Method of creating and trading derivative investment products based on an average price of an underlying asset during a calculation period
First Claim
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1. A method of creating derivatives based on an average trading price of an underlying asset during a calculation period, comprising:
- receiving trading price information for the underlying asset from at least one index provider;
calculating on a processor the average trading price of the underlying asset during the calculation period as a function of the trading price information;
displaying Asian derivatives based on the calculated average trading price of the underlying asset on a trading facility display device coupled to a trading platform;
receiving at least one Asian derivative quote from a liquidity provider; and
transmitting at least one Asian derivative quote of at least one liquidity provider from the trading facility to at least one market participant.
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Abstract
A method of creating and trading derivative contracts based on an average trading price of an underlying asset over a calculation period is disclosed. Typically, an underlying asset is chosen to be a base of an Asian derivative and a processor calculates a cumulative realized average price reflecting an average trading price of an underlying asset during a calculation period. A trading facility display device coupled to a trading platform then displays the Asian derivative and the trading facility transmits Asian derivative quotes from liquidity providers over at least one dissemination network.
165 Citations
29 Claims
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1. A method of creating derivatives based on an average trading price of an underlying asset during a calculation period, comprising:
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receiving trading price information for the underlying asset from at least one index provider;
calculating on a processor the average trading price of the underlying asset during the calculation period as a function of the trading price information;
displaying Asian derivatives based on the calculated average trading price of the underlying asset on a trading facility display device coupled to a trading platform;
receiving at least one Asian derivative quote from a liquidity provider; and
transmitting at least one Asian derivative quote of at least one liquidity provider from the trading facility to at least one market participant. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16)
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17. A method of creating derivatives based on an average trading price of an underlying asset during a calculation period, comprising:
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choosing at least one underlying asset to be a base of an Asian derivative;
receiving trading price information for the at least one underlying asset from at least one index provider;
calculating the average trading price of the at least one underlying asset during the calculation period as a function of the trading price information;
displaying at least one Asian derivative based on the calculated average trading price of the at least one underlying asset on a trading facility display device coupled to a trading platform;
receiving bids and offers to buy and sell positions in the at least one Asian derivative from market participants; and
executing trades for the at least one Asian derivative by matching bids and offers to buy and sell positions in Asian derivatives. - View Dependent Claims (18, 19, 20, 21, 22, 23, 24, 25, 26)
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27. A system for creating and trading derivatives based on an average price of an underlying asset during a calculation period, comprising:
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an average trading price module comprising a first processor, a first memory coupled with the first processor, and a first communications interface coupled with a communications network, the first processor, and the first memory;
a dissemination module coupled with the average trading price module, the dissemination module comprising a second processor, a second memory coupled with the second processor, and a second communications interface coupled with the communications network, the second processor, and the second memory;
a first set of logic, stored in the first memory and executable by the first processor to receive trading prices for an underlying asset of an Asian derivative through the communications network;
calculate a cumulative realized average price; and
pass the cumulative realized average price to the dissemination module; and
a second set of logic, stored in the second memory and executable by the second processor to receive the cumulative realized average price for the underlying asset from the average trading price module; and
disseminate the cumulative realized average price through the second communications interface to at least one market participant. - View Dependent Claims (28)
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29. A system for creating and trading derivatives based on an average trading price of an underlying asset during a calculation period, comprising:
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an average trading price module coupled with a communications network for receiving trading prices for an underlying asset of an Asian derivative and calculating a cumulative realized average price for the underlying asset;
a dissemination module coupled with the average trading price module and the communications network for receiving the cumulative realized average price from the average trading price module and disseminating the cumulative realized average price of the underlying asset to at least one market participant; and
a trading module coupled with the dissemination module and the communications network for receiving at least one buy or sell order for the Asian derivative and executing the at least one buy or sell order.
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Specification