Method and apparatus for deriving benchmarks for trading instruments
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United States of America Patent
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Oct 1, 2013
Grant Date -
Aug 4, 2005
app pub date -
Nov 5, 2004
filing date -
Jan 2, 2003
priority date (Note) -
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Abstract
Benchmarks for the price of a financial instrument such as FX spot rate for a currency pair are calculated by an algorithm based on a previous benchmark and a market price. The market price is derived from a deal price and a quote price. The deal price is based on deals conducted since the last benchmark and the quote price is based on bids and offers entered since the last benchmark. For each of the deal and quote prices, a price, weight and scatter is calculated which is used to calculate a benchmark price, weight and scatter and a benchmark error.
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