SYSTEM AND METHOD OF MARGINING FIXED PAYOFF PRODUCTS

摘要

A system and method is disclosed for determining performance bonds related to fixed payoff products, which payoff a fixed amount based on the outcome of an underlying event . A universe of outcomes is constructed including single events with single outcomes (306), and the probability thereof (310), and single events with multiple outcomes, each with a probability thereof. This universe is implemented in a matrix probabilities on different outcomes, also referred to as "strikes." Each strike/outcome then has an associated price and probability, typically factored together as single value reflective of both (314). Events with low probability will have low values, resulting in a lower margin requirement, as will be explained below. The margin requirement/performance bond is then set equal to the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability of the outcome (326).