Regional Currency Portfolio And Index
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United States of America Patent
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N/A
Issued Date -
Jun 14, 2012
app pub date -
Dec 13, 2010
filing date -
Dec 13, 2010
priority date (Note) -
Abandoned
status (Latency Note)
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Abstract
A computerized method involves determining a first currency weighting factor, for a group of countries consisting of individual countries in a region, based upon individual country GDP information relative to total regional GDP information for the group, determining a second currency weighting factor for the individual countries based upon individual country currency liquidity information relative to total regional currency liquidity information for the group, determining a third currency weighting factor for the individual countries based upon implied volatility information for each individual country in the group's currency as a percentage of the sum of the implied volatility information of the group members, wherein the third currency weighting factors are higher for higher volatilities and lower for lower volatilities, and calculating, for each of the individual countries, a currency weight factor as an average of the first, second and third currency weighting factors.
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