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:
Jul. 12, 2022
Filed:
Apr. 16, 2018
Chicago Mercantile Exchange Inc., Chicago, IL (US);
Mark Andrew Rogerson, London, GB;
Kimberly Joy Eyers, Chicago, IL (US);
David Edward Bixby, Jr., Arlington Heights, IL (US);
Agha Irtaza Mirza, New York, NY (US);
Chicago Mercantile Exchange Inc., Chicago, IL (US);
Abstract
The disclosed embodiments relate to computing a forward interest rate for a select future time period subsequent to a current date, such as 1 month, 3 month, 6 month or 12 month term, utilizing data observed or otherwise derived from the trading of futures contracts having short term interest rate based underliers, e.g. based on overnight interest rates, and, in one embodiment, are integrated with an electronic transaction processing system, e.g. an electronic trading system, to access data indicative of the trading thereof, and therefore avoid reliance upon subjective/opinion inputs. Generally, the disclosed embodiments generate a model of expected interest rates for every day of the time period for which a forward interest rate is desired based on a set of interest rate futures contract whose expiration periods cover the period. The disclosed embodiments enable automated determination of a stable, replicatable and risk-free short term forward reference rate which further eliminates the inherent issues with LIBOR discussed above.