Carry-Adjusted Index Futures
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United States of America Patent
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Issued Date -
Dec 31, 2015
app pub date -
Oct 21, 2014
filing date -
Jun 30, 2014
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Abstract
A calculation of a value for a carry-adjusted version of an economic index may include adjusting an equity component by a carrying cost component. The equity component may be based on a value of the economic index corresponding to the current time. The carrying cost component may be based on a carrying cost rate and a time period from the current time to a previous time. The calculation may be periodically reset to, e.g., reflect a new carrying cost rate. The carry-adjusted version of an economic index may be the underlying of a futures contract or other type of product.
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