Valuation of Derivative Products

摘要

Disclosed are a method, apparatus, and computer-readable medium for determining the value of a derivative product over nonconsecutive periods. The derivative product may be an interest rate swap product, which, when exchanged traded, normally is valued on a mark-to-market basis over consecutive periods. The product may be valued using swap value factors and settlement values according to the methodology disclosed herein.

主权项

1. An exchange computer system comprising:
a computer device configured to transmit orders for financial instruments to a match engine over a network; a market data module that collects market data. a processor programmed with computer-executable instructions to perform the steps comprising:
(a) retrieving an initial trade price from the market data module;(b) determining a first profit and loss value calculation as a function of an initial trade price, a first settlement value, and a first swap value factor;(c) determining, by the processor, a second profit and loss value calculation as a function of a next swap value factor and a consecutive pair of settlement values;(d) determining, by the processor, that an end of a desired period has been reached;(e) when the end of the desired period has been reached, determining a final profit and loss value calculation and creating an aggregated value by aggregating the first profit and loss value calculation, the second profit and loss value calculation and the final profit and loss value calculation; and(f) determining, by the processor, a value of a financial product based on the aggregated value.