METHOD AND SYSTEM FOR CREATING A SPOT PRICE TRACKER INDEX
First Claim
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1. A computer-readable medium containing processor executable program instructions for creating a price tracker index, the instructions configured for causing the processor to execute the steps of:
- obtaining a value of a first derivative at a time t;
obtaining a value of a second derivative at time t;
calculating an index value by linear extrapolation from the first and second futures contracts; and
wherein the index value is calculated according to the formula;
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Abstract
A method and system for creating a spot price tracker index is disclosed. The method includes obtaining values of first and second derivatives at a time t and calculating an index value by linear extrapolation from the first and second futures contracts. The index value may be displayed at a trading facility and quotes based on the index value may be transmitted by the trading facility to a market participant.
107 Citations
9 Claims
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1. A computer-readable medium containing processor executable program instructions for creating a price tracker index, the instructions configured for causing the processor to execute the steps of:
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obtaining a value of a first derivative at a time t; obtaining a value of a second derivative at time t; calculating an index value by linear extrapolation from the first and second futures contracts; and wherein the index value is calculated according to the formula; - View Dependent Claims (2, 3, 4, 5, 6, 7)
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8. A system for creating a price tracker index, the system comprising:
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means for obtaining a value of a first derivative at a time t; means for obtaining a value of a first derivative at a time t; means for obtaining a value of a second derivative at time t; means for calculating an index value by linear extrapolation from the first and second futures contracts; and wherein the index value is calculated according to the formula;
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9. A computer-implemented method for creating a price tracker index, the method comprising:
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obtaining a value of a first derivative at a time t; obtaining a value of a second derivative at time t; calculating an index value by linear extrapolation from the first and second futures contracts; and wherein the index value is calculated according to the formula;
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Specification