RATE-NEGOTIATED, STANDARDIZED-COUPON FINANCIAL INSTRUMENT AND METHOD OF TRADING

Title:

RATE-NEGOTIATED, STANDARDIZED-COUPON FINANCIAL INSTRUMENT AND METHOD OF TRADING

Document Type and Number:

WIPO Patent Application WO/2012/159073

Kind Code:

A3

Abstract:

In accordance with the principles of the present invention, a rate-negotiated, standardized-coupon financial instrument and method of trading are provided. A coupon is negotiated between two parties. At least one forward curve and a discount curve are implied or approximated to be consistent with the negotiated coupon. A consistent value for a swap with a different coupon is determined. The consistent value can comprise the net present value (NPV) of the interest rate swap written as the difference between the present values of two interest payment legs. In the case of a vanilla swap the two legs correspond to fixed coupon payments and floating coupon payments. In the case of a basis swap, one leg is the floating coupon payments with a reference rate plus a fixed coupon, and the other leg is floating coupon payments with a different reference rate. The rate-negotiated, standardized-coupon financial instrument of the present invention provides for a financial instrument negotiated in rate terms to be substituted with an equivalent position in an instrument with a different coupon rate, at an adjusted price.

Inventors:

WILSON JR DONALD R (US)
YU YUHAU (US)
RIDDLE JR MICHAEL A (US)

Application Number:

PCT/US2012/038679

Publication Date:

April 18, 2013

Filing Date:

May 18, 2012

Export Citation:

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Assignee:

ERIS EXCHANGE LLC (US)
WILSON JR DONALD R (US)
YU YUHAU (US)
RIDDLE JR MICHAEL A (US)

International Classes:

G06Q30/02

Foreign References:

KR20030023864A	2003-03-20
JP2005503608A	2005-02-03
US20080249956A1	2008-10-09
US20060080208A1	2006-04-13
KR20070085076A	2007-08-27

Other References: