Synthetic Series Derivative Contracts

摘要

A computer system may process data associated with synthetic series derivative contracts. Those contracts may be settled in cash to an imputed value of a fixed income security. This fixed income security may be coupon bearing. The imputed value of the fixed income security may be based on a calculated value of a series of interest-based derivative contracts. Both that series and the fixed income security may be hypothetical.

主权项

1. A method comprising:
accessing, by an exchange computer system, definitional data for a synthetic series derivative contract class, wherein the definitional data comprises
synthetic series data identifying constituent derivative contract classes having successive expiration times andsynthetic fixed income security data defining a synthetic fixed income security; determining, by the exchange computer system, an effective yield as of a valuation time for a synthetic series of contracts conforming to the constituent derivative contract classes; calculating, by the exchange computer system, an imputed value of the synthetic fixed income security corresponding to the effective yield as of the valuation time; and storing, by the exchange computer system and with regard to a synthetic series derivative contract conforming to the synthetic series derivative contract class, data updating an account value based on the imputed value of the synthetic fixed income security.