Patent ID: 8112350

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 futures yield according to an internal function using a last traded futures price, and calculating a standardized spread-over yield with reference to the user-defined spread-over yield, the last traded futures price, the standardized futures yield, a benchmark futures price, a benchmark futures yield that corresponds to the futures yield at the benchmark price as calculated according to that user's methodology, and a benchmark scaling factor that scales changes in the benchmark futures price to changes in the benchmark futures 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.