Patent ID: 7840483

Claim:
A computer-assisted method for use with settling an over-the-counter derivative product, comprising: receiving information associated with each of a plurality of completed transactions for an exchange-traded financial derivative, the information including at least price and volume, the plurality of completed transactions occurring during a periodic interval, and the exchange-traded financial derivative comprises a specific future date for delivery of a first currency in exchange for payment in a second currency; computing, using a computer processor, a volume-weighted average price based on the information received, where the computing of the volume-weighted average price comprises computing, using the computer processor, the average of a midpoint of bids and asks of orders for the exchange-traded financial derivative during the periodic interval if number of the plurality of completed transactions is less than a predetermined threshold; applying, using the computer processor, forward points to the volume weighted average price to determine an associated spot exchange rate between the first currency and the second currency; determining, using the computer processor, a settlement price for the over-the-counter derivative product according to the associated spot exchange rate; and publishing the settlement price.