SYSTEM AND METHOD FOR FLEXIBLE SPREAD PARTICIPATION,申请号US20090403743-传众专利搜索

SYSTEM AND METHOD FOR FLEXIBLE SPREAD PARTICIPATION

申请公布号：US2009177592(A1)

申请号：US20090403743

申请日期：2009.03.13

申请公布日期：2009.07.09

申请人：

CHICAGO MERCANTILE EXCHANGE, INC.

发明人：GLINBERG DMITRIY;YOO TAE S.;MICHAELS DALE A.;GOGOL EDWARD

分类号：G06Q40/00

主分类号：G06Q40/00

摘要：A system and method for risk analysis of a portfolio of derivative products is disclosed which is conducted based on a set of flexible rules. The system and method allow creating predefined sets of products for the purpose of future risk offsets. If a futures trade as a subset of that set of products that met a threshold level, then the subset is assigned the offset value (or a pro rata or other portion of the offset value) of the predefined set. For example, assume that the predefined set consists of one S&P 500 futures, one NASDAQ futures, one S&P Midcap 400 futures and one Russell 1000 futures and the threshold is three. If the futures trader holds any three of those four futures, the three futures can be grouped, assigned an offset value, and this group can be used as one asset for purpose of further risk offsets.