System for Processing Decomposing Futures Contracts

摘要

Computer systems and methods are provided for processing financial instruments. A combination financial instrument includes a spot delivery financial instrument and a futures financial instrument. The combination financial instrument is decomposed into separate spot delivery and futures financial instruments at a predetermined time.

主权项

1. A computer implemented method comprising:
(a) determining a single closing price of a combination financial instrument that includes a combination of a spot delivery financial instrument and a futures financial instrument; (b) retrieving from a memory an execution price for the combination financial instrument; (c) settling at a computer processor a difference between the closing price and the execution price for the combination financial instrument; (d) decomposing the combination financial instrument into a spot delivery financial instrument and a futures financial instrument; (e) determining a closing price of the futures financial instrument; and (f) determining at a computer processor a price of the spot delivery financial instrument as a difference between the closing price of the combination financial instrument and the closing price of the futures financial instrument.