Patent ID: 11861710
Assignee: CHICAGO MERCANTILE EXCHANGE INC.
Field: Computer technology (Electrical engineering)
Classification: CPC G | IPC G

Claim 9:
10. A computer implemented method comprising:
monitoring, by a processor, a data storage size of a portfolio of positions stored in a memory coupled with the processor, wherein the portfolio comprises data indicative of derivative positions; and
upon determination that the data storage size of the portfolio is approaching a threshold, initiating, by the processor, a portfolio compression process including:
identifying, by the processor, positions within the portfolio that are present in consecutive contracts for a given product having consecutive maturity dates, each position being characterized by a notional value in common with another associated position;
transforming, by the processor, the positions of all of the consecutive contracts into a single position in a new contract characterized by a gross notional that is less than a sum of the notional values of each of the consecutive contracts;
calculating, by the processor for the new single position, which of the consecutive contracts has a largest number of unsettled positions; and
replacing, by the processor, the positions of the consecutive contracts with the new single position in the portfolio that includes the calculated largest number of unsettled positions paired with a fraction schedule across the consecutive maturity dates of the calculated largest number of unsettled positions, wherein the new single position is smaller in size than the replaced positions of the consecutive contracts, the data storage size of the portfolio reduced thereby.