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:
Aug. 13, 2013
Filed:
Aug. 15, 2011
Steven A. Youngren, Elgin, IL (US);
Derek Louis Sammann, Glencoe, IL (US);
John W. Labuszewski, Westmont, IL (US);
David Joseph Schulz, Highland Park, IL (US);
Scott A. Brusso, Oak Park, IL (US);
Steven A. Youngren, Elgin, IL (US);
Derek Louis Sammann, Glencoe, IL (US);
John W. Labuszewski, Westmont, IL (US);
David Joseph Schulz, Highland Park, IL (US);
Scott A. Brusso, Oak Park, IL (US);
Chicago Mercantile Exchange, Inc., Chicago, IL (US);
Abstract
Techniques and systems for settling over-the-counter financial instruments includes sampling over a periodic interval are disclosed. A volume weighted average price of the sampled process may be calculated and forward points may be applied to the volume weighted average priced to determine an associated spot exchange rate. Such a synthetic spot FX exchange rate may be published to subscribers. Over-the-counter financial derivatives may establish delivery obligations according to the spot exchange rate. In the event where a number of transactions during the sampling period is less than a threshold, a midpoint of bids and asks associated with orders for the exchange traded financial derivative may be used to determine an average of the midpoint, to which the forward points may be applied to determine the spot exchange rate. Alternatively, the time-weighted average of the bid and ask orders during a periodic interval may be used in computing the volume-weighted average price.