Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2007-11-20
2010-11-23
Kazimi, Hani (Department: 3691)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
Reexamination Certificate
active
07840483
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 derivatives 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 derivative 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.
REFERENCES:
patent: 7496531 (2009-02-01), Gastineau et al.
patent: 2002/0042765 (2002-04-01), Dawson
patent: 2002/0161693 (2002-10-01), Greenwald
patent: 2003/0093360 (2003-05-01), May
patent: 2004/0138983 (2004-07-01), Nishimaki
patent: 2005/0080734 (2005-04-01), Lynch et al.
patent: 2006/0218075 (2006-09-01), Feldman et al.
patent: 2006/0224492 (2006-10-01), Pinkava
patent: 2006/0253367 (2006-11-01), O'Callahan et al.
patent: 2007/0038550 (2007-02-01), Caille et al.
patent: 2007/0118459 (2007-05-01), Bauerschmidt et al.
patent: 2008/0120246 (2008-05-01), Sopinsky et al.
patent: 2009/0048982 (2009-02-01), Payton et al.
Coggins et al.: Alogrithmic Trade Execution and Market Impact, 2004, IWIF 1, Melbourne, Australia, pp. 518-547.
Isberg, G: The Interbank Currency Swap Market, Monetary Bulletin 2002/3, pp. 32-35.
PCT International Search Report mailed Jan. 23, 2009, PCT/US 08/83883, 8 pages.
“Exchange rate,” Downloaded from Internet on Nov. 5, 2007, pp. 1-3, http://en.wikipedia.org/wiki/Exchange—rate.
“Derivative Instruments,” Downloaded from Internet on Nov. 5, 2007, pp. 1-8. Copyright 1997-2003 by Montego Data Limited.
Brusso Scott A
Labuszewski John W.
Sammann Derek Louis
Schulz David Joseph
Youngren Steven A
Banner & Witcoff , Ltd.
Chicago Mercantile Exchange Inc.
Kazimi Hani
Shrestha Bijendra K
LandOfFree
Settling over-the-counter derivatives using synthetic spot... does not yet have a rating. At this time, there are no reviews or comments for this patent.
If you have personal experience with Settling over-the-counter derivatives using synthetic spot..., we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Settling over-the-counter derivatives using synthetic spot... will most certainly appreciate the feedback.
Profile ID: LFUS-PAI-O-4230872