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1. 发明申请

US20110145117A1 Clearing System That Determines Settlement Prices of Derivatives in Financial Portfolios 审中-公开
标题翻译：确定金融投资组合衍生工具结算价格的清算制度
公开(公告)号：US20110145117A1
公开(公告)日：2011-06-16
申请号：US12638810
申请日：2009-12-15
申请人： Kevin Fallon , Ketan Patel , Moody Hadi , Michal Koblas , Dipanker Bose , Simon Evans
发明人： Kevin Fallon , Ketan Patel , Moody Hadi , Michal Koblas , Dipanker Bose , Simon Evans
IPC分类号： G06Q40/00 , G06Q10/00
CPC分类号： G06Q40/06 , G06Q30/0283 , G06Q40/00 , G06Q40/025
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.
摘要翻译：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。

2. 发明申请

US20100106633A1 VALUATION OF DERIVATIVE PRODUCTS 有权
标题翻译：衍生产品的估价
公开(公告)号：US20100106633A1
公开(公告)日：2010-04-29
申请号：US12260709
申请日：2008-10-29
申请人： Suneel Iyer , Keith Anguish , Moody Hadi , Ketan Patel
发明人： Suneel Iyer , Keith Anguish , Moody Hadi , Ketan Patel
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q40/00 , G06Q40/025
摘要： Disclosed are a method, apparatus, and computer-readable medium for determining the value of a derivative product over nonconsecutive periods. The derivative product may be an interest rate swap product, which, when exchanged traded, normally is valued on a mark-to-market basis over consecutive periods. The product may be valued using swap value factors and settlement values according to the methodology disclosed herein.
摘要翻译：公开了一种用于在非连续周期内确定衍生产品的值的方法，装置和计算机可读介质。衍生产品可以是利率互换产品，当交易交易时，通常在连续期间以市价计价。可以使用交换值因子和结算值根据本文公开的方法估价产品。

3. 发明申请

US20120041860A1 EVALUATION AND ADJUSTMENT OF SETTLEMENT VALUE CURVES 有权
标题翻译：评估和调整结算价值曲线
公开(公告)号：US20120041860A1
公开(公告)日：2012-02-16
申请号：US13278854
申请日：2011-10-21
申请人： Suneel Iyer , Moody Hadi , Ketan Patel
发明人： Suneel Iyer , Moody Hadi , Ketan Patel
IPC分类号： G06Q40/06
CPC分类号： G06Q40/04 , G06Q30/0283 , G06Q40/00
摘要： Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium.
摘要翻译：披露了一种对于具有可变tick率的交易所交易市场衍生产品（例如利率互换产品）提供折扣因子的方法。在一些实施例中，该方法包括提供一系列连续的结算值，它们共同表示衍生产品的结算值曲线。通过对于每个连续的一对结算值确定该对中的第一结算值与该对中的第二结算值之间的差是否超过阈值来评估该曲线。阈值表示从所述一对结算值导出的折扣因子结合其他参数将为负的值。在其他实施例中，所公开的发明包括装置和计算机可读介质。

4. 发明申请

US20100145841A1 EVALUATION AND ADJUSTMENT OF SETTLEMENT VALUE CURVES 有权
标题翻译：评估和调整结算价值曲线
公开(公告)号：US20100145841A1
公开(公告)日：2010-06-10
申请号：US12329228
申请日：2008-12-05
申请人： Suneel Iyer , Moody Hadi , Ketan Patel
发明人： Suneel Iyer , Moody Hadi , Ketan Patel
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q30/0283 , G06Q40/00
摘要： Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium.
摘要翻译：披露了一种对于具有可变tick率的交易所交易市场衍生产品（例如利率互换产品）提供折扣因子的方法。在一些实施例中，该方法包括提供一系列连续的结算值，它们共同表示衍生产品的结算值曲线。通过对于每个连续的一对结算值确定该对中的第一结算值与该对中的第二结算值之间的差是否超过阈值来评估该曲线。阈值表示从所述一对结算值导出的折扣因子结合其他参数将为负的值。在其他实施例中，所公开的发明包括装置和计算机可读介质。

5. 发明授权

US08280804B2 Evaluation and adjustment of settlement value curves 有权
标题翻译：沉降值曲线的评估和调整
公开(公告)号：US08280804B2
公开(公告)日：2012-10-02
申请号：US13278854
申请日：2011-10-21
申请人： Suneel Iyer , Moody Hadi , Ketan Patel
发明人： Suneel Iyer , Moody Hadi , Ketan Patel
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q30/0283 , G06Q40/00
摘要： Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium.
摘要翻译：披露了一种对于具有可变tick率的交易所交易市场衍生产品（例如利率互换产品）提供折扣因子的方法。在一些实施例中，该方法包括提供一系列连续的结算值，它们共同表示衍生产品的结算值曲线。通过对于每个连续的一对结算值确定该对中的第一结算值与该对中的第二结算值之间的差是否超过阈值来评估该曲线。阈值表示从所述一对结算值导出的折扣因子结合其他参数将为负的值。在其他实施例中，所公开的发明包括装置和计算机可读介质。

6. 发明授权

US08219472B2 Valuation of derivative products 有权
标题翻译：衍生产品估值
公开(公告)号：US08219472B2
公开(公告)日：2012-07-10
申请号：US12260709
申请日：2008-10-29
申请人： Suneel Iyer , Keith Anguish , Moody Hadi , Ketan Patel
发明人： Suneel Iyer , Keith Anguish , Moody Hadi , Ketan Patel
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q40/00 , G06Q40/025
摘要： Disclosed are a method, apparatus, and computer-readable medium for determining the value of a derivative product over nonconsecutive periods. The derivative product may be an interest rate swap product, which, when exchanged traded, normally is valued on a mark-to-market basis over consecutive periods. The product may be valued using swap value factors and settlement values according to the methodology disclosed herein.
摘要翻译：公开了一种用于在非连续周期内确定衍生产品的值的方法，装置和计算机可读介质。衍生产品可以是利率互换产品，当交易交易时，通常在连续期间以市价计价。可以使用交换值因子和结算值根据本文公开的方法估价产品。

7. 发明授权

US08060425B2 Evaluation and adjustment of settlement value curves 有权
标题翻译：沉降值曲线的评估和调整
公开(公告)号：US08060425B2
公开(公告)日：2011-11-15
申请号：US12329228
申请日：2008-12-05
申请人： Suneel Iyer , Moody Hadi , Ketan Patel
发明人： Suneel Iyer , Moody Hadi , Ketan Patel
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q30/0283 , G06Q40/00
摘要： Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium.
摘要翻译：披露了一种对于具有可变tick率的交易所交易市场衍生产品（例如利率互换产品）提供折扣因子的方法。在一些实施例中，该方法包括提供一系列连续的结算值，它们共同表示衍生产品的结算值曲线。通过对于每个连续的一对结算值确定该对中的第一结算值与该对中的第二结算值之间的差是否超过阈值来评估该曲线。阈值表示从所述一对结算值导出的折扣因子结合其他参数将为负的值。在其他实施例中，所公开的发明包括装置和计算机可读介质。

8. 发明申请

US20110161244A1 Clearing System That Determines Margin Requirements for Financial Portfolios 有权
标题翻译：确定财务组合的保证金要求的清算系统
公开(公告)号：US20110161244A1
公开(公告)日：2011-06-30
申请号：US12649267
申请日：2009-12-29
申请人： Suneel Iyer , Moody Hadi , Amy McCormick , Ketan Patel , Ankeet Dedhia
发明人： Suneel Iyer , Moody Hadi , Amy McCormick , Ketan Patel , Ankeet Dedhia
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q40/04
摘要： Methods, systems and apparatuses are described for calculating a performance bond amount for a portfolio including interest rate swaps. A risk calculation module (or risk processor) may assist in the calculation. In some examples, values, such as swap (DV01) dollar values and volatility values, and adjustments/factors, such as calendar charge adjustments and liquidity charge minimums, may be used to enhance the margin calculation. These values may be maintained and updated in various ways, including but not limited to, lookup tables, matrices, and other structures. The margin calculations may be used by an exchange or clearinghouse to request a portfolio holder to deposit additional funds towards a performance bond associated with the portfolio.
摘要翻译：描述了用于计算包括利率互换的投资组合的表现债券金额的方法，系统和装置。风险计算模块（或风险处理器）可以协助计算。在一些示例中，可以使用诸如掉期（DV01）美元价值和波动率值以及诸如日历收费调整和流动性费用最小值的调整/因素等值来增加边际计算。可以以各种方式维护和更新这些值，包括但不限于查找表，矩阵和其他结构。交易所或结算所可使用保证金计算，以要求投资组合持有人为与投资组合相关的履约保证金存入额外资金。

9. 发明申请

US20090248564A1 SETTLEMENT PRICING FOR CENTRALLY CLEARED SWAPS 审中-公开
标题翻译：中央清理车辆的安置价格
公开(公告)号：US20090248564A1
公开(公告)日：2009-10-01
申请号：US12324107
申请日：2008-11-26
申请人： Kevin Fallon , Ketan Patel , Moody Hadi , Suneel Iyer , Stephane Rio
发明人： Kevin Fallon , Ketan Patel , Moody Hadi , Suneel Iyer , Stephane Rio
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04
摘要： Methods are provided to determine a settlement price for an over-the-counter exchange traded financial instrument. The method includes receiving swap curves from a plurality of market makers and identifying missing data points in the curves. A repair mode may be determined for curves identified as missing data. The curves may be repaired based on the determined repair mode. The selected curves including the repaired curves may be blended together to derive a final settlement prices for each of a plurality of standardized centrally cleared swaps. The financial instruments may include Euro denominated interest rate swaps, U.S. denominated interest rate swaps, or OIS interest rate swaps.
摘要翻译：提供方法来确定非法交易所交易金融工具的结算价格。该方法包括从多个制造商接收交换曲线并识别曲线中的缺失数据点。可以为确定为缺失数据的曲线确定修复模式。可以基于所确定的修理模式修复曲线。可以将包括修复曲线的所选曲线混合在一起以得到多个标准化的集中清除互换中的每一个的最终结算价格。金融工具可能包括以欧元计价的利率互换，美国利率互换或OIS利率互换。

10. 发明申请

US20130013485A1 EVALUATION AND ADJUSTMENT OF SETTLEMENT VALUE CURVES 审中-公开
标题翻译：评估和调整结算价值曲线
公开(公告)号：US20130013485A1
公开(公告)日：2013-01-10
申请号：US13617412
申请日：2012-09-14
申请人： Suneel Iyer , Moody Hadi , Ketan Patel
发明人： Suneel Iyer , Moody Hadi , Ketan Patel
IPC分类号： G06Q40/04
CPC分类号： G06Q40/04 , G06Q30/0283 , G06Q40/00
摘要： Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium.
摘要翻译：披露了一种对于具有可变tick率的交易所交易市场衍生产品（例如利率互换产品）提供折扣因子的方法。在一些实施例中，该方法包括提供一系列连续的结算值，它们共同表示衍生产品的结算值曲线。通过对于每个连续的一对结算值确定该对中的第一结算值与该对中的第二结算值之间的差是否超过阈值来评估该曲线。阈值表示从所述一对结算值导出的折扣因子结合其他参数将为负的值。在其他实施例中，所公开的发明包括装置和计算机可读介质。

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