公开(公告)号：US08577774B2

公开(公告)日：2013-11-05

申请号：US13561997

申请日：2012-07-30

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06 ,  G06Q40/08

摘要： A system and method for using asymmetrical offsets for products in a risk management analysis system are disclosed. Conventional systems assign symmetrical offsets for products, that is, if two products have an 80% correlation they each would be assigned an offset of 80% with respect to each other. However, it is desirable to allow for asymmetrical offsets. In the disclosed system and method, when two products have a correlation of 80%, one may be assigned an offset of 75% and the other may be assigned an offset of 80%. There are many reasons to vary the offset between the products. The varying offset may reflect an asymmetry in the risk in one of the products, such as being traded in an illiquid market or in a less desirable venue. The varying offset may correct for an imbalance in spread credits due to special charges from intra spreading.

公开(公告)号：US08438102B2

公开(公告)日：2013-05-07

申请号：US13524310

申请日：2012-06-15

申请人： Edward Gogol ,  Dmitriy Glinberg ,  Dale Michaels

发明人： Edward Gogol ,  Dmitriy Glinberg ,  Dale Michaels

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q20/042 ,  G06Q20/10 ,  G06Q20/102 ,  G06Q20/108 ,  G06Q20/1085 ,  G06Q20/40 ,  G06Q40/00 ,  G06Q40/02 ,  G06Q40/025 ,  G06Q40/06

摘要： Systems and methods are disclosed for processing binary options (also referred to as digital options) in existing clearing systems, such as futures clearing systems. The binary option is treated, or processed, similar to standard options on a non-tradeable cash-settled underlying futures contract. A hypothetical instrument, referred to as a book instrument is created to facilitate clearing of the binary option. The book instrument has an expiration date after the expiration of the binary option, such as the day after the expiration of the binary option. For each binary option that expires in the money, a transaction is created for the book instrument future. The underlying book future has an assigned price that is a fixed amount less that the final price for the underlying statistical or actual value of the binary option at expiration. Transactions are loaded in the clearing system and processed and all positions are liquidated.

摘要翻译： 公开了用于处理现有结算系统（例如期货结算系统）中的二元期权（也称为数字期权）的系统和方法。 二元期权在不可交易的现金结算的基础期货合约上处理或处理与标准期权相似。 创建一种称为书本工具的假设工具，以便于清除二进制选项。 书籍工具在二进制选项到期后有到期日，例如二进制选项到期之日。 对于在货币中到期的每个二进制选项，将为书工具未来创建一个交易。 基础图书未来的分配价格是一个固定的金额，少于二值期权到期的基本统计或实际值的最终价格。 交易在清算系统中加载并处理，所有仓位都被清算。

公开(公告)号：US20120290463A1

公开(公告)日：2012-11-15

申请号：US13524310

申请日：2012-06-15

申请人： Edward Gogol ,  Dmitriy Glinberg ,  Dale Michaels

发明人： Edward Gogol ,  Dmitriy Glinberg ,  Dale Michaels

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q20/042 ,  G06Q20/10 ,  G06Q20/102 ,  G06Q20/108 ,  G06Q20/1085 ,  G06Q20/40 ,  G06Q40/00 ,  G06Q40/02 ,  G06Q40/025 ,  G06Q40/06

摘要： Systems and methods are disclosed for processing binary options (also referred to as digital options) in existing clearing systems, such as futures clearing systems. The binary option is treated, or processed, similar to standard options on a non-tradeable cash-settled underlying futures contract. A hypothetical instrument, referred to as a book instrument is created to facilitate clearing of the binary option. The book instrument has an expiration date after the expiration of the binary option, such as the day after the expiration of the binary option. For each binary option that expires in the money, a transaction is created for the book instrument future. The underlying book future has an assigned price that is a fixed amount less that the final price for the underlying statistical or actual value of the binary option at expiration. Transactions are loaded in the clearing system and processed and all positions are liquidated.

摘要翻译： 公开了用于处理现有结算系统（例如期货结算系统）中的二元期权（也称为数字期权）的系统和方法。 二元期权在不可交易的现金结算的基础期货合约上处理或处理与标准期权相似。 创建一种称为书本工具的假设工具，以便于清除二进制选项。 书籍工具在二进制选项到期后有到期日，例如二进制选项到期之日。 对于在货币中到期的每个二进制选项，将为书工具未来创建一个交易。 基础图书未来的分配价格是一个固定的金额，少于二值期权到期的基本统计或实际值的最终价格。 交易在清算系统中加载并处理，所有仓位都被清算。

公开(公告)号：US20120041893A1

公开(公告)日：2012-02-16

申请号：US13279616

申请日：2011-10-24

申请人： Dmitriy Glinberg ,  Edward Gogol ,  Dale A. Michaels

发明人： Dmitriy Glinberg ,  Edward Gogol ,  Dale A. Michaels

IPC分类号： G06Q40/06

CPC分类号： G06Q40/06 ,  G06Q40/025 ,  G06Q40/04

摘要： A computer-implemented method for analyzing a risk offset associated with a portfolio including a plurality of products traded on an exchange is disclosed. The method includes comparing a first market response of a first product in the portfolio with a second market response of a second product in the portfolio where the first and second market responses result from a change in market data, calculating an offsetting effect between the first market response and the second market response where the first and second market responses are substantially different responses to the same change in the market data, determining a diversification spread based on the offsetting effect derived between the first product and the second product, calculating a diversification spread credit based on the determined diversification spread, and adjusting a margin requirement for the portfolio based on the diversification spread credit.

公开(公告)号：US08086513B2

公开(公告)日：2011-12-27

申请号：US12188576

申请日：2008-08-08

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06Q20/102 ,  G06Q40/00 ,  G06Q40/04 ,  G06Q40/08

摘要： A system and method is disclosed for determining performance bonds related to fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the particular value of the underlying event. The worst outcome of the overall portfolio, which may contain more than one instrument, is calculated. This permits the portfolio to have both long and short positions on the same underlying event and offsets, e.g. long (bought but not closed out) and short (sold but not closed out) positions, among instruments in the portfolio are factored in. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, an single events with multiple outcomes, each with a probability thereof. This universe is implemented in a matrix probabilities on different outcomes, also referred to as “strikes.” Each strike/outcome then has an associated price and probability, typically factored together as single value reflective of both. Events with low probability will have low values, resulting in a lower margin requirement, as will be explained below. The margin requirement/performance bond is then set equal to the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability of the outcome.

摘要翻译： 公开了一种用于确定与固定收益产品相关的履约保证金的系统和方法，即基于底层事件的结果而支付固定金额的合约，而不管基础事件的特定价值如何。 计算可能包含多个仪器的整体投资组合的最糟糕的结果。 这允许投资组合在相同的底层事件和偏移量上具有长仓和短仓。 长期（买入但并非封闭）和短期（已出售但未结算）的头寸，投资组合中的工具都被考虑在内。构建了一个结果的宇宙，包括具有单一结果的单一事件及其概率，单个事件与 多个结果，每个都有概率。 这个宇宙是以不同结果的矩阵概率来实现的，也称为“罢工”。每个罢工/结果都具有相关的价格和概率，通常被认为是单一值反映的两者。 低概率的事件将具有较低的价值，导致较低的保证金要求，如下所述。 然后将保证金要求/履约保证金设置为等于投资组合对潜在事件的任何可能结果所能承受的最大损失的金额，并根据结果的可能性进行调整。

公开(公告)号：US08073754B2

公开(公告)日：2011-12-06

申请号：US12291823

申请日：2008-11-13

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06 ,  G06Q40/08

摘要： A system and method for using asymmetrical offsets for products in a risk management analysis system are disclosed. Conventional systems assign symmetrical offsets for products, that is, if two products have an 80% correlation they each would be assigned an offset of 80% with respect to each other. However, it is desirable to allow for asymmetrical offsets. In the disclosed system and method, when two products have a correlation of 80%, one may be assigned an offset of 75% and the other may be assigned an offset of 80%. There are many reasons to vary the offset between the products. The varying offset may reflect an asymmetry in the risk in one of the products, such as being traded in an illiquid market or in a less desirable venue. The varying offset may correct for an imbalance in spread credits due to special charges from intra spreading.

摘要翻译： 公开了一种在风险管理分析系统中对产品使用不对称偏移的系统和方法。 常规系统为产品分配对称偏移量，即如果两个产品具有80％的相关性，则它们各自被分配相对于彼此的80％的偏移。 然而，期望允许非对称偏移。 在所公开的系统和方法中，当两个产品具有80％的相关性时，可以分配一个75％的偏移量，另一个可以被分配为80％的偏移量。 改变产品之间的偏移有很多原因。 不同的偏移量可能反映了其中一个产品中的风险的不对称性，例如在流动不足的市场或不太理想的地点进行交易。 由于内部传播的特殊收费，不同的偏移量可能会纠正扩展信用的不平衡。

公开(公告)号：US07509275B2

公开(公告)日：2009-03-24

申请号：US11030833

申请日：2005-01-07

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q99/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06 ,  G06Q40/08

摘要： A system and method for using asymmetrical offsets for products in a risk management analysis system are disclosed. Conventional systems assign symmetrical offsets for products, that is, if two products have an 80% correlation they each would be assigned an offset of 80% with respect to each other. However, it is desirable to allow for asymmetrical offsets. In the disclosed system and method, when two products have a correlation of 80%, one may be assigned an offset of 75% and the other may be assigned an offset of 80%. There are many reasons to vary the offset between the products. The varying offset may reflect an asymmetry in the risk in one of the products, such as being traded in an illiquid market or in a less desirable venue. The varying offset may correct for an imbalance in spread credits due to special charges from intra spreading.

摘要翻译： 公开了一种在风险管理分析系统中对产品使用不对称偏移的系统和方法。 常规系统为产品分配对称偏移量，即如果两个产品具有80％的相关性，则它们各自被分配相对于彼此的80％的偏移。 然而，期望允许非对称偏移。 在所公开的系统和方法中，当两个产品具有80％的相关性时，可以分配一个75％的偏移量，另一个可以被分配为80％的偏移量。 改变产品之间的偏移有很多原因。 不同的偏移量可能反映了其中一个产品中的风险的不对称性，例如在流动不足的市场或不太理想的地点进行交易。 由于内部传播的特殊收费，不同的偏移量可能会纠正扩展信用的不平衡。

公开(公告)号：US20080301062A1

公开(公告)日：2008-12-04

申请号：US12188510

申请日：2008-08-08

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06

摘要： A system and method for analyzing correlation between the assets given by the trader for collateral and that trader's open positions is disclosed. Thus, if the collateral is correlated to the trader's open positions, then some offset can be given. If there is no correlation than the collateral is valued in the conventional way. For example, if a trader provides t-bills as collateral for an account that has open positions (e.g. short futures) in T-bills, than that trader's account can be credited with some offset since the value of T-bills and T-bill futures are highly correlated.

摘要翻译： 披露了一种系统和方法，用于分析交易员提供的资产与抵押品之间的相关性以及该交易者的未平仓头寸。 因此，如果抵押品与交易者的敞口头寸相关，则可以给出一些偏移量。 如果没有相关性，则以常规方式评估抵押品。 例如，如果交易者提供账单作为T账单中具有未平仓头寸（例如短期期货）的抵押品，那么该交易者的账户可以从T账单和T账单的价值中扣除一定的抵消 期货高度相关。

公开(公告)号：US20080294573A1

公开(公告)日：2008-11-27

申请号：US12188601

申请日：2008-08-08

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/00

CPC分类号： G06Q40/08 ,  G06Q40/00 ,  G06Q40/04 ,  G06Q40/06

摘要： A risk management system and method is disclosed which utilizes a flexible and configurable set of spreading techniques which may be incorporated into existing risk management software to enhance functionality, flexibility and accuracy. In the disclosed embodiments, multiple different types of spreading are combined to allow for a more accurate assessment of risk. In one exemplary embodiment, a subset of the derivative products held by a futures trader are first analyzed by the scanning based spreading methodology. Typically, futures products in the same class of products (e.g. equity futures or agricultural futures) would be analyzed together by the scanning based spreading methodology. Then an average delta would be calculated for that subset. Using that delta, that subset would then be analyzed in relation to the remaining derivative products (not in the subset) using a delta based spreading methodology. The delta for the subset could be computed in a variety of ways including scaling the deltas for each product, tying the delta to a fixed time period or other methods.

摘要翻译： 公开了一种风险管理系统和方法，该风险管理系统和方法利用可以并入现有风险管理软件的灵活且可配置的一组扩展技术，以增强功能性，灵活性和准确性。 在所公开的实施例中，组合多种不同类型的扩展以允许更准确地评估风险。 在一个示例性实施例中，由期货交易者持有的衍生产品的子集首先通过基于扫描的扩展方法进行分析。 通常，同一类产品（例如股票期货或农业期货）中的期货产品将通过基于扫描的扩展方法进行一起分析。 然后计算该子集的平均增量。 使用该增量，然后将使用基于增量的扩展方法来分析该子集相对于剩余的衍生产品（而不是子集）。 可以以各种方式计算子集的增量，包括缩放每个产品的增量，将增量绑定到固定时间段或其他方法。

公开(公告)号：US20080294572A1

公开(公告)日：2008-11-27

申请号：US12188576

申请日：2008-08-08

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06Q20/102 ,  G06Q40/00 ,  G06Q40/04 ,  G06Q40/08

摘要： A system and method is disclosed for determining performance bonds related to fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the particular value of the underlying event. The worst outcome of the overall portfolio, which may contain more than one instrument, is calculated. This permits the portfolio to have both long and short positions on the same underlying event and offsets, e.g. long (bought but not closed out) and short (sold but not closed out) positions, among instruments in the portfolio are factored in. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, an single events with multiple outcomes, each with a probability thereof. This universe is implemented in a matrix probabilities on different outcomes, also referred to as “strikes.” Each strike/outcome then has an associated price and probability, typically factored together as single value reflective of both. Events with low probability will have low values, resulting in a lower margin requirement, as will be explained below. The margin requirement/performance bond is then set equal to the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability of the outcome.

摘要翻译： 公开了一种用于确定与固定收益产品相关的履约保证金的系统和方法，即基于底层事件的结果而支付固定金额的合约，而不管基础事件的特定价值如何。 计算可能包含多个仪器的整体投资组合的最糟糕的结果。 这允许投资组合在相同的底层事件和偏移量上具有长仓和短仓。 长期（买入但并非封闭）和短期（已出售但未结算）的头寸，投资组合中的工具都被考虑在内。构建了一个结果的宇宙，包括具有单一结果的单一事件及其概率，单个事件与 多个结果，每个都有概率。 这个宇宙是以不同结果的矩阵概率来实现的，也称为“罢工”。 每个罢工/结果都具有相关的价格和概率，通常被认为是反映两者的单一价值。 低概率的事件将具有较低的价值，导致较低的保证金要求，如下所述。 然后将保证金要求/履约保证金设置为等于投资组合对潜在事件的任何可能结果所能承受的最大损失的金额，并根据结果的可能性进行调整。