Conversion of over-the-counter swaps to standardized forward...

Details Conversion of over-the-counter swaps to standardized forward... Conversion of over-the-counter swaps to standardized forward...

G - Physics

06

Q

G06Q 40/06 (2012.01)

Patent

CA 2707439

Systems, processes and methods are described for converting over-the- counter derivative products such as interest rate swaps (IRSs) to standardized forward swaps, such as centrally cleared interest rate swaps. The value of each leg of the over-the counter swap may be determined and compared to a value of a corresponding leg of the forward swap. A mark-to-market value may be determined as the difference between the values.

L'invention porte sur des systèmes, processus, et méthodes de conversion de produits dérivés hors cote tels que des swaps à taux d'intérêt (IRSs) en swaps différés standards tels que des swaps à taux d'intérêt à compensation centrale. La valeur de chaque jambe d'un swap hors cote peut être déterminée et comparée à la valeur de la jambe correspondante d'un swap différé. On peut déterminer la valeur au prix du marché comme étant la différence entre les valeurs.

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