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COMPUTER-IMPLEMENTED SYSTEMS AND METHODS FOR CALCULATING ESTIMATED TRANSACTION COSTS FOR TRANSACTIONS INVOLVING TRADABLE FINANCIAL PRODUCTS
COMPUTER-IMPLEMENTED SYSTEMS AND METHODS FOR CALCULATING ESTIMATED TRANSACTION COSTS FOR TRANSACTIONS INVOLVING TRADABLE FINANCIAL PRODUCTS
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机译:计算涉及可交易金融产品的交易的估计交易成本的计算机实现的系统和方法
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摘要
Computer-implemented systems and methods for computing a transaction cost metric for a transaction (or trade order) involving a tradable financial product, such as a FX currency pair. The transaction cost metric can be computed pre-trade and compared to a quoted price for the trade from a dealer to evaluate the quoted price. The computed transaction cost metric, which is based on a slippage premium for the trade order, is based on at least a notional size for the trade order. The slippage premium represents a difference between an effective price at which the trade order is filled and a price for the financial product at inception of the trade order. The transaction cost metric may be computed as an average of a strip of options, where the values of the options are computed using an option pricing formula. The strip of options may comprise one or more options, each with different tenors, where the tenors correspond to the expected time periods for orders to arrive to fill the trade order.
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