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

Claim 18:
19. A computer system comprising:
means for monitoring a data storage size of data indicative of a portfolio of positions stored in a memory, wherein the portfolio comprises data indicative of derivative positions; and
means for initiating a portfolio compression process upon determination that the data storage size is approaching a threshold, wherein the computer system further comprises:
means for identifying 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;
means for transforming 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;
means for calculating, for the new single position, which of the consecutive contracts has a largest number of unsettled positions; and
means for replacing 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.