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首页> 外国专利> COMPOUND OVERNIGHT BANK RATE ACCRUAL FUTURES CONTRACT AND COMPUTATION OF VARIATION MARGIN THEREFORE

COMPOUND OVERNIGHT BANK RATE ACCRUAL FUTURES CONTRACT AND COMPUTATION OF VARIATION MARGIN THEREFORE

机译：复合隔夜银行利率期货合约及其变动保证金计算

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摘要

The disclosed embodiments relate to an exchange-traded futures contract, guaranteed by a clearing house, and characterized by an embedded price dynamic comprising a compound accrual of a periodic interest rate up to a date on which trading therein is terminated, as specified in the futures contract terms and conditions. A trader may be allowed and/or enabled to take a position in a futures contract with respect to an interest bearing underlier with a variable interest rate and, thereby, minimize the number of transactions and attendant costs with respect to monitoring and correcting for divergences between the futures position and the notional interest rate swap exposure for which the futures position is intended to serve as a proxy. Variation margin for the position is computed based on an underlying reference interest rate as opposed to being computed solely on the basis of the end-of-business day price of the futures contract.
机译：所公开的实施例涉及由票据交换所担保的交易所买卖的期货合约，其特征在于包含价格动态的嵌入式价格动态，该定期动态的复合应计费用直至期货中规定的终止交易之日为止。合同条款和条件。可以允许和/或允许交易者就具有可变利率的计息底层证券在期货合约中持仓，从而在监视和纠正之间的差异方面最小化交易的数量和伴随的成本。期货头寸和打算以其作为代理的名义利率掉期敞口。该头寸的变动保证金是根据基础参考利率计算的，而不是仅根据期货合约交易结束日的价格计算。

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