Patent ID: 7792730

Claim:
A data processing system for valuing a futures contract that is based on a basket of credit default swaps as underlyings, the system comprising: a physical data storage medium for storing credit spread values for each credit default swap in the basket for a plurality of individual valuation time instances for said futures contract wherein said data storage medium stores a plurality of event data for individual credit default swaps in the basket, said event data indicating whether a credit event has or has not occurred for the respective credit default swap, and a calculation processor connected to said data storage medium that calculates a value of said futures contract for an individual valuation time instance based on said credit spread values of the credit default swaps in the basket, thereby producing and storing the value of said futures contract internally; and wherein said calculation processor disregards the credit spread values of credit default swaps in the basket having experienced a credit event when calculating said value of said futures contract.