Patent ID: 7693777

Claim:
A method of trading hedged financial instruments in a computerized trading system including a central server and a plurality of trading terminals, the method comprising: receiving, from the trading terminals, orders for hedged financial instruments from users, each hedged financial instrument comprising at least one interest rate swap hedged against at least one futures contract, each hedged financial instrument having a non-universally agreed pricing mechanism, the orders being expressed in terms of a user-defined spread-over yield, a spread-over yield being the difference between the yield of the at least one interest rate swap and the yield of the at least one futures contract; calculating at the central server a standardized spread-over yield with reference to the user-defined spread-over yield; recalculating, at the central server, an updated standardized spread-over yield in response to an updated input futures price by: calculating the change in the standardized spread-over yield by adding the change in a standardized futures yield to the product of a benchmark scaling factor and the change in input futures price; and adding the change in the standardized spread-over yield to the previous spread-over yield; expressing at the central server the orders in terms of the standardized spread-over yield; comparing at the central server the standardized spread-over yields to find matches; and indicating at the trading terminals the orders for which the standardized spread-over yields match.