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:
Jan. 28, 2014
Filed:
Apr. 13, 2009
Rami Shakarchi, London, GB;
Jonathan Rogers, London, GB;
Laurent Marsan, London, GB;
Barclays Capital Inc., New York, NY (US);
Abstract
In one aspect, the present invention comprises a method comprising: receiving data regarding bank rates and swap rates for two or more currencies; calculating a swap curve for each of the currencies; calculating signals for each of the swap curves; and based on the signals, taking a position with respect to each of the swap curves and currencies. In various embodiments, the method further comprises calculating a sub-index value for each of the currencies, the sub-index values based on returns for the positions; and weighting each sub-index value and calculating a value for an index, based on a combination of the sub-index values. In another aspect, the invention comprises: receiving data regarding the index; calculating a performance value for the index to be used in a derivative based on the index; and calculating an amount due to, or owed by, an investor in the derivative, based on the performance value.