发明申请
US20110145117A1 Clearing System That Determines Settlement Prices of Derivatives in Financial Portfolios
审中-公开
基本信息:
- 专利标题： Clearing System That Determines Settlement Prices of Derivatives in Financial Portfolios
- 专利标题（中）：确定金融投资组合衍生工具结算价格的清算制度
- 申请号：US12638810 申请日：2009-12-15
- 公开(公告)号：US20110145117A1 公开(公告)日：2011-06-16
- 发明人： Kevin Fallon , Ketan Patel , Moody Hadi , Michal Koblas , Dipanker Bose , Simon Evans
- 申请人： Kevin Fallon , Ketan Patel , Moody Hadi , Michal Koblas , Dipanker Bose , Simon Evans
- 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： G06Q40/00
- IPC分类号： G06Q40/00 ; G06Q10/00
摘要：
Methods, systems and apparatuses are described for credit default swap (CDS) settlement pricing. The method includes receiving at least quoted prices and/or executed prices, and using them to calculate a settlement price of CDSs in a portfolio. The calculation of the settlement price may also consider other information, such as recovery rate, hazard rate function, etc. The invention also may include an electronic trading platform that is fully integrated with a central counterparty clearing facility for CDSs.
摘要（中）：
描述信用违约掉期（CDS）结算定价的方法，系统和设备。 该方法包括至少收到报价和/或执行价格，并使用它们来计算投资组合中CDS的结算价格。 结算价格的计算也可以考虑其他信息，如回收率，风险率函数等。本发明还可以包括与CDS的中央对方清算设施完全集成的电子交易平台。