US 12,307,523 B2
API framework for clearing non-deliverable interest rate swaps
Dhiraj Bawadhankar, Naperville, IL (US); Panagiotis Xythalis, Scotch Plains, NJ (US); Jingbin Yin, Naperville, IL (US); Molang Dong, Jersey City, NJ (US); Fateen Sharaby, Hoboken, NJ (US); Romil Parekh, Northbrook, IL (US); and Jalpan Shah, Chicago, IL (US)
Assigned to Chicago Mercantile Exchange Inc., Chicago, IL (US)
Filed by Chicago Mercantile Exchange Inc., Chicago, IL (US)
Filed on Oct. 17, 2023, as Appl. No. 18/488,237.
Application 18/488,237 is a continuation of application No. 16/667,407, filed on Oct. 29, 2019, granted, now 11,830,068.
Application 16/667,407 is a continuation of application No. 15/250,498, filed on Aug. 29, 2016, granted, now 10,572,939, issued on Feb. 25, 2020.
Claims priority of provisional application 62/211,473, filed on Aug. 28, 2015.
Prior Publication US 2024/0062297 A1, Feb. 22, 2024
This patent is subject to a terminal disclaimer.
Int. Cl. G06Q 40/04 (2012.01); G06Q 20/02 (2012.01); G06Q 40/06 (2012.01)
CPC G06Q 40/04 (2013.01) [G06Q 20/023 (2013.01); G06Q 40/06 (2013.01)] 34 Claims
OG exemplary drawing
 
1. A system comprising:
a processor communicatively coupled to a non-transitory device, wherein the non-transitory memory device stores instructions, that when executed by the processor, cause the system to:
implement an application programming interface (API) for processing data stored in a memory coupled with the processor indicative of a plurality of interest rate swaps including at least one non-deliverable interest rate swap based on a first deliverable currency without accessing, and independent of, a remote computing system which stores data characterizing a second non-deliverable currency;
calculate at least one discount curve for use in determining a valuation of the at least one non-deliverable interest rate swap including:
a translation of a first overnight index swap (OIS) curve based on the first currency to a second OIS curve based on the second currency using onshore futures, onshore spreads, and offshore spreads which reflect an actual offshore interest rate for the second currency;
a construction of a discount curve for the second currency based on an offshore non-deliverable rate derived from an interest rate differential between the first currency and the second currency;
a determination of a valuation of the at least one non-deliverable interest rate swap based on the second OIS curve and the discount curve; and
communication of a clearing confirmation message of the at least one non-deliverable interest rate swap and a consent request message to clear the at least one non-deliverable interest rate swap, the clearing confirmation and consent request message being in an inter-computer electronic messaging format; and
net, upon clearing of the at least one non-deliverable swap, by a netting module, the cleared at least one non-deliverable swap with one or more other interest rate swaps of the plurality of interest rate swaps and remove one or both the data of the at least one non-deliverable swap or data indicative of the one or more other interest rate swaps from the memory to reduce an amount of data storage needed to store and process the data.