Computer Implemented Systems and Methods for Evaluation and Adjustment of Settlement Value Curves

Abstract

Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium.

What is claimed is: 
     
         1 . A computer implemented apparatus comprising:
 a memory storing instructions, and   a processor coupled to the memory, wherein the instructions, when executed, cause the apparatus at least to perform:
 identifying a consecutive pair of settlement values for a financial instrument; 
 determining that a difference between a first settlement value in the pair and a second settlement value in the pair exceeds a threshold that represents a value at which a discount factor derived from the pair of settlement values would be negative; 
 setting the second settlement value to a new value, wherein a difference between the first settlement value and the new value does not exceed the threshold; and 
 calculating, by a processor, a mark-to-market settlement value for the derivative product based on the first settlement value and the new value. 
   
     
     
         2 . The computer implemented apparatus according to  claim 1 , wherein the instructions, when executed, cause the apparatus to calculate a discount factor based on the first settlement value and the new value. 
     
     
         3 . The computer implemented apparatus according to  claim 2 , wherein the instructions, when executed, cause the apparatus to generate a swap value factor based on the discount factor. 
     
     
         4 . The computer implemented apparatus according to  claim 3 , wherein the calculating of the mark-to-market settlement value is based on the swap value factor. 
     
     
         5 . The computer implemented apparatus according to  claim 1 , wherein the new value is a predetermined number of basis points below a value at which the second settlement value would cause a difference between the first settlement value and the second settlement value to exceed the threshold. 
     
     
         6 . A computer implemented method comprising:
 identifying a consecutive pair of settlement values for a financial instrument;   determining, by a processor executing software, that a difference between a first settlement value in the pair and a second settlement value in the pair exceeds a threshold that represents a value at which a discount factor derived from the pair of settlement values would be negative;   setting, by the processor executing software, the second settlement value to a new value, wherein a difference between the first settlement value and the new value does not exceed the threshold; and   calculating, by a processor executing software, a mark-to-market settlement value for the derivative product based on the first settlement value and the new value.   
     
     
         7 . The computer implemented method of  claim 6 , further comprising calculating, by a processor executing software, a discount factor based on the first settlement value and the new value. 
     
     
         8 . The computer implemented method of  claim 7 , further comprising generating, by a processor executing software, a swap value factor based on the discount factor. 
     
     
         9 . The computer implemented method of  claim 8 , wherein the calculating of the mark-to-market settlement value is based on the swap value factor. 
     
     
         10 . The computer implemented method of  claim 6 , wherein the new value is a predetermined number of basis points below a value at which the second settlement value would cause a difference between the first settlement value and the second settlement value to exceed the threshold. 
     
     
         11 . A tangible non-transitory computer readable medium storing executable instructions that, when executed by a computer processor, cause an apparatus at least to perform:
 identifying a consecutive pair of settlement values for a financial instrument;   determining that a difference between a first settlement value in the pair and a second settlement value in the pair exceeds a threshold that represents a value at which a discount factor derived from the pair of settlement values would be negative;   setting the second settlement value to a new value, wherein a difference between the first settlement value and the new value does not exceed the threshold; and   calculating, by a processor, a mark-to-market settlement value for the derivative product based on the first settlement value and the new value.   
     
     
         12 . The tangible non-transitory computer readable medium according to  claim 11 , wherein the instructions, when executed, cause the apparatus to calculate a discount factor based on the first settlement value and the new value. 
     
     
         13 . The tangible non-transitory computer readable medium according to  claim 12 , wherein the instructions, when executed, cause the apparatus to generate a swap value factor based on the discount factor. 
     
     
         14 . The tangible non-transitory computer readable medium according to  claim 13 , wherein the calculating of the mark-to-market settlement value is based on the swap value factor. 
     
     
         15 . The tangible non-transitory computer readable medium according to  claim 11 , wherein the new value is a predetermined number of basis points below a value at which the second settlement value would cause a difference between the first settlement value and the second settlement value to exceed the threshold.