Method and system for low latency basket calculation
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United States of America Patent
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Mar 12, 2019
Grant Date -
Jul 16, 2009
app pub date -
Jan 11, 2008
filing date -
Jan 11, 2008
priority date (Note) -
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status (Latency Note)
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Abstract
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).
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