Patent ID: 8219472

Claim:
A method for determining a value of an exchange-traded interest rate swap product over sequential but nonconsecutive periods, the method comprising aggregating, by a processor, a series of calculated mark-to-market values from a start of a period at which the product is onset to an end of the period, the calculation employing swap value factors, each swap value factor being a sum of coupon value factors, the calculation being performed in accordance with the following equation: V ( n ) = K * [ ( ( S ⁢ ⁢ V 1 - OV ) * S ⁢ ⁢ V ⁢ ⁢ F 1 ) + ∑ i = 2 n ⁢ ( S ⁢ ⁢ V i - S ⁢ ⁢ V i - 1 ) * S ⁢ ⁢ V ⁢ ⁢ F i ] wherein K represents the notional value of the derivative, SV 2 through SV n-1 represent the settlement values at the end of the relevant period and wherein one or more SV i values may be adjusted in a sequential calculation, wherein OV represents the initial trade price, wherein SV n represents the end of period settlement values if not offset before the end of period n and wherein SV n represents the offset trade price if offset before the end of period n, and wherein SVF 1 -SVF n represent swap value factors over the periods.