Financial System And Method Based On Absolute Returns

摘要

A financial instrument exchange, system and method based upon the intensity of an underlying index. The instrument having a predetermined formula for a settlement price based at least in part on the formula:;AR=[1N∑j=1Nrj]×C;where: N=a number of total observation periods; C=a constant multiplier; and rj=a capped absolute period return calculated using the formula:;rj=min(d,|xj|);;where: d=a contract period observation cap; and xj=a period return based on a formula of the group consisting of:;xj=ln(IjIj-1);andxj=(IjIj-1)-1;;where: Ij=a reference index reported price/level j observation periods after an initial observation date/time. The periods can variable and measured in days, weeks, months, quarters and years. The instrument is traded at a market-determined price from creation through the date of expiration.

主权项

1. A method of providing a settlement price for a futures contract to a user comprising:
calculating, using software executing on a computer, a settlement price (AR) of a futures contract by averaging absolute returns of an underlying reference index over an observation window; transmitting said settlement price to a market participant.