Patent ID: 8407129
Filing Date: 2013-03-26
Classification: G06Q

Abstract:
1. A method of computing a settlement price at an expiration date of a cash settled futures contract for the delivery of an underlying most recently issued U.S. Treasury note for a selected tenor of a plurality of tenors, the method comprising: determining, by a processor, a swap spread value of the underlying most recently issued U.S. Treasury note for the selected tenor based on a plurality of swap spread quotes of a plurality of contributing dealers thereof; determining, by the processor, a swap rate value of the underlying most recently issued U.S. Treasury note for the selected tenor based on a plurality of swap rate quotes of the plurality of the contributing dealers; determining, by the processor, a present value of the underlying most recently issued U.S. Treasury note of the selected tenor by calculating the difference between the swap spread value and the swap rate value; and deriving, by the processor, the settlement price based on the determined present value of the most recently issued U.S. Treasury note of the selected tenor.