Patent ID: 8510209

Claim:
A computer-assisted method of determining a synthetic spot futures benchmark rate, the method comprising: calculating, by a processor, a number of completed transactions associated with contracts for an exchange-traded future during a time interval; if the calculated number of completed transactions exceeds a predetermined threshold, then calculating, by the processor, the benchmark rate by weighing traded prices of the contracts by an amount of volume in each completed transaction of the contracts during a predetermined time interval; else if the calculated number of completed transactions does not exceed the predetermined threshold, then receiving information to calculate, by the processor, a weighted average price using bids and asks of orders for the exchange-traded futures contracts for the time interval, and calculating the benchmark rate using the calculated weighted average price; applying, by the processor, forward points to the calculated benchmark rate to determine a spot benchmark rate; determining, by the processor, a settlement price for an over-the-counter (OTC) product according to the spot benchmark rate; and transmitting the spot benchmark rate to users at recurring intervals of time.