| 摘要 |
<P>PROBLEM TO BE SOLVED: To provide a system and method suitable for reducing a curve risk. <P>SOLUTION: A bond matching system receives, from dealers, positions identifying bonds to be matched and including the PVPB of the bonds and an indication of a percentage deviation from the PVBP that a dealer is willing to accept in a matching bond. A matching engine performs a matching optimization during a run to match as many positions as possible and then calculates a series of hedge trades for each dealer to reduce the curve risk generated by matching with bonds having different maturity dates. The hedge trades are executed in a liquid external market such as a futures exchange. <P>COPYRIGHT: (C)2013,JPO&INPIT |
