Foreign Currency Index
AssigneeChicago Mercantile Exchange Inc.
InventorsScott Brusso, Sayee Srinivasan
Life of this patent
Estimating the term…
Abstract
Systems and methods are provided for trading and calculating the composition of foreign currencies indexed financial instruments. The compositions of the financial instruments are determined by calculating a geometric average of the exchange rates of foreign currencies with corresponding competitive weights. The competitive weights for each of the foreign currencies reflects competition between the goods of the United States and a country corresponding to the foreign currency in the markets of third countries.
Claims19
A method comprising listing for trading on an exchange a foreign currencies indexed financial instrument having a composition calculated by the method comprising:
- (i) determining from a data market module of an exchange computer system exchange rates for a group of foreign currencies;
- (ii) determining competitive weights for each of the foreign currencies such that each weight reflects competition between the goods of the United States and a country corresponding to the foreign currency in the markets of third countries as well as foreign currency trading patterns in international foreign exchange markets;
- and
- (iii) calculating a geometric average of the exchange rates with corresponding competitive weights using the formula:
- ∏
- i
- =
- 1
- n
-
-
- (
- 1
- /
- S
- i
- ,
- t
- )
- w
- i
- ,
- t
- ,
- where n is the number of foreign currencies Sit is the exchange rate of currency i at time t, expressed in dollars per unit of foreign currency and wi,t is the competitive weight of currency i at time t.
A tangible computer-readable medium having computer-executable instructions that when executed by a processor cause an exchange computer system to perform a method of calculating the composition of a foreign currencies indexed financial instrument, the method comprising:
- (a) determining exchange rates for a group of foreign currencies;
- (b) determining competitive weights for each of the foreign currencies such that each weight reflects competition between the goods of the United States and a country corresponding to the foreign currency in the markets of third countries;
- and
- (c) calculating a geometric average of the exchange rates with corresponding competitive weights using the formula:
- ∏
- i
- =
- 1
- n
-
-
- (
- 1
- /
- S
- i
- ,
- t
- )
- w
- i
- ,
- t
- ,
- where n is the number of foreign currencies Sit is the exchange rate of currency i at time t, expressed in dollars per unit of foreign currency and wi,t is the competitive weight of currency i at time t to create the foreign currencies indexed financial instrument.
Dependencies are inferred from the claim text.