METHOD AND SYSTEM FOR LOW LATENCY BASKET CALCULATION

METHOD AND SYSTEM FOR LOW LATENCY BASKET CALCULATION

A basket calculation engine is deployed to receive a stream of data and accelerate the computation of basket values based on that data. In a preferred embodiment, the basket calculation engine is used to process financial market data to compute the net asset values (NAVs) of financial instrument bas...

Ausführliche Beschreibung

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Bibliographische Detailangaben
Hauptverfasser: BRODIE, BENJAMIN C, INDECK, RONALD S, MCVICAR, NATHANIEL S, TAYLOR, DAVID E, THIEL, JUSTIN R, SINGLA, NAVEEN
Format: Patent
Sprache:eng ; fre
Schlagworte:
CALCULATING
COMPUTING
COUNTING
DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES
ELECTRIC DIGITAL DATA PROCESSING
PHYSICS
SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR
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Beschreibung
Zusammenfassung:A basket calculation engine is deployed to receive a stream of data and accelerate the computation of basket values based on that data. In a preferred embodiment, the basket calculation engine is used to process financial market data to compute the net asset values (NAVs) of financial instrument baskets. The basket calculation engine can be deployed on a coprocessor and can also be realized via a pipeline, the pipeline preferably comprising a basket association lookup module and a basket value updating module. The coprocessor is preferably a reconfigurable logic device such as a field programmable gate array (FPGA).