Abstract: Systems and methods are provided for a clearing framework for clearing a non-deliverable interest rate swap. The clearing framework includes an application programming interface (API) including functions for processing trade messages including information used by a clearing house computing system in clearing non-deliverable interest rate swaps; one or more user interface screens comprising information corresponding to one or more non-deliverable interest rate swaps and one or more user interface screens comprising information of cleared interest rate swaps, one an API for reporting clearing information, wherein the one or more functions comprise a first messaging function to confirm clearing of the one or more non-deliverable interest rate swaps and a second messaging function to request consent to clear the one or more non-deliverable interest rate swaps.

Abstract: Systems and methods are provided for a clearing framework for clearing a non-deliverable interest rate swap. The clearing framework includes an application programming interface (API) including functions for processing trade messages including information used by a clearing house computing system in clearing non-deliverable interest rate swaps; one or more user interface screens comprising information corresponding to one or more non-deliverable interest rate swaps and one or more user interface screens comprising information of cleared interest rate swaps, one an API for reporting clearing information, wherein the one or more functions comprise a first messaging function to confirm clearing of the one or more non-deliverable interest rate swaps and a second messaging function to request consent to clear the one or more non-deliverable interest rate swaps.

Abstract: Systems and methods are provided for a clearing framework for clearing a non-deliverable interest rate swap. The clearing framework includes an application programming interface (API) including functions for processing trade messages including information used by a clearing house computing system in clearing non-deliverable interest rate swaps; one or more user interface screens comprising information corresponding to one or more non-deliverable interest rate swaps and one or more user interface screens comprising information of cleared interest rate swaps, one an API for reporting clearing information, wherein the one or more functions comprise a first messaging function to confirm clearing of the one or more non-deliverable interest rate swaps and a second messaging function to request consent to clear the one or more non-deliverable interest rate swaps.

Abstract: The disclosed embodiments relate to reducing, minimizing or otherwise optimizing margin requirements for a trader having both an interest rate (IR) futures and over-the-counter (OTC) interest rate swaps (IRS) accounts by efficiently allocating IR futures across both accounts.

Abstract: Systems and methods are provided for a clearing framework for clearing a non-deliverable interest rate swap. The clearing framework includes an application programming interface (API) including functions for processing trade messages including information used by a clearing house computing system in clearing non-deliverable interest rate swaps; one or more user interface screens comprising information corresponding to one or more non-deliverable interest rate swaps and one or more user interface screens comprising information of cleared interest rate swaps, one an API for reporting clearing information, wherein the one or more functions comprise a first messaging function to confirm clearing of the one or more non-deliverable interest rate swaps and a second messaging function to request consent to clear the one or more non-deliverable interest rate swaps.

Abstract: Systems and methods are provided for a clearing framework for clearing a non-deliverable interest rate swap. The clearing framework includes an application programming interface (API) including functions for processing trade messages including information used by a clearing house computing system in clearing non-deliverable interest rate swaps; one or more user interface screens comprising information corresponding to one or more non-deliverable interest rate swaps and one or more user interface screens comprising information of cleared interest rate swaps, one an API for reporting clearing information, wherein the one or more functions comprise a first messaging function to confirm clearing of the one or more non-deliverable interest rate swaps and a second messaging function to request consent to clear the one or more non-deliverable interest rate swaps.

Abstract: Systems and methods are provided for determining volatility levels and margin requirements for portfolios that include swaptions. End of day volatility data from swaption dealers. The data may be filtered and blended to obtain data and then a modified SABR model may be used to fit a smile to the data points.

Abstract: A performance bond contribution applicable to a holding in one or more products based on a currency pair may be determined, at least in part, based on volatility values and a volatility floor value. A performance bond contribution applicable to a holding in one or more products based on a third currency pair that includes first and third currencies may be determined using a series of rates. That series of rates may be created, at least in part, based on a series of rates applicable to a first currency pair that includes the first currency and a second currency and a series of rates applicable to a second currency pair that includes the third currency and the second currency. A performance bond contribution applicable to a product based on a pegged component currency pair may be determined using hypothetical portfolios.

Abstract: Systems and methods are provided for determining liquidations costs for portfolios of financial instruments. Survey data for liquidation costs at different risk profiles is received from market participants. An initial attempt is made to hedge part of the portfolio. Some hedges may not be available during market stress conditions. A warehousing cost for warehousing the unhedged portion of the portfolio is determined and a re-hedge cost for hedging the partially hedged portfolio when hedges are available is determined. A liquidation cost is a combination of the hedge cost, the warehousing cost and the re-hedge cost. Weighting for Greek ladder may be created by mapping liquidation costs to Greek ladders. Lookup tables may be created from liquidity cost. The lookup tables may be used to look up for liquidity cost using aggregated Greek generated by weighted sum of Greek ladder and provide a simplified mechanism for determining liquidation costs.

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.

Abstract: Systems and methods are provided for determining volatility levels for swaptions. End of day volatility data from swaption dealers. The data may be blended to obtain averaged data and then a modified SABR model may be used to fit a smile to the data points. The modified SABR model models density instead of implied volatility.

Abstract: Systems and methods are provided for determining volatility levels for swaptions. End of day volatility data from swaption dealers. The data may be blended to obtain averaged data and then a modified SABR model may be used to fit a smile to the data points. The modified SABR model models density instead of implied volatility.

Abstract: A performance bond contribution applicable to a holding in one or more products based on a currency pair may be determined, at least in part, based on volatility values and a volatility floor value. A performance bond contribution applicable to a holding in one or more products based on a third currency pair that includes first and third currencies may be determined using a series of rates. That series of rates may be created, at least in part, based on a series of rates applicable to a first currency pair that includes the first currency and a second currency and a series of rates applicable to a second currency pair that includes the third currency and the second currency. A performance bond contribution applicable to a product based on a pegged component currency pair may be determined using hypothetical portfolios.

Abstract: The disclosed embodiments relate to reducing, minimizing or otherwise optimizing margin requirements for a trader having both an interest rate (IR) futures and over-the-counter (OTC) interest rate swaps (IRS) accounts by efficiently allocating IR futures across both accounts.