EXCHANGE FOR PHYSICALS

摘要

Systems and methods for performing an exchange for physicals (EFP) may comprise receiving, with a matching engine module in communication with a processor, EFP data comprising an amount of securities to be traded and a price. The matching engine module may calculate a first delta percentage between the EFP data and an index based on the amount, the price, and an index value. The matching engine module may calculate a residual delta based on the first delta percentage and an index notional value. The matching engine module may attribute the residual delta to the securities.

主权项

1. A method for performing an exchange for physicals (EFP) comprising:
receiving, by a matching engine module in communication with a processor, EFP data comprising an amount of securities to be traded and a price; calculating, by the matching engine module, a first delta percentage between the EFP data and an index based on the amount, the price, and an index value; calculating, by the matching engine module, a residual delta based on the first delta percentage and an index notional value; and attributing, by the matching engine module, the residual delta to the securities.