Valuation of a futures contract

摘要

The invention relates to a data processing system and method for repetetively determining a resource amount for counterbalancing the transfer of a failure risk pertaining to a bundle of constructs that may individually fail. The system comprises a data storage for storing reference values of the bundle of constructs for distinct individual time instances during the resource amount determination. The reference values indicate a value of a respective reference construct or a value of a reference bundle of constructs. The system further comprises a calculation unit connected to the data storage for calculating a value of the resource amount for an individual time instance based on the reference values. The invention is particularly suitable for valuing a futures contract that is based on a basket of credit default swaps as underlyings. <IMAGE>