| 摘要 |
<p>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: (I) where: N= a number of total observation periods; C= a constant multiplier; and r j = an optional capped absolute period return calculated using the formula: r j = min(d,|x j | ) if the Observation Cap is specified; or r j =|x j | if there is no Observation Cap or it is not specified; where: d = a contract period observation cap; and x j = a period return based on a formula of the group consisting of: (II); (III); and x j =l j -l j -1; where: l j = 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.</p> |
