| 主权项 |
1. A method comprising:
accessing, by a computer system, data corresponding to a portfolio that comprises m interest rate swaps, wherein m is an integer greater than one, wherein the accessed data comprises, for each of the interest rate swaps, a notional value and a fixed rate value, and wherein each of the interest rate swaps corresponds to a common tenor; calculating, by the computer system, parameters for a compressed swap having a risk value equivalent to a sum of risk values of the interest rate swaps, wherein the parameters include a compressed swap notional value NB, a compressed swap fixed rate value xB, and a compressed swap floating rate spread value c; determining, by the computer system and based at least in part on the compressed swap parameters, a performance bond requirement attributable to the interest rate swaps; comparing, by the computer system, the performance bond requirement to account data associated with a holder of the portfolio; and performing, by the computer system, one or more additional actions based on the comparing. |
