-
公开(公告)号：US08639609B2
公开(公告)日：2014-01-28
申请号：US13315628
申请日：2011-12-09
申请人： James Boudreault , Jonathan Kronstein , Frederick Sturm , Tim Elliott , Tim Doar
发明人： James Boudreault , Jonathan Kronstein , Frederick Sturm , Tim Elliott , Tim Doar
摘要： A computer implemented method for determining a margin requirement for a market participant includes maintaining, by a processor associated with an exchange, an exchange account reflecting an exchange position resulting from a trade executed on the exchange for a product available via the exchange, the exchange account being maintained separately from a custodian bank account associated with a custodian bank, the custodian bank account reflecting a repo position resulting from a repo transaction facilitated by the custodian bank between the market participant and a counterparty to the repo transaction. The method further includes receiving data reflective of the repo position via a communication interface between the exchange account and the custodian bank account, and determining the margin requirement for the market participant based on the received data and the exchange position.
摘要翻译： 用于确定市场参与者的保证金要求的计算机实现方法包括：通过与交换机相关联的处理器维护反映交易所产生的交易所的兑换位置的交换账户，所述交换账户是由交易所上交易所产生的，可通过交易所获得的产品交换账户 与托管银行相关的托管银行账户分开存放，托管银行账户反映由托管银行在市场参与者与回购交易的交易对手之间促成的回购交易所产生的回购仓位。 该方法还包括经由交换账户和保管人银行账户之间的通信接口接收反映回购位置的数据，并且基于所接收的数据和交换位置来确定市场参与者的保证金要求。
-
公开(公告)号：US08639601B2
公开(公告)日：2014-01-28
申请号：US12791513
申请日：2010-06-01
IPC分类号： G06Q40/00
摘要： A calendar spread futures contract is a forward contract on the intermonth spread of futures contracts. The calendar spread futures contract can be independently traded and accounted for independent of the traditional roll periods of the complementary futures contracts. An open interest holder can hedge against price volatility in the related futures contracts that may occur prior to or during the roll period. In other words, the calendar spread futures contract locks in the current spread between the front-month contract and the first-deferred contract. Buying a calendar spread futures control is equivalent to buying the spread difference between the expiring contract and the second expiry. Selling a calendar spread futures contract is equivalent to selling the spread difference between the expiring contract and the second expiry.
摘要翻译： 日历传播期货合约是期货合约中间价差的远期合约。 日历传播期货合约可以独立交易，独立于互补期货合约的传统期限。 公开利息持有人可以对冲在期间或期间可能发生的相关期货合约的价格波动。 换句话说，日历传播期货合约锁定了当前在前月合约与首次递延合约之间的差价。 购买日历传播期货控制相当于购买到期合约与第二次到期之间的差价差额。 销售日历传播期货合约相当于出售到期合约与第二次到期之间的差价差额。
-
公开(公告)号：US20130282547A1
公开(公告)日：2013-10-24
申请号：US13452425
申请日：2012-04-20
IPC分类号： G06Q40/04
CPC分类号： G06Q40/04
摘要： An exchange computer system creates, trades and/or otherwise manages basis derivative contracts. At maturity, a basis derivative contract may have two components. A first component may require a party to the basis derivative contract to make or take some type of delivery related to a particular subject matter. A second component may require the basis derivative contractee to accept a further obligation under one or more derivative contracts related to the subject matter.
摘要翻译： 交换计算机系统创建，交易和/或以其他方式管理基础衍生合约。 到期时，基础衍生工具合约可能有两个组成部分。 第一个组成部分可能要求基础衍生工具合同的一方作出或采取与特定主题相关的某种类型的交付。 第二个组成部分可能要求基础衍生工具承包商根据与主题相关的一个或多个衍生合同接受进一步的义务。
-
公开(公告)号：US20130018768A1
公开(公告)日：2013-01-17
申请号：US13181177
申请日：2011-07-12
IPC分类号： G06Q40/00
摘要： The disclosed embodiments relate to determining a listing date, an expiration date and the cash settlement price of a futures contract, i.e. a Treasury Futures, for the delivery of the most recently issued, referred to as an on-the-run, US treasury Note of a particular maturity by reference to the U.S. Treasury Auction cycle and the difference between a resultant industry surveyed swap rate and a resultant industry surveyed swap spread of the respective tenors (time remaining until maturity) of the on-the-run treasury futures.
-
公开(公告)号：US08849712B2
公开(公告)日：2014-09-30
申请号：US13452425
申请日：2012-04-20
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04
摘要： An exchange computer system creates, trades and/or otherwise manages basis derivative contracts. At maturity, a basis derivative contract may have two components. A first component may require a party to the basis derivative contract to make or take some type of delivery related to a particular subject matter. A second component may require the basis derivative contractee to accept a further obligation under one or more derivative contracts related to the subject matter.
摘要翻译： 交换计算机系统创建，交易和/或以其他方式管理基础衍生合约。 到期时，基础衍生工具合约可能有两个组成部分。 第一个组成部分可能要求基础衍生工具合同的一方作出或采取与特定主题相关的某种类型的交付。 第二个组成部分可能要求基础衍生工具承包商根据与主题相关的一个或多个衍生合同接受进一步的义务。
-
6.发明申请COMPOUND OVERNIGHT BANK RATE ACCRUAL FUTURES CONTRACT AND COMPUTATION OF VARIATION MARGIN THEREFORE 审中-公开化合物银行汇率变动后期合约及其变动计算公开(公告)号：US20130179319A1
公开(公告)日：2013-07-11
申请号：US13348251
申请日：2012-01-11
申请人： Peter Barker , James Boudreault , Daniel Grombacher , Michael P. Kamradt , Frederick Sturm , John Labuszewski
发明人： Peter Barker , James Boudreault , Daniel Grombacher , Michael P. Kamradt , Frederick Sturm , John Labuszewski
IPC分类号： G06Q40/04
CPC分类号： G06Q40/04
摘要： The disclosed embodiments relate to an exchange-traded futures contract, guaranteed by a clearing house, and characterized by an embedded price dynamic comprising a compound accrual of a periodic interest rate up to a date on which trading therein is terminated, as specified in the futures contract terms and conditions. A trader may be allowed and/or enabled to take a position in a futures contract with respect to an interest bearing underlier with a variable interest rate and, thereby, minimize the number of transactions and attendant costs with respect to monitoring and correcting for divergences between the futures position and the notional interest rate swap exposure for which the futures position is intended to serve as a proxy. Variation margin for the position is computed based on an underlying reference interest rate as opposed to being computed solely on the basis of the end-of-business day price of the futures contract.
摘要翻译： 所披露的实施例涉及由结算所担保的交易所交易期货合约，其特征在于嵌入式价格动态，其包括在期货交易截止日期之前应计的定期利率的复合，如期货 合同条款和条件。 交易者可能被允许和/或能够在具有可变利率的利率低于期权的期货合约中担任职位，从而最大限度地减少交易数量和伴随成本，以监测和纠正两者之间的差异 期货头寸和期货头寸旨在作为代理人的名义利率掉期敞口。 基于相关参考利率计算头寸的变动幅度，而不是仅根据期货合约的工作结束日价格计算。
-
公开(公告)号：US20130018769A1
公开(公告)日：2013-01-17
申请号：US13183061
申请日：2011-07-14
申请人： James Boudreault , John Wiley , Frederick Sturm , Jonathan Kronstein , Suzanne Spain , Peter Barker
发明人： James Boudreault , John Wiley , Frederick Sturm , Jonathan Kronstein , Suzanne Spain , Peter Barker
IPC分类号： G06Q40/00
摘要： The disclosed embodiments relate to determining a listing date, an expiration date and the cash settlement price of a futures contract, i.e. a Treasury Futures, for the delivery of the most recently issued, referred to as an on-the-run, US treasury Note of a particular maturity by reference to the U.S. Treasury Auction cycle and the difference between a resultant industry surveyed swap rate and a resultant industry surveyed swap spread of the respective tenors (time remaining until maturity) of the on-the-run treasury futures.
摘要翻译： 所披露的实施例涉及确定期货合约（即国债期货）的上市日期，到期日期和现金结算价格，用于交付最近发行的，被称为在期的美国国库券 通过参考美国国库拍卖周期以及由此产生的行业调查掉期利率和相应行业之间的差异，调查了各自的期权（期限至到期的剩余时间）的期权交割期差异。
-
公开(公告)号：US20050154660A1
公开(公告)日：2005-07-14
申请号：US10756087
申请日：2004-01-13
申请人： Frederick Sturm , Ingrid Mele , Eugene Mueller
发明人： Frederick Sturm , Ingrid Mele , Eugene Mueller
摘要： A futures contract in accordance with the principles of the present invention is a cash-settled correspondent to a physical delivery commodity futures contract that mirrors a physical delivery mechanism utilized to settle the corresponding physical-delivery commodity futures contract. A futures contract of the present invention references a basket of deliverable-grade commodities corresponding to a deliverable basket for a corresponding physical-delivery commodity futures contract. A futures contract of the present invention obeys the same schedule for last trading day and expiration as a corresponding physical delivery commodity futures contract. A futures contract of the present invention has tick sizes that may or may not differ from a corresponding physical delivery commodity futures contract. A futures contract of the present invention converges to a final settlement value equal to a conversion-factor-weighted price of whichever member of the deliverable basket is cheapest to deliver into the corresponding physical delivery commodity futures contract.
摘要翻译： 根据本发明原则的期货合约是与物理交割商品期货合约相关的现金结算代理人，反映了用于结算相应物理交割商品期货合约的物理交割机制。 本发明的期货合约涉及一篮子相当于可交货篮子的可交货品，用于相应的实物交割商品期货合约。 本发明的期货合约符合上一交易日相同的期限，并作为相应的实物交割商品期货合约到期。 本发明的期货合约具有与相应的实物交割商品期货合约可能或可能不同的蜱尺寸。 本发明的期货合约收敛于最终结算价值，该最终结算价值等于可交割的篮子中最便宜的交易对象的转换因子加权价格，以交付相应的实物交割商品期货合约。
-
公开(公告)号：US08407129B2
公开(公告)日：2013-03-26
申请号：US13181177
申请日：2011-07-12
IPC分类号： G06Q40/00
摘要： The disclosed embodiments relate to determining a listing date, an expiration date and the cash settlement price of a futures contract, i.e. a Treasury Futures, for the delivery of the most recently issued, referred to as an on-the-run, US treasury Note of a particular maturity by reference to the U.S. Treasury Auction cycle and the difference between a resultant industry surveyed swap rate and a resultant industry surveyed swap spread of the respective tenors (time remaining until maturity) of the on-the-run treasury futures.
摘要翻译： 所披露的实施例涉及确定期货合约（即国债期货）的上市日期，到期日期和现金结算价格，用于交付最近发行的，被称为在期的美国国库券 通过参考美国国库拍卖周期以及由此产生的行业调查掉期利率和相应行业之间的差异，调查了各自的期权（期限至到期的剩余时间）的期权交割期差异。
-
公开(公告)号：US20130041843A1
公开(公告)日：2013-02-14
申请号：US13209070
申请日：2011-08-12
申请人： John Nyhoff , Frederick Sturm , John Labuszewski
发明人： John Nyhoff , Frederick Sturm , John Labuszewski
IPC分类号： G06Q40/00
摘要： Computer readable media, methods, and apparatuses may be configured for processing a plurality of yields, each of the yields corresponding to a different maturity date, determining a plurality of floating payments based on the yields, determining a plurality of fixed payments based on a fixed interest rate, determining a present value of the floating payments, determining a present value of the fixed payments, and generating a quote for a swap financial product as a function of the present value of the floating payments and the present value of the fixed payments.
-
-
-
-
-
-
-
-
-
搜索结果
17 条记录 (耗时 0.016 秒)
