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    • 2. 发明申请
    • SYSTEM AND METHOD FOR REDUCING CURVE RISK
    • 降低曲线风险的系统和方法
    • US20120310811A1
    • 2012-12-06
    • US13483315
    • 2012-05-30
    • UMESH SUBHASH PATEL
    • UMESH SUBHASH PATEL
    • G06Q40/04
    • G06Q40/04
    • A bond matching system receives positions from dealers identifying bonds to be matched and including the price value per basis point (PVPB) of the bonds and an indication of a percentage deviation from PVBP that the dealer is willing to accept in a matching bond. A matching engine performs a matching optimization during a run to match as many positions as possible and then calculates a series of hedge trades for each dealer to reduce the curve risk generated by matching with bonds having different maturity dates. The hedge trades are executed in a liquid external market such as a futures exchange.
    • 债券匹配系统从经销商处获得要匹配的债券的位置,包括债券的每个基点的价格价值(PVPB),以及经销商愿意在匹配债券中接受的PVBP的百分比偏差的指示。 匹配引擎在运行期间执行匹配优化以匹配尽可能多的位置,然后计算每个经销商的一系列对冲交易以减少与具有不同到期日的债券匹配产生的曲线风险。 对冲交易是在一个流动的外部市场如期货交易所执行。