Patents by Inventor Moody Hadi
Moody Hadi has filed for patents to protect the following inventions. This listing includes patent applications that are pending as well as patents that have already been granted by the United States Patent and Trademark Office (USPTO).
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Publication number: 20150161731Abstract: Disclosed are a method, apparatus, and computer-readable medium for determining the value of a derivative product over nonconsecutive periods. The derivative product may be an interest rate swap product, which, when exchanged traded, normally is valued on a mark-to-market basis over consecutive periods. The product may be valued using swap value factors and settlement values according to the methodology disclosed herein.Type: ApplicationFiled: February 20, 2015Publication date: June 11, 2015Inventors: Suneel Iyer, Keith Anguish, Moody Hadi, Ketan Patel
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Publication number: 20150106256Abstract: Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium.Type: ApplicationFiled: December 18, 2014Publication date: April 16, 2015Inventors: Suneel Iyer, Moody Hadi, Ketan Patel
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Publication number: 20140172748Abstract: Systems and methods are provided for determining margin requirements for portfolios that are illiquid or have concentrated positions. Surveys with sample portfolios that include credit default swaps and that ask for liquidity charges are distributed to clearing members. Answers to the surveys are analyzed to develop a liquidity risk model. The liquidity risk model is subsequently used when setting margin requirements.Type: ApplicationFiled: December 19, 2012Publication date: June 19, 2014Applicant: CHICAGO MERCANTILE EXCHANGE INC.Inventors: Michal Koblas, Moody Hadi, Panagiotis Xythalis
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Publication number: 20130013485Abstract: Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium.Type: ApplicationFiled: September 14, 2012Publication date: January 10, 2013Applicant: CHICAGO MERCANTILE EXCHANGE, INC.Inventors: Suneel Iyer, Moody Hadi, Ketan Patel
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Patent number: 8332301Abstract: Methods, systems and apparatuses are described for calculating a performance bond amount for a portfolio including interest rate swaps. A risk calculation module (or risk processor) may assist in the calculation. In some examples, values, such as swap (DV01) dollar values and volatility values, and adjustments/factors, such as calendar charge adjustments and liquidity charge minimums, may be used to enhance the margin calculation. These values may be maintained and updated in various ways, including but not limited to, lookup tables, matrices, and other structures. The margin calculations may be used by an exchange or clearinghouse to request a portfolio holder to deposit additional funds towards a performance bond associated with the portfolio.Type: GrantFiled: June 6, 2012Date of Patent: December 11, 2012Assignee: Chicago Mercantile Exchange, Inc.Inventors: Suneel Iyer, Moody Hadi, Amy McCormick, Katen Patel, Ankeet Dedhia
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Patent number: 8280804Abstract: Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium.Type: GrantFiled: October 21, 2011Date of Patent: October 2, 2012Assignee: Chicago Mercantile Exchange, Inc.Inventors: Suneel Iyer, Moody Hadi, Ketan Patel
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Publication number: 20120246056Abstract: Disclosed are a method, apparatus, and computer-readable medium for determining the value of a derivative product over nonconsecutive periods. The derivative product may be an interest rate swap product, which, when exchanged traded, normally is valued on a mark-to-market basis over consecutive periods. The product may be valued using swap value factors and settlement values according to the methodology disclosed herein.Type: ApplicationFiled: June 6, 2012Publication date: September 27, 2012Applicant: CHICAGO MERCANTILE EXCHANGE INC.Inventors: Suneel Iyer, Keith Anguish, Moody Hadi, Ketan Patel
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Publication number: 20120246096Abstract: Methods, systems and apparatuses are described for calculating a performance bond amount for a portfolio including interest rate swaps. A risk calculation module (or risk processor) may assist in the calculation. In some examples, values, such as swap (DV01) dollar values and volatility values, and adjustments/factors, such as calendar charge adjustments and liquidity charge minimums, may be used to enhance the margin calculation. These values may be maintained and updated in various ways, including but not limited to, lookup tables, matrices, and other structures. The margin calculations may be used by an exchange or clearinghouse to request a portfolio holder to deposit additional funds towards a performance bond associated with the portfolio.Type: ApplicationFiled: June 6, 2012Publication date: September 27, 2012Applicant: CHICAGO MERCANTILE EXCHANGE INC.Inventors: Suneel Iyer, Moody Hadi, Amy McCormick, Ketan Patel, Ankeet Dedhia
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Patent number: 8239308Abstract: Methods, systems and apparatuses are described for calculating a performance bond amount for a portfolio including interest rate swaps. A risk calculation module (or risk processor) may assist in the calculation. In some examples, values, such as swap (DV01) dollar values and volatility values, and adjustments/factors, such as calendar charge adjustments and liquidity charge minimums, may be used to enhance the margin calculation. These values may be maintained and updated in various ways, including but not limited to, lookup tables, matrices, and other structures. The margin calculations may be used by an exchange or clearinghouse to request a portfolio holder to deposit additional funds towards a performance bond associated with the portfolio.Type: GrantFiled: December 29, 2009Date of Patent: August 7, 2012Assignee: Chicago Mercantile Exchange, Inc.Inventors: Suneel Iyer, Moody Hadi, Amy McCormick, Ketan Patel, Ankeet Dedhia
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Patent number: 8219472Abstract: Disclosed are a method, apparatus, and computer-readable medium for determining the value of a derivative product over nonconsecutive periods. The derivative product may be an interest rate swap product, which, when exchanged traded, normally is valued on a mark-to-market basis over consecutive periods. The product may be valued using swap value factors and settlement values according to the methodology disclosed herein.Type: GrantFiled: October 29, 2008Date of Patent: July 10, 2012Assignee: Chicago Mercantile Exchange, Inc.Inventors: Suneel Iyer, Keith Anguish, Moody Hadi, Ketan Patel
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Publication number: 20120041860Abstract: Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium.Type: ApplicationFiled: October 21, 2011Publication date: February 16, 2012Applicant: CHICAGO MERCANTILE EXCHANGE, INC.Inventors: Suneel Iyer, Moody Hadi, Ketan Patel
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Patent number: 8060425Abstract: Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium.Type: GrantFiled: December 5, 2008Date of Patent: November 15, 2011Assignee: Chicago Mercantile Exchange Inc.Inventors: Suneel Iyer, Moody Hadi, Ketan Patel
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Publication number: 20110161244Abstract: Methods, systems and apparatuses are described for calculating a performance bond amount for a portfolio including interest rate swaps. A risk calculation module (or risk processor) may assist in the calculation. In some examples, values, such as swap (DV01) dollar values and volatility values, and adjustments/factors, such as calendar charge adjustments and liquidity charge minimums, may be used to enhance the margin calculation. These values may be maintained and updated in various ways, including but not limited to, lookup tables, matrices, and other structures. The margin calculations may be used by an exchange or clearinghouse to request a portfolio holder to deposit additional funds towards a performance bond associated with the portfolio.Type: ApplicationFiled: December 29, 2009Publication date: June 30, 2011Applicant: CHICAGO MERCANTILE EXCHANGE INC.Inventors: Suneel Iyer, Moody Hadi, Amy McCormick, Ketan Patel, Ankeet Dedhia
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Publication number: 20110145117Abstract: Methods, systems and apparatuses are described for credit default swap (CDS) settlement pricing. The method includes receiving at least quoted prices and/or executed prices, and using them to calculate a settlement price of CDSs in a portfolio. The calculation of the settlement price may also consider other information, such as recovery rate, hazard rate function, etc. The invention also may include an electronic trading platform that is fully integrated with a central counterparty clearing facility for CDSs.Type: ApplicationFiled: December 15, 2009Publication date: June 16, 2011Applicant: CHICAGO MERCANTILE EXCHANGE INC.Inventors: Kevin Fallon, Ketan Patel, Moody Hadi, Michal Koblas, Dipanker Bose, Simon Evans
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Publication number: 20100145841Abstract: Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium.Type: ApplicationFiled: December 5, 2008Publication date: June 10, 2010Applicant: Chicago Mercantile Exchange Inc.Inventors: Suneel Iyer, Moody Hadi, Ketan Patel
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Publication number: 20100106633Abstract: Disclosed are a method, apparatus, and computer-readable medium for determining the value of a derivative product over nonconsecutive periods. The derivative product may be an interest rate swap product, which, when exchanged traded, normally is valued on a mark-to-market basis over consecutive periods. The product may be valued using swap value factors and settlement values according to the methodology disclosed herein.Type: ApplicationFiled: October 29, 2008Publication date: April 29, 2010Applicant: Chicago Mercantile Exchange Inc.Inventors: Suneel Iyer, Keith Anguish, Moody Hadi, Ketan Patel
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Publication number: 20090248564Abstract: Methods are provided to determine a settlement price for an over-the-counter exchange traded financial instrument. The method includes receiving swap curves from a plurality of market makers and identifying missing data points in the curves. A repair mode may be determined for curves identified as missing data. The curves may be repaired based on the determined repair mode. The selected curves including the repaired curves may be blended together to derive a final settlement prices for each of a plurality of standardized centrally cleared swaps. The financial instruments may include Euro denominated interest rate swaps, U.S. denominated interest rate swaps, or OIS interest rate swaps.Type: ApplicationFiled: November 26, 2008Publication date: October 1, 2009Applicant: CHICAGO MERCANTILE EXCHANGE, INC.Inventors: Kevin Fallon, Ketan Patel, Moody Hadi, Suneel Iyer, Stephane Rio