Patent ID: 8442896
Filing Date: 2013-05-14
Classification: G06Q

Abstract:
1. A computer implemented method of minimizing computations required to compute a margin requirement for a portfolio comprising positions on a plurality of products traded on an exchange, the method comprising: creating, by a computer processor, one or more predefined sets of products traded on the exchange, each of the one or more predefined sets being associated with an offset value; determining, by the computer processor, whether the portfolio includes one or more position on any of the products of any one of the one or more predefined sets; wherein, for each of the one or more positions on products included in the portfolio determined to be in one of the one or more predefined sets, assigning the determined one or more positions an offset value based at least on a portion of the associated offset value; computing, by the computer processor, a risk offset for each of the positions on products included in the portfolio which are determined not to be in one of the predefined sets; and computing, by the computer processor, a risk offset for the portfolio based on the assigned offset values and the computed risk offsets.