US2014258074A1PendingUtilityA1
Zero Coupon Conversion Factor Calculation
Est. expiryNov 8, 2031(~5.3 yrs left)· nominal 20-yr term from priority
G06Q 40/08G06Q 40/04
62
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Claims
Abstract
The disclosed embodiments relate to a system which calculates a conversion factor (CF) based upon a zero percent (0%) futures contract standard. The zero percent futures contract standard may be used in the context of futures or forwards based upon coupon bearing debt securities including Treasuries, Treasury Inflation Protected Securities (TIPS), agencies, corporates, municipals, or any fixed income security. The system also facilitates listing, trading, and settlement of an interest rate futures contract that sets forth such a zero percent futures contract standard. The system may be configured for both interest rate futures contracts utilizing a nonzero percent futures contract standard and interest rate futures contract utilizing a zero percent futures contract standard. The system may be configured to calculate an invoice amount for the interest rate futures contract to be paid in exchange for the delivery of the one of the set of eligible interest rate or debt securities and instruments.
Claims
exact text as granted — not AI-modifiedWe claim:
1 . A computer implemented method comprising:
calculating, by a processor, a conversion factor of one plus the sum of a coupon stream over a remaining term to maturity for a futures contract standard of zero; and listing, by the processor, a futures contract available for trading, wherein the futures contract specifies a delivery obligation which may be satisfied by delivery within a specified delivery period and the futures contract specifies the futures contract standard of zero.
2 . The computer implemented method of claim 1 , further comprising:
identifying a contract daily settlement price and the futures contract standard of zero for one of a set of eligible interest rate or debt securities; and calculating an invoice amount for the futures contract to be paid in exchange for the delivery of the one of the set of eligible interest rate or debt securities, wherein the invoice amount is calculated using the conversion factor for the futures contract standard of zero and the contract daily settlement price.
3 . The computer implemented method of claim 1 , wherein the conversion factor (CF) is calculated according to:
CF
=
1
+
[
coupon
×
(
n
+
z
12
)
]
,
wherein the coupon is an annual coupon rate of a coupon bearing debt security, n is a number of whole years from a delivery month to a maturity date and z is a number of whole months between n and the maturity date.
4 . The computer implemented method of claim 1 , wherein the conversion factor is a first conversion factor, the method further comprising:
selecting a second conversion factor for a nonzero futures contract standard.
5 . The computer implemented method of claim 4 , further comprising:
calculating an invoice amount for a futures contract, wherein the invoice amount is calculated using a first algorithm for the nonzero futures contract standard and a second algorithm for the zero futures contract standard.
6 . The computer implemented method of claim 1 , wherein the coupon stream is associated with an agency bond, a corporate bond, a supranational bond or a municipal bond.
7 . The computer implemented method of claim 1 , further comprising:
receiving a request to exchange the futures contract from a selling entity to a buying entity, wherein the request triggers identification of a contract daily settlement price.
8 . The computer implemented method of claim 7 , wherein an invoice amount is calculated using the conversion factor for the futures contract standard of zero and the contract daily settlement price
9 . An apparatus comprising:
a memory configured to store a first conversion factor for a zero futures contract standard and a second conversion factor for a nonzero futures contract standard; and a processor configured to calculate an invoice amount for a futures contract, wherein the invoice amount is calculated using a first algorithm when the futures contract standard is a nonzero value and a second algorithm when the futures contract standard is a zero value.
10 . The apparatus of claim 9 , wherein the zero futures contract standard and the nonzero futures contract standard are associated with a coupon bearing debt security.
11 . The apparatus of claim 10 , wherein the coupon bearing debt security is a treasury security.
12 . The apparatus of claim 10 , wherein the second algorithm includes calculation of the second conversion factor (CF 2 ) as:
CF
2
=
1
+
[
coupon
×
(
n
+
z
12
)
]
,
wherein the coupon is an annual coupon rate of the coupon bearing debt security, n is a number of whole years from a delivery month to a maturity date, and z is a number of whole months between n and the maturity date.
13 . The apparatus of claim 10 , wherein the first algorithm includes calculation of the first conversion factor (CF 1 ) as:
CF
1
=
1
(
1
+
y
2
)
v
6
×
[
(
coupon
2
)
+
c
+
(
coupon
y
)
(
1
-
c
)
]
-
(
coupon
2
)
×
6
-
v
6
,
wherein y is the futures contract standard, the coupon is an annual coupon rate of the coupon bearing debt security, v depends on a type of the coupon bearing debt security,
c
=
1
(
1
+
y
2
)
2
n
,
when
z
<
7
,
c
=
1
(
1
+
y
2
)
(
2
n
+
1
)
when z≧7, n is a number of whole years from a delivery month to a maturity date, and z is a number of whole months between n and the maturity date.
14 . The apparatus of claim 9 , wherein the processor is configured to receive a request to exchange the futures contract from a selling entity to a buying entity, wherein the request triggers identification of a contract daily settlement price for the coupon bearing debt security.
15 . The apparatus of claim 14 , wherein the invoice amount is a function of the contract daily settlement price for the coupon bearing debt security.
16 . The apparatus of claim 9 , wherein the futures contract is an interest rate contract.
17 . The apparatus of claim 16 , wherein the processor is further configured to calculate an accrued interest amount based on a previous interest payment date and determine a cash settlement based on the accrued interest and the invoice amount.
18 . The apparatus of claim 9 , wherein the processor is configured to calculate the futures contract standard based on a prevailing interest rate, wherein either the first conversion factor or the second conversion factor is selected based on the prevailing interest rate or the futures contract standard.
19 . An apparatus comprising:
a processor configured to calculate a conversion factor of one plus the sum of a coupon stream over a remaining term to maturity for a futures contract standard of zero, and the processor further configured to list a futures contract available for trading, wherein the futures contract specifies a delivery obligation which may be satisfied by delivery within a specified delivery period and the futures contract specifies the futures contract standard of zero.
20 . The apparatus of claim 19 , wherein the processor is configured to identify a contract daily settlement price and the futures contract standard of zero for one of a set of eligible interest rate or debt securities and calculate an invoice amount for the futures contract to be paid in exchange for the delivery of the one of the set of eligible interest rate or debt securities, wherein the invoice amount is calculated using the conversion factor for the futures contract standard of zero and the contract daily settlement price.
21 . The apparatus of claim 19 , wherein the conversion factor (CF) is calculated according to:
CF
=
1
+
[
coupon
×
(
n
+
z
12
)
]
,
wherein the coupon is an annual coupon rate of a coupon bearing debt security, n is a number of whole years from a delivery month to a maturity date and z is a number of whole months between n and the maturity date.Cited by (0)
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