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:
Sep. 20, 2011
Filed:
Dec. 04, 2007
Keith A. Anguish, Homer Glen, IL (US);
Sunil K. Cutinho, Park Ridge, IL (US);
Dmitriy Glinberg, Northbrook, IL (US);
Suneel Iyer, Chicago, IL (US);
Dale Michaels, Westmont, IL (US);
Ketan B. Patel, Hanover Park, IL (US);
Keith A. Anguish, Homer Glen, IL (US);
Sunil K. Cutinho, Park Ridge, IL (US);
Dmitriy Glinberg, Northbrook, IL (US);
Suneel Iyer, Chicago, IL (US);
Dale Michaels, Westmont, IL (US);
Ketan B. Patel, Hanover Park, IL (US);
Chicago Mercantile Exchange, Inc., Chicago, IL (US);
Abstract
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.