METHODS AND SYSTEMS FOR CREATING A CREDIT VOLATILITY INDEX AND TRADING DERIVATIVE PRODUCTS BASED THEREON
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United States of America Patent
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Issued Date -
Feb 6, 2014
app pub date -
Mar 15, 2013
filing date -
Jul 31, 2012
priority date (Note) -
Abandoned
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Abstract
A computer system for calculating a credit volatility index comprising memory configured to store at least one program; and at least one processor communicatively coupled to the memory, in which the at least one program, when executed by the at least one processor, causes the at least one processor to receive data regarding options on credit default swap index derivatives; calculate, using the data regarding options on credit default swap index derivatives, the credit volatility index; and transmit data regarding the credit volatility index.
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