Patent ID: 11887194
Assignee: CHICAGO MERCANTILE EXCHANGE INC.
Field: IT methods for management (Electrical engineering)
Classification: CPC G | IPC G

Claim 14:
15. A system comprising:
at least one processor; and
at least one non-transitory memory, wherein the at least one non-transitory memory stores instructions that, when executed, cause the computer system to:
identify, in a data structure coupled with the processor which stores data indicative of a portfolio of positions in at least a first subset of a plurality of outright-traded products, a set of positions in a second subset of products counter to one or more of the positions of the portfolio which would offset those one or more positions of the portfolio, the second subset being selected from the plurality of outright-traded products and/or a plurality of spread-traded products each formed by a combination of two or more of the plurality of outright-traded products, wherein each of the positions in the second subset is associated with an estimated effect on a cost to obtain that position;
determine a subset of the set of positions which offsets the most positions in the portfolio while having a lowest cumulative cost to obtain those positions, the determination including a reduction of a number of combinations of the positions in the second subset to evaluate by process which is further caused by the execution of the instructions to:
determine a set of estimated allocations of the positions of the portfolio in each of the plurality of outright-traded products among each of the positions in the second subset; and
determine, iteratively using the set of estimated allocations and the effect on the cost to obtain the position associated with each position of the second subset therein, the estimated allocation of the set of estimated allocations that is characterized by a lowest cumulative effect on the cost to obtain those positions of the second subset therein; and
output data indicating at least a portion of a performance bond based on the determined lowest cumulative effect on the cost to obtain those positions of the second subset therein.