- 专利标题: COUPON BLENDING OF A SWAP PORTFOLIO
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申请号: US17119141申请日: 2020-12-11
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公开(公告)号: US20210097620A1公开(公告)日: 2021-04-01
- 发明人: Dhiraj Bawadhankar , Fateen Sharaby , Steve Dayon , Jack Callahan
- 申请人: Chicago Mercantile Exchange Inc.
- 申请人地址: US IL Chicago
- 专利权人: Chicago Mercantile Exchange Inc.
- 当前专利权人: Chicago Mercantile Exchange Inc.
- 当前专利权人地址: US IL Chicago
- 主分类号: G06Q40/06
- IPC分类号: G06Q40/06
摘要:
Systems and methods for blending a plurality of swaps may include determining a fixed rate for use in blending a plurality of swaps, each of the plurality of swaps having matching economics and a different associated fixed rate. A computing device may determine a first remnant swap for blending fixed rate components of the plurality of swaps using the fixed rate. In some cases, the computing device may determine second remnant swap for blending floating rate components of the plurality of swaps based on the first remnant swap.
公开/授权文献
- US11216885B2 Coupon blending of a swap portfolio 公开/授权日:2022-01-04
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