| 摘要 |
An exemplary aspect comprises a computer system comprising: (a) one or more servers that receive electronic data describing prices for a first category of futures positions; and (b) one or more processors that calculate an index value at a specified time based on one or more weighted price changes for said first category of futures positions, wherein said index value has a target exposure to one or more yields for said first category of futures positions. In one or more exemplary embodiments, the computer system further comprises one or more processors that receive electronic data describing prices for a second category of futures positions, wherein the index value at the specified time is based on one or more differences between weighted price changes for the first category of futures positions and the second category of futures positions. Other exemplary aspects comprise related methods and software. |
