Chicago Mercantile Exchange Inc.

Shadi Kamal Nasr

Fateen Sharaby

Nimisha Srivastava

Gunjan Sharma

A computer implemented method and associated hardware provides optimization of a delivery or settlement process for a group of portfolios. Data records, identified in a portfolio data structure, are indicative of obligations between participants. A graph data structure is generated and includes vertex data records representing the participants and edge data records representing the obligations between participants. The graph structure is analyzed for at least one circular path. A first edge washing out at least a portion of the circular path is identified. An update message is generated in response to the first edge.

Portfolio optimization and transaction generation

A computer implemented method and associated hardware provides optimization of a delivery or settlement process for a group of portfolios and calculation of a transaction suggestion to one or more participants. Data records, identified in a portfolio data structure, are indicative of obligations between participants. A weighted directed graph data structure is generated and includes vertex data records representing the participants and edge data records representing the obligations between participants. The weighted directed graph structure is analyzed for at least one series of multiple vertex data records or multiple edge data records. A proposed edge associated with a first vertex of the series and a second vertex of the at least one series is identified. A report is generated that describes at least one transaction in response to the proposed edge associated with the first vertex of the series and the second vertex of the series for the at least one of the participants.

A computer implemented method for optimizing a delivery or settlement process for a plurality of portfolios of a plurality of participants. Data records indicative of obligations between the plurality of participants are identified. A weighted directed graph data structure is generated that comprises vertex data records representing the plurality of participants and edge data records representing the obligations between the participants. All paths of edge data records where a vertex data record is reachable from itself in the weighted directed graph data structure are identified. The data records indicative of obligations between the plurality of participants are altered based on the identified paths.

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Brooklyn, NY, United States of America

Shadi Kamal Nasr