Patent ID: 11908006
Assignee: CHICAGO MERCANTILE EXCHANGE INC.
Field: IT methods for management (Electrical engineering)
Classification: CPC G | IPC G

Claim 9:
10. A non-transitory computer readable medium storing processor-issuable instructions that, when executed by at least one processor, cause the at least one processor to:
receive, at a trading system, portfolio data for a plurality of asset classifications;
store the portfolio data in rolling storage via one or more storage operations which implement local storage control allowing storage of a set of most recent transactions, thereby filtering the portfolio data to only the most recent transactions via the storage operations;
perform a non-overlaid calculation by:
calculating a first performance vector for the first asset of the plurality of asset classifications based on a first asset model; and
calculating a second performance vector for the second asset of the plurality of asset classifications based on a second asset model;

perform an overlaid calculation by:
determining an alphanumeric code for each of the plurality of asset classifications;
compiling a request message for an external database storing a third asset model for cross asset correlation for the first asset and the second asset, where the request message includes the alphanumeric code for each of the plurality of asset classifications, the external database facilitating non-local storage of the third asset model for cross asset correlation for the first asset and the second asset;
receiving, responsive to the request message, the third asset model for cross asset correlation for the first asset and the second asset; and
calculating a third performance vector based on the third asset model for cross asset correlation for the first asset and the second asset; and

calculate a plurality of messages that separate the overlaid calculation from the non-overlaid calculation for a margin requirement based on the first performance vector, the second performance vector and the third performance vector, wherein a quantity for the plurality of messages is reduced for the margin requirement calculation due to the first performance vector, the second performance vector and the third performance vector,
wherein as asset class margin (Λk) for each of the plurality of asset classifications (Ak) is calculated according to:

Λk=PercentileΘ (P&L),

wherein Percentile is a function that returns a margin value for the asset class margin (Λk) according to a probability distribution for a profit and loss derived from one or more simulations,
wherein the joint margin (Λjoint) is calculated according to:

Λjoint=PercentileΘ (P&L),

wherein Percentile is a function that returns a margin value for the joint asset margin (Λjoint) according to a probability distribution for the profit and loss (P&L) derived from the one or more simulations,
wherein a reduced initial margin (IM) is calculated according to:

IM=Λk−wk·Λjoint 

wherein the asset class margin (Λk) is reduced by a contribution wk portion of the joint asset margin (Λjoint),
wherein the reduced IM decreases a computation time for the trading system to process the plurality of portfolios.