Carry-Adjusted Index Futures

摘要

A calculation of a value for a carry-adjusted version of an economic index may include adjusting an equity component by a carrying cost component. The equity component may be based on a value of the economic index corresponding to the current time. The carrying cost component may be based on a carrying cost rate and a time period from the current time to a previous time. The calculation may be periodically reset to, e.g., reflect a new carrying cost rate. The carry-adjusted version of an economic index may be the underlying of a futures contract or other type of product.

主权项

1. A method comprising:
accessing, by a computer system, data indicating a value of an economic index corresponding to a current time; calculating, by the computer system, a value for a carry-adjusted version of the economic index, wherein the calculation includes adjusting an equity component by a carrying cost component, wherein the equity component is based on the value of the economic index corresponding to the current time, and wherein the carrying cost component is based on a carrying cost rate and a time period from the current time to a previous time; and transmitting, by the computer system, the calculated value for the carry-adjusted version of the economic index.