comprises an interest rate component and a liquidity charge component.
- Claim: 10. The one or more non-transitory computer-readable media of claim 6, wherein the portfolio PF includes a portfolio portion PF3 comprising positions in CDS products denominated in a third currency, wherein calculating the first margin requirement comprises calculating based on an exchange rate FX31_UP for converting the third currency to the first currency; wherein calculating the second margin requirement comprises calculating based on an exchange rate FX31_DN for converting the third currency to the first currency, wherein FX31_UP is greater than FX31_DN, wherein calculating margin component MC1 comprises calculating margin component MC1 as a maximum of a set of values that includes the first margin component, the second margin component, a third margin component, and a fourth margin component, and wherein transmitting data representing the first currency margin requirement MR1 and the second currency margin requirement MR2 includes transmitting data representing a third currency margin requirement MR3, and wherein the executable instructions include instructions that, when executed, cause a computer system to perform operations that include calculating, based on the accessed data and on the exchange rates FX21_UP and FX31_DN, the third margin component in the first currency; calculating, based on the accessed data and on the exchange rates FX21_DN and FX31_UP, the fourth margin component in the first currency; calculating, based on the accessed data, a margin component MC23 in the third currency; and calculating the third currency margin requirement MR3 as a sum of the margin component MC23 and a portion of the margin component MC1 corresponding to the portfolio portion PF3.
- Claim: 11. 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 data describing positions of a multi-currency credit default swap (CDS) portfolio PF, the portfolio PF including a portfolio portion PF1 comprising positions in CDS products denominated in a first currency and a portfolio portion PF2 comprising positions in CDS products denominated in a second currency, calculating, based on the accessed data and on an exchange rate FX21_UP for converting the second currency to the first currency, a first margin component in the first currency, calculating, based on the accessed data and on an exchange rate FX21_DN for converting the second currency to the first currency, a second margin component in the first currency, wherein FX21_UP is greater than FX21_DN, calculating a margin component MC1 as a maximum of a set of values that includes the first margin component and the second margin component, calculating, based on the accessed data, a margin component MC21 in the first currency, calculating, based on the accessed data, a margin component MC22 in the second currency, calculating a first currency margin requirement MR1 as a sum of the margin component MC21 and a portion of the margin component MC1 corresponding to the portfolio portion PF1, calculating a second currency margin requirement MR2 as a sum of the margin component MC22 and a portion of the margin component MC1 corresponding to the portfolio portion PF2, and transmitting data representing the first currency margin requirement MR1 and the second currency margin requirement MR2.
- Claim: 12. The computer system of claim 11, wherein the margin component MC1 comprises a spread risk component, a jump-to-default component, and a jump-to-heath component.
- Claim: 13. The computer system of claim 12, wherein the margin component MC21 and the margin component MC22 each comprises an interest rate component and a liquidity charge component.
- Claim: 14. The computer system of claim 11, wherein the margin component MC21 and the margin component MC22 each comprises an interest rate component and a liquidity charge component.
- Claim: 15. The computer system of claim 11, wherein the portfolio PF includes a portfolio portion PF3 comprising positions in CDS products denominated in a third currency, wherein calculating the first margin requirement comprises calculating based on an exchange rate FX31_UP for converting the third currency to the first currency; wherein calculating the second margin requirement comprises calculating based on an exchange rate FX31_DN for converting the third currency to the first currency, wherein FX31_UP is greater than FX31_DN, wherein calculating margin component MC1 comprises calculating margin component MC1 as a maximum of a set of values that includes the first margin component, the second margin component, a third margin component, and a fourth margin component, and wherein transmitting data representing the first currency margin requirement MR1 and the second currency margin requirement MR2 includes transmitting data representing a third currency margin requirement MR3, and wherein the executable instructions include instructions that, when executed, cause a computer system to perform operations that include calculating, based on the accessed data and on the exchange rates FX21_UP and FX31_DN, the third margin component in the first currency; calculating, based on the accessed data and on the exchange rates FX21_DN and FX31_UP, the fourth margin component in the first currency; calculating, based on the accessed data, a margin component MC23 in the third currency; and calculating the third currency margin requirement MR3 as a sum of the margin component MC23 and a portion of the margin component MC1 corresponding to the portfolio portion PF3.
- Current International Class: 06
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