US 12,282,960 B2
Compression of an exchange traded derivative portfolio
Suzanne Sprague, Chicago, IL (US); Sean Downey, Chicago, IL (US); Robert Taylor, Chicago, IL (US); Dhiraj Bawadhankar, Naperville, IL (US); Stephen Hurst, Chicago, IL (US); Matthew Simpson, Wheaton, IL (US); and Frederick Sturm, Chicago, IL (US)
Assigned to Chicago Mercantile Exchange Inc., Chicago, IL (US)
Filed by Chicago Mercantile Exchange Inc., Chicago, IL (US)
Filed on Oct. 13, 2023, as Appl. No. 18/486,545.
Application 18/486,545 is a continuation of application No. 18/106,719, filed on Feb. 7, 2023, granted, now 11,861,710.
Application 18/106,719 is a continuation of application No. 17/574,061, filed on Jan. 12, 2022, granted, now 11,605,130, issued on Mar. 14, 2023.
Application 17/574,061 is a continuation of application No. 15/296,702, filed on Oct. 18, 2016, granted, now 11,270,377, issued on Mar. 8, 2022.
Claims priority of provisional application 62/318,177, filed on Apr. 4, 2016.
Claims priority of provisional application 62/317,235, filed on Apr. 1, 2016.
Prior Publication US 2024/0135449 A1, Apr. 25, 2024
Prior Publication US 2024/0233016 A9, Jul. 11, 2024
This patent is subject to a terminal disclaimer.
Int. Cl. G06Q 40/04 (2012.01); G06F 7/08 (2006.01)
CPC G06Q 40/04 (2013.01) [G06F 7/08 (2013.01)] 20 Claims
OG exemplary drawing
 
1. A computing system comprising a processor configured to:
determine that a data storage size of a portfolio stored in a non-transitory memory coupled with the processor, the portfolio comprising data indicative of derivative positions, is approaching a threshold; and
iteratively perform, until a predetermined criterion has been reached, a plurality of optimization cycles to compress the portfolio, each including:
partition the portfolio into a plurality of blocks by grouping 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; and
for each block of the plurality of blocks:
calculate which of the consecutive contracts has a largest number of unsettled positions; and
transform the positions of the consecutive contracts into a new single position in a new product, the new single position including a 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 a data storage requirement for the new single position is smaller in size than a data storage requirement for the positions of the consecutive contracts from which the new single position was transformed, the data storage size of the portfolio reduced thereby while still representative of the portfolio including the positions of the consecutive contracts from which the new single position was transformed.