Method for structuring, pricing and settling a current mortgage price indicator contract

A computer readable medium with a computer program stored thereon, wherein the computer program has control logic for causing a computer to determine the cheaper-to-deliver, settlement price of a current mortgage price indicator (CMPI) mortgage futures contract, wherein the CMPI mortgage futures contract includes a set of a number N coupons from MBS backed by conventional 30-year mortgages, said control logic comprising:

• first computer readable program code means for causing the computer to receive an electronic input indicative of a plurality of bid and ask prices for coupons issued by a first agency and by a second agency corresponding to each of said N coupons in the CMPI mortgage futures contract and store the electronic input in memory;
• second computer readable program code means for causing the computer to calculate a price, P, for each of said corresponding N coupons issued by said first agency and for each of said corresponding N coupons issued by said second agency using said plurality of bid and ask prices based on the electronic input stored in memory, and storing the price P in memory;
• and
• third computer readable program code means for causing the computer to set the settlement price of the CMPI mortgage futures contract based on the price P stored in memory, wherein the settlement price of the CMPI mortgage futures contract is equal to:
• ∑
• i
• =
• 1
• N
• ⁢
• ⁢
• X
• i
• ·
• min
• ⁡
• [
• P
• i
• Agency
• ⁢
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• 1
• ,
• P
• i
• Agency
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• 2
• ]
• where variable X is a numerical weight assigned to each of said set of N coupons when the CMPI mortgage futures contract was first structured.