公开(公告)号：US20180068390A1

公开(公告)日：2018-03-08

申请号：US15809803

申请日：2017-11-10

申请人： Donald R Wilson, JR. ,  YuHua Yu ,  Michael A Riddle, JR.

发明人： Donald R Wilson, JR. ,  YuHua Yu ,  Michael A Riddle, JR.

IPC分类号： G06Q40/04

CPC分类号： G06Q40/04

摘要： A system for electronically trading a rate-negotiated, standardized-coupon financial instrument said system including a memory receiving a coupon negotiated between two parties. At least one forward curve and a discount curve are implied or approximated by at least one processor in communication with the memory to be economically equivalent to the negotiated coupon. An economically equivalent value for a swap with a different coupon is determined by at least one processor. The economically equivalent value can comprise the net present value (NPV) of the interest rate swap written as the difference between the present values of two interest payment legs. In the case of a vanilla swap the two legs correspond to fixed coupon payments and floating coupon payments in the case of a basis swap, one leg is the floating coupon payments with a reference rate plus a fixed coupon, and the other leg is floating coupon payments with a different reference rate.