The patent badge is an abbreviated version of the USPTO patent document. The patent badge does contain a link to the full patent document.
The patent badge is an abbreviated version of the USPTO patent document. The patent badge covers the following: Patent number, Date patent was issued, Date patent was filed, Title of the patent, Applicant, Inventor, Assignee, Attorney firm, Primary examiner, Assistant examiner, CPCs, and Abstract. The patent badge does contain a link to the full patent document (in Adobe Acrobat format, aka pdf). To download or print any patent click here.
Patent No.:
Date of Patent:
Dec. 24, 2019
Filed:
Apr. 29, 2016
International Swaps and Derivatives Association, Inc., New York, NY (US);
Tomo Kodama, New York, NY (US);
Nicholas Steele, New York, NY (US);
Alistair Smith, London, GB;
Athanassios Diplas, Chatham, NJ (US);
Oliver Frankel, New York, NY (US);
Kevin Krabbenhoeft, Greenwich, CT (US);
Robert Liu, New York, NY (US);
Hitanshi Thaman, New York, NY (US);
International Swaps and Derivatives Association, Inc., New York, NY (US);
Abstract
A Standard Initial Margin Model (SIMM) is calculated and provided as an overall initial margin for non-cleared derivatives. In certain embodiments, using at least one computing device, information associated with a plurality of risk classes is acquired, and a delta margin, a vega margin, and a curvature margin for each risk class based on the acquired information associated is determined. The at least one computing device calculates initial margin for each risk class by summing the respective delta margin, the respective vega margin, and the respective curvature margin. The at least one computing device determines whether product classes will be used in calculating the overall initial margin, calculates the overall initial margin using an equation based on the determination, and provides the overall initial margin. The amount of the initial margin call for the underlying derivatives contract may then be generated based on the calculated initial margin.