CPC G06Q 40/04 (2013.01) [G06F 7/08 (2013.01)] | 20 Claims |
1. A computing system comprising:
a processor that:
monitors a data storage size of a portfolio of positions stored in a memory coupled with the processor, wherein the portfolio comprises data indicative of derivative positions; and
upon determination that the data storage size of the portfolio is approaching a threshold, initiates a portfolio compression process, wherein the processor further:
identifies positions within the portfolio that are present in consecutive contracts for a given product having consecutive maturity dates, each position being characterized by a notional value in common with another associated position;
transforms the positions of all of the consecutive contracts into a single position in a new contract characterized by a gross notional that is less than a sum of the notional values of each of the consecutive contracts;
calculates, for the new single position, which of the consecutive contracts has a largest number of unsettled positions; and
replaces the positions of the consecutive contracts with the new single position in the portfolio including the calculated largest number of unsettled positions paired with a fraction schedule across the consecutive maturity dates of the calculated largest number of unsettled positions, wherein the new single position is smaller in size than the replaced positions of the consecutive contracts, the data storage size of the portfolio reduced thereby.
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