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METHOD AND SYSTEM FOR CREATING A SPOT PRICE TRACKER INDEX

  • US 20110082813A1
  • Filed: 09/28/2010
  • Published: 04/07/2011
  • Est. Priority Date: 09/28/2009
  • Status: Active Grant
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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