Settling over-the-counter derivatives using synthetic spot...

Details Settling over-the-counter derivatives using synthetic spot... Settling over-the-counter derivatives using synthetic spot...

2011-08-30

2011-08-30

Shrestha, Bijendra K (Department: 3691)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

Reexamination Certificate

active

08010444

ABSTRACT:
Techniques and systems for settling over-the-counter financial instruments includes sampling over a periodic interval are disclosed. A volume weighted average price of the sampled process may be calculated and forward points may be applied to the volume weighted average priced to determine an associated spot exchange rate. Such a synthetic spot FX exchange rate may be published to subscribers. Over-the-counter financial instruments may establish delivery obligations according to the spot exchange rate. In the event where a number of transactions during the sampling period is less than a threshold, a midpoint of bids and asks associated with orders for the exchange traded financial instrument may be used to determine an average of the midpoint, to which the forward points may be applied to determine the spot exchange rate. Alternatively, the time-weighted average of the bid and ask orders during a periodic interval may be used in computing the volume-weighted average price.

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