Initial Margining Using Decayed Scenarios
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United States of America Patent
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Issued Date -
Feb 4, 2016
app pub date -
Jul 29, 2014
filing date -
Jul 29, 2014
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Abstract
A margin requirement is determined for a financial product. A present value of the financial position is obtained, and scenario projected values of the financial position at a future date are calculated for a plurality of loss risk scenarios in accordance with a plurality of scenario curves representative of the plurality of loss risk scenarios, respectively. An initial margin requirement is determined based on the obtained present value and the calculated scenario projected values. Each scenario curve of the plurality of scenario curves is configured to forecast the respective loss risk scenario of the plurality of loss risk scenarios as if looking forward from the future date. In some cases, when the financial position includes a swaption that expires before the future date, the swaption is converted to a seasoned swap if the swaption resides in-the-money.
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