Trading System
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United States of America Patent
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N/A
Issued Date -
Jan 8, 2009
app pub date -
Mar 21, 2008
filing date -
Mar 21, 2007
priority date (Note) -
Abandoned
status (Latency Note)
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Abstract
A method for enabling collaborative processing of data by one or more computers or digital data processing systems. The computer(s) compute a value representative of a first yield for a first instrument, the first instrument being a derivative of an underlying financial instrument, the first instrument being a non-fixed-income instrument. The computer(s) compute a second yield of a second financial instrument. The computer(s) control automated trading of the first instrument based at least in part on comparison of the first yield value with a computed second yield of a second financial instrument, and/or based on comparison of a differential of the first instrument value over change in market interest rates against a differential of the second instrument value over change in market interest rates, the control balancing sizes of positions in the first instrument and second instrument to achieve a desired financial risk profile.
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