Patent ID: 8165942

Claim:
A computer-implemented method for computing a value for a financial market index, the method comprising: storing market data in a computer database, wherein the market data comprises interest rate data and swap rate data; determining, by a computer system that is in communication with the computer database, a leverage factor based on the market data, wherein the computer system comprises a processor circuit and a memory circuit, wherein the leverage factor is determined by: determining a change of an economic indicator during a time period, wherein the leverage factor is increased from a preceding value when the economic indicator positively increases by a predefined amount or more during the time period, wherein the leverage factor is decreased from the preceding value when the economic indicator does not positively increase by the predefined amount or more during the time period, and wherein the leverage factor is not increased above an upper bound, wherein the leverage factor is not decreased below a lower bound; calculating, by the computer system, an index value for the index based on a long position in a first municipal bond swap index and a short position in a second interest rate swap index and based on the market data, wherein the long position is leveraged against the short position based on the leverage level; and storing the calculated index value in a computer memory of the computer system.