A clearing system that determines settlement prices of...

Details A clearing system that determines settlement prices of... A clearing system that determines settlement prices of...

G - Physics

06

Q

G06Q 40/00 (2012.01)

Patent

CA 2725267

Methods, systems and apparatuses are described for credit default swap (CDS) settlement pricing. The method includes receiving at least quoted prices and/or executed prices, and using them to calculate a settlement price of CDSs in a portfolio. The calculation of the settlement price may also consider other information, such as recovery rate, hazard rate function, etc. The invention also may include an electronic trading platform that is fully integrated with a central counterparty clearing facility for CDSs.

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