Patent №
US 8,024,255
Granted
2011-09-20
Filed 2007
Owner
CHICAGO MERCANTILE EXCHANGE, INC.
Lab
—
AI components
1
planning
Assignment
Recorded
Dataset
AIPD
2023_r1 edition
Application
11950117
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.
AI classification
Ownership
CHICAGO MERCANTILE EXCHANGE, INC.
assignment · 201940940
Assignors
ANGUISH, KEITH A., CUTINHO, SUNIL K., GLINBERG, DMITRIY, IYER, SUNEEL, MICHAELS, DALE, PATEL, KETAN B.
On an employer assignment, the assignors are typically the inventors.