US2019130485A1PendingUtilityA1
Methods and systems for creating an interest rate swap volatility index and trading derivative products based thereon
Est. expiryJun 20, 2031(~4.9 yrs left)· nominal 20-yr term from priority
G06Q 40/06G06Q 40/04
58
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Claims
Abstract
Systems and methods for creating and disseminating an interest rate swap volatility index based on an underlying interest rate swaption, and for creating and trading derivative investment products based on the interest rate swap volatility index, are disclosed. In one aspect, an interest rate swap volatility index based on an underlying interest rate swaption is calculated. The interest rate swap volatility index may be accessed by a processor of a trading platform and a standardized, exchange traded derivative may be created based on the calculated interest rate swap volatility index. Information associated with the interest rate swap volatility index derivative may then be transmitted for display.
Claims
exact text as granted — not AI-modified1 .- 30 . (canceled)
31 . A computer-implemented method, comprising:
receiving a first data packet having a set of first data comprising maturity date data, strike data, and tenor data for a payer swaption; receiving a second data packet having a set of second data comprising maturity date data, strike data, and tenor data for a receiver swaption; generating a swaption volatility cube data structure having (i) a maturity date dimension configured to store the maturity date data for the payer swaption and the maturity date data for the receiver swaption, (ii) a tenor dimension configured to store the tenor data for the payer swaption and the tenor data for the receiver swaption, and (iii) a strike dimension configured to store the strike data for the payer swaption and the strike data for the receiver swaption, wherein each combination along the maturity date dimension, tenor dimension, and strike dimension corresponds to an implied volatility; converting at least some of the implied volatilities into prices using Black's formula; transforming the swaption volatility cube data structure into a two dimensional data structure by collapsing the strike dimension into a single point for each combination along the maturity date dimension and the tenor dimension; generating an interest rate swap volatility index in the two dimensional data structure by inputting the prices into an equation:
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where SWPN t R (K t ,T;T n ) (resp., SWPN t P (K i ,T;T n )) is a price of a receiver (resp., payer) swaption, struck at K i , expiring at T and with tenor extending up to time T n , and ΔK i =½(K i+1 −K i−1 ) for i≥1, ΔK 0 =(K 1 −K 0 ), ΔK M =(K M −K M−1 ), where K 0 and K M are lowest and highest available strike prices traded in a market, and M+1 is a total number of traded swaptions expiring at time T and with tenor extending up to time T n , where PVBP t (T 1 , . . . , T n ) is a price value of a basis point at time t of an interest rate swap starting at time T with fixed payment dates T 1 , . . . , T n , and which is an impact of a one basis point change in a swap rate on a value of a fixed leg of the interest rate swap, and where R t is a forward swap rate prevailing at time t;
displaying the interest rate swap volatility index on a display screen device coupled with a trading platform; and
creating a standardized exchange-traded derivative instrument based on the interest rate swap volatility index.
32 . The method of claim 31 , wherein the set of first data further comprises an implied volatility data for the payer swaption and the set of second data further comprises an implied volatility for the receiver swaption.
33 . The method of claim 31 , wherein all of the implied volatilities are converted into prices using Black's formula.Cited by (0)
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