Patent ID: 8341064
Filing Date: 2012-12-25
Classification: G06Q

Abstract:
1. A computer implemented method of managing over-the-counter financial products stored on a memory and executable by a processor, the method comprising: receiving, at the processor, a first interest rate and a first duration associated with an over-the-counter financial product, wherein the over-the-counter financial product is a swap; selecting, by the processor, a standardized financial product, wherein the standardized financial is defined by a second interest rate and a second duration and at least one of the second interest rate and the second duration of the standardized financial product is a predefined value defined before the first interest rate and the first duration are received at the processor; analyzing, by the processor, a differences between the second interest rate and the second duration of the standardized financial product and the first interest rate and the first duration of the over-the-counter financial product; quantifying, by the processor, a net position to account for the differences between the standardized financial product and the over-the-counter financial product, wherein the net present value is calculated according to: where n is a number of coupon payments, c i is a fixed cash flow, θ i is a floating cash flow, and df i is a discount factor for each payment date; and clearing, by the processor, the net position through a clearing party.