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1. 发明申请

US20110307369A1 FACTORIZATION OF INTEREST RATE SWAP VARIATION 审中-公开
标题翻译：利率交换的变化
公开(公告)号：US20110307369A1
公开(公告)日：2011-12-15
申请号：US13213703
申请日：2011-08-19
申请人： Keith Alan Anguish , Sunil Kiran Cutinho , Dmitriy Glinberg , Suneel Iyer , Dale Michaels , Ketan B. Patel
发明人： Keith Alan Anguish , Sunil Kiran Cutinho , Dmitriy Glinberg , Suneel Iyer , Dale Michaels , Ketan B. Patel
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q40/04
摘要： Methods are described for processing and clearing derivative products such as interest rate swaps (IRSs). A swap value factor (SVF) may be generated to calculate the mark-to-market value of an IRS. The SVF may be a function of interest rates derived from a yield curve. Cash flow may be generated between the buyer and the seller to reflect the change in the market price of the derivative, i.e., the mark-to-market process. The results of a cleared swap may be used to determine or alter the margin deposit required by the buyer or seller.
摘要翻译：描述了处理和清算衍生产品的方法，如利率互换（IRS）。可以生成交换值因子（SVF）来计算IRS的市值。 SVF可以是从收益率曲线得到的利率的函数。买方和卖方之间可能产生现金流，以反映衍生工具的市场价格变化，即市场上市流程。清算互换的结果可用于确定或更改买方或卖方所需的保证金。

2. 发明申请

US20080249958A1 FACTORIZATION OF INTEREST RATE SWAP VARIATION 有权
标题翻译：利率交换的变化
公开(公告)号：US20080249958A1
公开(公告)日：2008-10-09
申请号：US11950117
申请日：2007-12-04
申请人： Keith Alan Anguish , Sunil Kiran Cutinho , Dmitriy Glinberg , Suneel Iyer , Dale Michaels , Ketan B. Patel
发明人： Keith Alan Anguish , Sunil Kiran Cutinho , Dmitriy Glinberg , Suneel Iyer , Dale Michaels , Ketan B. Patel
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q40/04
摘要： Methods are described for processing and clearing derivative products such as interest rate swaps (IRSs). A swap value factor (SVF) may be generated to calculate the mark-to-market value of an IRS. The SVF may be a function of interest rates derived from a yield curve. Cash flow may be generated between the buyer and the seller to reflect the change in the market price of the derivative, i.e., the mark-to-market process. The results of a cleared swap may be used to determine or alter the margin deposit required by the buyer or seller.
摘要翻译：描述了处理和清算衍生产品的方法，如利率互换（IRS）。可以生成交换值因子（SVF）来计算IRS的市值。 SVF可以是从收益率曲线得到的利率的函数。买方和卖方之间可能产生现金流，以反映衍生工具的市场价格变化，即市场上市流程。清算互换的结果可用于确定或更改买方或卖方所需的保证金。

3. 发明授权

US08024255B2 Factorization of interest rate swap variation 有权
标题翻译：利率互换变动的因式分解
公开(公告)号：US08024255B2
公开(公告)日：2011-09-20
申请号：US11950117
申请日：2007-12-04
申请人： Keith A. Anguish , Sunil K. Cutinho , Dmitriy Glinberg , Suneel Iyer , Dale Michaels , Ketan B. Patel
发明人： Keith A. Anguish , Sunil K. Cutinho , Dmitriy Glinberg , Suneel Iyer , Dale Michaels , Ketan B. Patel
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q40/04
摘要： Methods are described for processing and clearing derivative products such as interest rate swaps (IRSs). A swap value factor (SVF) may be generated to calculate the mark-to-market value of an IRS. The SVF may be a function of interest rates derived from a yield curve. Cash flow may be generated between the buyer and the seller to reflect the change in the market price of the derivative, i.e., the mark-to-market process. The results of a cleared swap may be used to determine or alter the margin deposit required by the buyer or seller.
摘要翻译：描述了处理和清算衍生产品的方法，如利率互换（IRS）。可以生成交换值因子（SVF）来计算IRS的市值。 SVF可以是从收益率曲线得到的利率的函数。买方和卖方之间可能产生现金流，以反映衍生工具的市场价格变化，即市场上市流程。清算互换的结果可用于确定或更改买方或卖方所需的保证金。

4. 发明申请

US20060059067A1 System and method of margining fixed payoff products 有权
标题翻译：固定收益产品保证金的制度和方法
公开(公告)号：US20060059067A1
公开(公告)日：2006-03-16
申请号：US11030849
申请日：2005-01-07
申请人： Dmitriy Glinberg , Tae Yoo , Dale Michaels , Edward Gogol
发明人： Dmitriy Glinberg , Tae Yoo , Dale Michaels , Edward Gogol
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q20/102 , G06Q40/00 , G06Q40/04 , G06Q40/08
摘要： A system and method is disclosed for determining performance bonds related to fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the particular value of the underlying event. The worst outcome of the overall portfolio, which may contain more than one instrument, is calculated. This permits the portfolio to have both long and short positions on the same underlying event and offsets, e.g. long (bought but not closed out) and short (sold but not closed out) positions, among instruments in the portfolio are factored in. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, an single events with multiple outcomes, each with a probability thereof. This universe is implemented in a matrix probabilities on different outcomes, also referred to as “strikes.” Each strike/outcome then has an associated price and probability, typically factored together as single value reflective of both. Events with low probability will have low values, resulting in a lower margin requirement, as will be explained below. The margin requirement/performance bond is then set equal to the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability of the outcome.
摘要翻译：公开了一种用于确定与固定收益产品相关的履约保证金的系统和方法，即基于底层事件的结果而支付固定金额的合约，而不管基础事件的特定价值如何。计算可能包含多个仪器的整体投资组合的最糟糕的结果。这允许投资组合在相同的底层事件和偏移量上具有长仓和短仓。长期（买入但并非封闭）和短期（已出售但未结算）的头寸，投资组合中的工具都被考虑在内。构建了一个结果的宇宙，包括具有单一结果的单一事件及其概率，单个事件与多个结果，每个都有概率。这个宇宙是以不同结果的矩阵概率来实现的，也称为“罢工”。每个罢工/结果都具有相关的价格和概率，通常被认为是反映两者的单一价值。低概率的事件将具有较低的价值，导致较低的保证金要求，如下所述。然后将保证金要求/履约保证金设置为等于投资组合对潜在事件的任何可能结果所能承受的最大损失的金额，并根据结果的可能性进行调整。

5. 发明申请

US20060265296A1 System and method for activity based margining 有权
公开(公告)号：US20060265296A1
公开(公告)日：2006-11-23
申请号：US11030815
申请日：2005-01-07
申请人： Dmitriy Glinberg , Tae Yoo , Jodi Abudarham , Dale Michaels
发明人： Dmitriy Glinberg , Tae Yoo , Jodi Abudarham , Dale Michaels
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q40/00 , G06Q40/025 , G06Q40/06
摘要： A system and method for factoring in a trader's trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders).

6. 发明申请

US20060059069A1 System and method for hybrid spreading for flexible spread participation 有权
公开(公告)号：US20060059069A1
公开(公告)日：2006-03-16
申请号：US11031182
申请日：2005-01-07
申请人： Dmitriy Glinberg , Tae Yoo , Dale Michaels , Edward Gogol
发明人： Dmitriy Glinberg , Tae Yoo , Dale Michaels , Edward Gogol
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q40/00 , G06Q40/06
摘要： A system and method for risk analysis of a portfolio of derivative products is disclosed which is conducted based on a set of flexible rules. The system and method allow creating predefined sets of products for the purpose of future risk offsets. If a futures trade as a subset of that set of products that met a threshold level, then the subset is assigned the offset value (or a pro rata or other portion of the offset value) of the predefined set. For example, assume that the predefined set consists of one S&P 500 futures, one NASDAQ futures, one S&P Midcap 400 futures and one Russell 1000 futures and the threshold is three. If the futures trader holds any three of those four futures, the three futures can be grouped, assigned an offset value, and this group can be used as one asset for purpose of further risk offsets.

7. 发明申请

US20060277134A1 System and method for using diversification spreading for risk offset 有权
公开(公告)号：US20060277134A1
公开(公告)日：2006-12-07
申请号：US11504379
申请日：2006-08-15
申请人： Dmitriy Glinberg , Edward Gogol , Dale Michaels
发明人： Dmitriy Glinberg , Edward Gogol , Dale Michaels
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q40/00
摘要： A system and method for analyzing a portfolio that includes a variety of diverse products is disclosed. The system and method determines the extent or non-extent of the correlation between the products within the portfolio in order to offset the risk associated with the portfolio. Thus, if the products within the portfolio are determined to be diverse and uncorrelated, a credit can be assigned or applied to the portfolio or an initial margin associated with the portfolio in order to determine a diversification spread based performance bond or margin that reflects the determined risk of the portfolio.

8. 发明申请

US20060059068A1 System and method for hybrid spreading for risk management 有权
标题翻译：用于风险管理的混合扩散系统和方法
公开(公告)号：US20060059068A1
公开(公告)日：2006-03-16
申请号：US11030869
申请日：2005-01-07
申请人： Dmitriy Glinberg , Tae Yoo , Dale Michaels , Edward Gogol
发明人： Dmitriy Glinberg , Tae Yoo , Dale Michaels , Edward Gogol
IPC分类号： G06Q40/00
CPC分类号： G06Q40/08 , G06Q40/00 , G06Q40/04 , G06Q40/06
摘要： A risk management system and method is disclosed which utilizes a flexible and configurable set of spreading techniques which may be incorporated into existing risk management software to enhance functionality, flexibility and accuracy. In the disclosed embodiments, multiple different types of spreading are combined to allow for a more accurate assessment of risk. In one exemplary embodiment, a subset of the derivative products held by a futures trader are first analyzed by the scanning based spreading methodology. Typically, futures products in the same class of products (e.g. equity futures or agricultural futures) would be analyzed together by the scanning based spreading methodology. Then an average delta would be calculated for that subset. Using that delta, that subset would then be analyzed in relation to the remaining derivative products(not in the subset) using a delta based spreading methodology. The delta for the subset could be computed in a variety of ways including scaling the deltas for each product, tying the delta to a fixed time period or other methods.
摘要翻译：公开了一种风险管理系统和方法，该风险管理系统和方法利用可以并入现有风险管理软件的灵活且可配置的一组扩展技术，以增强功能性，灵活性和准确性。在所公开的实施例中，组合多种不同类型的扩展以允许更准确地评估风险。在一个示例性实施例中，由期货交易者持有的衍生产品的子集首先通过基于扫描的扩展方法进行分析。通常，同一类产品（例如股票期货或农业期货）中的期货产品将通过基于扫描的扩展方法进行一起分析。然后计算该子集的平均增量。使用该增量，然后将使用基于增量的扩展方法来分析该子集相对于剩余的衍生产品（而不是子集）。可以以各种方式计算子集的增量，包括缩放每个产品的增量，将增量绑定到固定时间段或其他方法。

9. 发明授权

US08442896B2 System and method for flexible spread participation 有权
标题翻译：灵活扩展参与的制度和方法
公开(公告)号：US08442896B2
公开(公告)日：2013-05-14
申请号：US13590505
申请日：2012-08-21
申请人： Dmitriy Glinberg , Tae S. Yoo , Dale Michaels , Edward M. Gogol
发明人： Dmitriy Glinberg , Tae S. Yoo , Dale Michaels , Edward M. Gogol
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q40/00 , G06Q40/06
摘要： A system and method for risk analysis of a portfolio of derivative products is disclosed which is conducted based on a set of flexible rules. The system and method allow creating predefined sets of products for the purpose of future risk offsets. If a futures trade as a subset of that set of products that met a threshold level, then the subset is assigned the offset value (or a pro rata or other portion of the offset value) of the predefined set. For example, assume that the predefined set consists of one S&P 500 futures, one NASDAQ futures, one S&P Midcap 400 futures and one Russell 1000 futures and the threshold is three. If the futures trader holds any three of those four futures, the three futures can be grouped, assigned an offset value, and this group can be used as one asset for purpose of further risk offsets.
摘要翻译：披露了基于一套灵活规则进行衍生产品组合风险分析的系统和方法。系统和方法允许创建预定义的产品集，以期将来的风险抵消。如果期货交易作为满足阈值水平的该组产品的子集，则该子集被分配预定义集合的偏移值（或偏移值的比例或其他部分）。例如，假设预定义的集合包含一个标准普尔500期货，一个纳斯达克期货，一个标普中盘400期货和一个罗素1000期货，阈值为三。如果期货交易员持有这四个期货中的三个期货，则可以对三个期货进行分组，分配一个抵消价值，该组可作为一个资产用于进一步的风险抵消。

10. 发明授权

US08224742B2 Processing binary options in future exchange clearing 有权
标题翻译：处理未来交换清算中的二进制选项
公开(公告)号：US08224742B2
公开(公告)日：2012-07-17
申请号：US12403193
申请日：2009-03-12
申请人： Edward Gogol , Dmitriy Glinberg , Dale Michaels
发明人： Edward Gogol , Dmitriy Glinberg , Dale Michaels
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q20/042 , G06Q20/10 , G06Q20/102 , G06Q20/108 , G06Q20/1085 , G06Q20/40 , G06Q40/00 , G06Q40/02 , G06Q40/025 , G06Q40/06
摘要： Systems and methods are disclosed for processing binary options (also referred to as digital options) in existing clearing systems, such as futures clearing systems. The binary option is treated, or processed, similar to standard options on a non-tradeable cash-settled underlying futures contract. A hypothetical instrument, referred to as a book instrument is created to facilitate clearing of the binary option. The book instrument has an expiration date after the expiration of the binary option, such as the day after the expiration of the binary option. For each binary option that expires in the money, a transaction is created for the book instrument future. The underlying book future has an assigned price that is a fixed amount less that the final price for the underlying statistical or actual value of the binary option at expiration. Transactions are loaded in the clearing system and processed and all positions are liquidated. Options exercise and assignment processing is performed in the clearing system as well as an associated clearing firm bookkeeping system.
摘要翻译：公开了用于处理现有结算系统（例如期货结算系统）中的二元期权（也称为数字期权）的系统和方法。二元期权在不可交易的现金结算的基础期货合约上处理或处理与标准期权相似。创建一种称为书本工具的假设工具，以便于清除二进制选项。书籍工具在二进制选项到期后有到期日，例如二进制选项到期之日。对于在货币中到期的每个二进制选项，将为书工具未来创建一个交易。基础图书未来的分配价格是一个固定的金额，少于二值期权到期的基本统计或实际值的最终价格。交易在清算系统中加载并处理，所有仓位都被清算。期权执行和转让处理在结算系统以及相关的结算公司簿记系统中执行。

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