WO2014143214A1 - Methods and systems for creating a government bond volatility index and trading derivative products based thereon - Google Patents
Methods and systems for creating a government bond volatility index and trading derivative products based thereon Download PDFInfo
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Classifications
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
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- G—PHYSICS
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- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/06—Asset management; Financial planning or analysis
Definitions
- the present disclosure relates to fixed income derivative investment markets.
- a derivative is a financial instrument whose value depends at least in part on the value and/or characteristic(s) of another security, known as an underlying asset.
- underlying assets include, but are not limited to: interest rate financial instruments (e.g., bonds), commodities, securities, electronically traded funds, and indices.
- interest rate financial instruments e.g., bonds
- commodities e.g., bonds
- securities e.g., securities
- electronically traded funds e.g., indices.
- indices e.g., indices.
- Two exemplary and well- known derivatives are options and futures contracts.
- Derivatives such as options and futures contracts
- Derivatives may be traded over-the-counter and/or on other trading platforms, such as organized exchanges (e.g., the Chicago Board Options Exchange, Incorporated ("CBOE")).
- CBOE Chicago Board Options Exchange, Incorporated
- over-the-counter transactions the individual parties to a transaction are able to customize each transaction to meet each party's individual needs.
- trading platform or exchange traded derivatives buy and sell orders for standardized derivative contracts are submitted to an exchange where they are matched and executed.
- modern trading exchanges have exchange specific computer systems that allow for the electronic submission of orders via electronic communication networks, such as the Internet.
- An example of an exchange specific computer system is illustrated in Figure 1.
- an option contract gives the contract holder a right, but not an obligation, to buy or sell an underlying asset at a specific price on or before a certain date, depending on the option style (ej j ., American or European).
- an option contract obligates the seller of the contract to deliver an underlying asset at a specific price on or before a certain date, depending on the option style (e.g., American or European).
- An American style option may be exercised at any time prior to its expiration.
- a European style option may be exercised only at its expiration, i.e., at a single pre-defined point in time.
- a call option conveys to the holder a right to purchase an underlying asset at a specific price (i.e., the strike price), and obligates the writer to deliver the underlying asset to the holder at the strike price.
- a put option conveys to the holder a right to sell an underlying asset at a specific price (Le,, the strike price), and obligates the writer to purchase the underlying asset at the strike price.
- a future contract gives a buyer of the future an obligation to receive delivery of an underlying commodity or asset on a fixed date in the future. Accordingly, a seller of the future contract has the obligation to deliver the commodity or asset on the specified date for a given price.
- Futures may be settled using physical or cash settlement. Both option and future contracts may be based on abstract market indicators, such as indices, and are typically traded on an exchange.
- tenor of the underlying bond shall refer to the time to maturity of the bond underlying the future, which in turn underlies the future option because the option is written on the future and not directly on the bond.
- a forward contract gives a buyer of the forward an obligation to receive delivery of an underlying commodity or asset on a fixed date in the future. Accordingly, a seller of the forward contract has the obligation to deliver the commodity or asset on the specified date for a given price.
- Forwards may be settled using physical or cash settlement.
- Forward contracts may be based on abstract market indicators, such as indices, and are typically traded OTC.
- the term "tenor of the underlying bond” shall refer to the time to maturity of the bond underlying the forward, which in turn underlies the forward option because the option is written on the forward and not directly on the bond.
- An index is a statistical composite that is used to indicate the performance of a market or a market sector over various time periods, Le., act as a performance benchmark.
- index calls examples include the Dow Jones Industrial Average, the National Association of Securities Dealers Automated Quotations ("NASDAQ”) Composite Index, and the Standard & Poor's 500 (“S&P 500®”).
- options on indices are generally cash settled. For example, using cash settlement, a holder of an index call option receives the right to purchase not the index itself, but rather a cash amount equal to the value of the index multiplied by a multiplier, e ⁇ ,, $100.
- a multiplier e ⁇
- the writer of the option must pay the holder, provided the option is in-the-money, the difference between the current value of the underlying index and the strike price multiplied by a multiplier.
- indices that derivatives may be based on are those that gauge the volatility of a market or a market subsection.
- CBOE created and disseminates the CBOE Market Volatility Index or VIX®, which is a key measure of market expectations of near- term volatility conveyed by S&P 500 stock index options prices.
- VIX® CBOE Market Volatility Index
- CBOE offers exchange traded derivative products (both futures and options) that use the VIX as the underlying asset.
- Volatility indices and the derivative products based thereon have been widely accepted by the financial industry as both a useful tool to hedge positions and as a device for expressing investment views on the direction of volatility.
- a government bond is a debt instrument issued by a sovereign entity. Bonds have varying maturities and may make periodic fixed or floating interest payments, i.e. coupons. Depending on the issuing government or the term of the bond, government bonds go by different names, including but not limited to Treasury bill, Treasury note, Treasury bond, German bund, German bobl, German schatz, Japanese government bond (JGB), UK Gilt and so on.
- some embodiments of the invention provide techniques for calculating an effective volatility index related to the GB market. Additionally, some embodiments of the invention provide techniques for instantiating and/or facilitating trading of derivative products based on such an index.
- techniques are provided for creating and disseminating one or more volatility indices calculated using data for options on government bond derivatives such as futures and forwards ( e ⁇ , an option granting its owner the right but not the obligation to enter into an underlying bond derivative contract), and facilitating the electronic creation and trading of derivative products based on one or more indices relating to volatility.
- the present invention provides a computer system for calculating a government bond 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 government bond derivatives; calculate, using the data regarding options on government bond derivatives, the government bond volatility index; and transmit data regarding the government bond volatility index.
- the data regarding options on government bond derivatives includes data regarding prices of options on government bond derivatives.
- the data regarding prices of options on government bond derivatives includes data regarding prices of options on government bond futures or government bond forwards.
- the data regarding prices of options on government bond derivatives includes data regarding prices of European style options on government bond forwards.
- the data regarding prices of options on government bond derivatives includes data regarding prices of options that are not European style options on government bond forwards.
- the data regarding prices of options on government bond derivatives includes data regarding prices of options that are not European-style options on government bond forwards, converting the data regarding prices of options that are not
- calculating the government bond volatility index includes valuing a basket of options on the government bond derivatives required for model-independent pricing of a variance swap contract on the government bond derivatives.
- the government bond volatility index is calculated at time t according to the equation:
- t denotes a time at which the government bond volatility index is calculated
- T denotes a time of expiry of options on government bond derivatives
- TD denotes a time of maturity of government bond derivatives underlying the options T denotes a time of expiry of government bonds;
- Z+l denotes a total number of options used in the index calculation
- Kj denotes the i th highest strike of the Z+l options
- Kz denotes the highest strike of the Z+l options
- F t (To,T ) is a price at time t of a government bond derivative contract underlying the put and call options, expiring at TD with an underlying government bond maturing at TN;
- K # is the first available strike below F T (T D ,T N );
- P t (T) is a price at time t of a zero-coupon non-defaultable bond maturing at T;
- Put t ⁇ K t , T, T D> T N is a price at time t of a put option, struck at Kj, expiring at T, and having an underlying government bond derivative expiring at TD with an underlying bond maturing at T ;
- GB - VI(t, T, T D , T N ) is the value of the government bond volatility index at time t calculated based on options expiring at T on government bond derivatives expiring at TD with an underlying bond maturing at T N .
- the government bond volatility index is calculated at time t according to the equation: GB - VI bp (t, T, T D , T N ) ⁇ -
- t denotes a time at which the government bond volatility index is calculated
- T denotes a time of expiry of options on government bond derivatives
- TD denotes a time of maturity of government bond derivatives underlying the options where TD ⁇ T;
- TN denotes a time of expiry of government bonds
- Z+l denotes a total number of options used in the index calculation
- o denotes the lowest strike of the Z+l options
- Kj denotes the i th highest strike of the Z+l options
- Kz denotes the highest strike of the Z+l options
- Ft(To,T N ) is the strike at which the difference between the put and call prices is smallest
- K* F t (T D ,TN);
- P t (T) is a price at time t of a zero-coupon non-defaultable bond maturing at T;
- Put ⁇ K j , T, T D , T N is a. price at time t of a put option, struck at 3 ⁇ 4, expiring at T, and having an underlying government bond derivative expiring at T D with an underlying bond maturing at TN;
- T ( , , D , w ) is a price at time t of a call option, struck at Kj, expiring at T, and having an underlying government bond derivative expiring at T D with an underlying bond maturing at TN;
- GB- VI bp (t, T, T D , T N ) is the value of the government bond volatility index at time t calculated based on options expiring at T on government bond derivatives expiring at To with an underlying bond maturing at TN.
- the government bond volatility index is calculated at time t according to the equation
- t denotes a time at which the government bond volatility index is calculated
- T denotes a time of expiry of options on government bond derivatives
- t j is the first coupon payment on or after T
- TD denotes a time of maturity of government bond derivatives underlying the options where TD>T;
- TN denotes a time of expiry of government bonds
- Z+l denotes a total number of options used in the index calculation
- Ki denotes the i th highest strike of the Z+l options
- Kz denotes the highest strike of the Z+l options
- AK, (K M - K M ) for z > l
- Ft(To, ) is a price at time t of a government bond derivative contract underlying the put and call options, expiring at TD with an underlying government bond maturing at TN;
- P t (T) is a price at time t of a zero-coupon non-defaultable bond maturing at T;
- Put t (K n T, T D , T N )is a price at time t of a put option, struck at 3 ⁇ 4, expiring at T, and having an underlying government bond derivative expiring at T D with an underlying bond maturing at T ;
- N denotes the total number of coupon payments of a government bond
- n denotes the frequency of coupon payments per annum of a government bond
- y denotes the yield of a government bond
- x denotes the yield of a government bond
- P(y) is a bond price corresponding to a bond yield of a coupon-bearing government bond
- P r (x) is a bond price at time T corresponding to a bond yield of a coupon-bearing government bond
- dciyear is the number of days in a year based on a day count convention used for the government bond
- dc ⁇ T - t) is the number of days between t and T based on a day count convention used for the government bond;
- GB - VI bp (t, T, T D , T N )is the value of the government bond volatility index in terms of basis point price volatility at time t calculated based on options expiring at T on government bond derivatives expiring at To with an underlying bond maturing at T N ;
- GB - VI (t, T, T D , T N )is the value of the government bond volatility index in terms of percentage price volatility at time t calculated based on options expiring at T on government bond derivatives expiring at To with an underlying bond maturing at T .
- the government bond volatility index is calculated at time t according to the equation:
- t denotes a time at which the government bond volatility index is calculated
- T denotes a time of expiry of options on government bond derivatives
- TN denotes a time of expiry of government bonds
- Z+l denotes a total number of options used in the index calculation
- Kj denotes the i th highest strike of the Z+l options
- Kz denotes the highest strike of the Z+l options
- AK, (K M - K folk) for > l
- AK 0 (K - K 0 )
- ⁇ ⁇ (K z - K Z )
- Ft(To,TN) is a price at time t of a government bond derivative contract underlying the put and call options, expiring at Tp with an underlying government bond maturing at TN;
- F T (T D ,TN) is the strike at which the difference between the put and call prices is smallest;
- K* F T (T D ,TN);
- K* is the first available strike below F((T D ,T N );
- P t (T) is a price at time t of a zero-coupon non-defaultable bond maturing at T;
- N denotes the total number of coupon payments of a government bond
- Ci denotes the amount of the i th coupon out of N coupons of a government bond
- n denotes the frequency of coupon payments per annum of a government bond
- x denotes the yield of a government bond
- P r (x) is a bond price corresponding to a bond yield of a coupon-bearing government bond
- dciyear is the number of days in a year based on a day count convention used for the government bond
- dc(T- t) is the number of days between t and T based on a day count convention used for the government bond;
- t j is the first coupon payment on or after T
- GB - VI y (t, T, T D , T N ) is the value of the government bond volatility index in terms of basis point yield volatility at time t calculated based on options expiring at T on government bond derivatives expiring at To with an underlying bond maturing at T N ;
- GB - VI bp (t, T, T D , T N )is the value of the government bond volatility index in terms of basis point price volatility at time t calculated based on options expiring at T on government bond derivatives expiring at To with an underlying bond maturing at TN;
- GB - VI(t, T, T D , T N ) is the value of the government bond volatility index in terms of percentage price volatility at time t calculated based on options expiring at T on government bond derivatives expiring at TD with an underlying bond maturing at T N .
- the at least one processor is further caused to create a standardized exchange-traded derivative instrument based on the government bond volatility index; and transmit data regarding the standardized exchange-traded derivative.
- transmitting data regarding the standardized exchange- traded derivative instrument includes transmitting data regarding one or more of a settlement price, a bid price, an offer price, or a trade price of the standardized exchange-traded derivative instrument.
- a nun- transitory computer readable storage medium having computer-executable instructions recorded thereon that, when executed on a computer, configure the computer to perform a method to calculate a government bond volatility index, the method comprising receiving data regarding options on government bond derivatives;
- the data regarding options on government bond derivatives includes data regarding prices of options on government bond derivatives.
- the data regarding prices of options on government bond derivatives includes data regarding prices of options on government bond futures or government bond forwards.
- the data regarding prices of options on government bond derivatives includes data regarding prices of European style options on government bond forwards.
- the data regarding prices of options on government bond derivatives includes data regarding prices of options that are not European style options on government bond forwards.
- the data regarding prices of options on government bond derivatives includes data regarding prices of options that are not European-style options on government bond forwards, converting the data regarding prices of options that are not European-style options on
- calculating the government bond volatility index includes valuing a basket of options on the government bond derivatives required for model-independent pricing of a variance swap contract on the government bond derivatives.
- the government bond volatility index is calculated at time t according to the equation:
- t denotes a time at which the government bond volatility index is calculated
- T denotes a time of expiry of options on government bond derivatives
- T D T denotes a time of maturity of government bond derivatives underlying the options where T D T;
- TN denotes a time of expiry of government bonds
- Z+l denotes a total number of options used in the index calculation
- Kj denotes the i th highest strike of the Z+l options
- F t (To,T ) is the strike at which the difference between the put and call prices is smallest
- P t (T) is a price at time t of a zero-coupon non-defaultable bond maturing at T;
- Put t (K n T, T D , T N ) is a price at time t of a put option, struck at Kj, expiring at T, and having an underlying government bond derivative expiring at TD with an underlying bond maturing at TN;
- Call t (K T, T D , T N ) is a price at time t of a call option, struck at Kj, expiring at T, and having an underlying government bond derivative expiring at TQ with an underlying bond maturing at TN;
- GB- VI(t, T, T D , T N ) is the value of the government bond volatility index at time t calculated based on options expiring at T on government bond derivatives expiring at To with an underlying bond maturing at 3 ⁇ 4.
- the government bond volatility index is calculated at time t according to the equation:
- t denotes a time at which the government bond volatility index is calculated
- T denotes a time of expiry of options on government bond derivatives
- TD denotes a time of maturity of government bond derivatives underlying the options where TD ⁇ T;
- TN denotes a time of expiry of government bonds
- Z+l denotes a total number of options used in the index calculation
- Kj denotes the i th highest strike of the Z+l options
- Kz denotes the highest strike of the Z+l options
- F T (TD > ) is the strike at which the difference between the put and call prices is smallest
- P t (T) is a price at time t of a zero-coupon non-defaultable bond maturing at T;
- Put t (K j ⁇ T, T D , T N )is a price at time t of a put option, struck at 3 ⁇ 4, expiring at T, and having an underlying government bond derivative expiring at T D with an underlying bond maturing at TN;
- Call t ⁇ K T, T D , T N is a price at time t of a call option, struck at Kj, expiring at T, and having an underlying government bond derivative expiring at To with an underlying bond maturing at TN;
- GB - VI bp (t, T, T D , T N ) is the value of the government bond volatility index at time t calculated based on options expiring at T on government bond derivatives expiring at T D with an underlying bond maturing at TN.
- the government bond volatility index is calculated at time t according to the equation
- t denotes a time at which the government bond volatility index is calculated
- T denotes a time of expiry of options on government bond derivatives
- t j is the first coupon payment on or after T
- TD denotes a time of maturity of government bond derivatives underlying the options where TD ⁇ T;
- TN denotes a time of expiry of government bonds
- Z+l denotes a total number of options used in the index calculation
- Kj denotes the i th highest strike of the Z+l options
- Kz denotes the highest strike of the Z+l options
- F t (To,T ) is a price at time t of a government bond derivative contract underlying the put and call options, expiring at TD with an underlying government bond maturing at 3 ⁇ 4;
- F t (To,T ) is the strike at which the difference between the put and call prices is smallest
- P t (T) is a price at time t of a zero-coupon non-defaultable bond maturing at T
- Put l (K T, T D> T N ) is a price at time t of a put option, struck at 3 ⁇ 4, expiring at T, and having an underlying government bond derivative expiring at To with an underlying bond maturing at TN;
- Call t (K j ⁇ T, T D , T N )is a price at time t of a call option, struck at Kj, expiring at T, and having an underlying government bond derivative expiring at To with an underlying bond maturing at TN;
- N denotes the total number of coupon payments of a government bond
- n denotes the frequency of coupon payments per annum of a government bond
- y denotes the yield of a government bond
- x denotes the yield of a government bond
- P(y) is a bond price corresponding to a bond yield of a coupon-bearing government bond
- P r (x) is a bond price at time T corresponding to a bond yield of a coupon-bearing government bond
- P T ⁇ x is the functional inverse of P T (x);
- dc year is the number of days in a year based on a day count convention used for the government bond
- dc(T ⁇ t) is the number of days between t and T based on a day count convention used for the government bond
- GB - VI y P (t, T, T D , T N ) is the value of the government bond volatility index in terms of basis point yield volatility at time t calculated based on options expiring at T on government bond derivatives expiring at To with an underlying bond maturing at T ;
- GB- VI bp (t, T, T D , T N )i ' s the value of the government bond volatility index in terms of basis point price volatility at time t calculated based on options expiring at T on government bond derivatives expiring at T D with an underlying bond maturing at T ;
- the government bond volatility index is calculated at time t according to the equation:
- t denotes a time at which the government bond volatility index is calculated
- T denotes a time of expiry of options on government bond derivatives
- T N denotes a time of expiry of government bonds
- Z+l denotes a total number of options used in the index calculation
- Kj denotes the i" 1 highest strike of the Z+l options
- z denotes the highest strike of the Z+ l options
- F T (T D ,T N ) is the strike at which the difference between the put and call prices is smallest;
- P,(T) is a price at time t of a zero-coupon non-defaultable bond maturing at T;
- (K p T, T D , T N ) is & price at time t of a put option, struck at Kj, expiring at T, and having an underlying government bond derivative expiring at T D with an underlying bond maturing at T N ;
- Call t (K j , T, T D , T N ) is a price at time t of a call option, struck at Kj, expiring at T, and having an underlying government bond derivative expiring at T D with an underlying bond maturing at T N ;
- N denotes the total number of coupon payments of a government bond
- Q denotes the amount of the i" 1 coupon out of N coupons of a government bond
- n denotes the frequency of coupon payments per annum of a government bond
- x denotes the yield of a government bond
- B r (x) is a bond price corresponding to a bond price to bond yield of a coupon-bearing government bond
- ⁇ '(x) is the functional inverse of P T (x) ;
- dciyear is the number of days in a year based on a day count convention used for the government bond
- dc(T - t) is the number of days between t and T based on a day count convention used for the government bond;
- tj is the first coupon payment on or after T
- GB - VI yd P (t, , T D , T N ) is the value of the government bond volatility index in terms of basis point yield volatility at time t calculated based on options expiring at T on government bond derivatives expiring at T D with an underlying bond maturing at T N ;
- GB- VI bp ⁇ t i T, T D , T N ) is the value of the government bond volatility index in terms of basis point price volatility at time t calculated based on options expiring at T on government bond derivatives expiring at T D with an underlying bond maturing at T N ;
- GB- VI(t, T, T D , T N ) is the value of the government bond volatility index in terms of percentage price volatility at time t calculated based on options expiring at T on government bond derivatives expiring at T D with an underlying bond maturing at T N .
- the at least one processor is further caused to create a standardized exchange-traded derivative instrument based on the government bond volatility index; and transmit data regarding the standardized exchange-traded derivative,
- transmitting data regarding the standardized exchange-traded derivative instrument includes transmitting data regarding one or more of a settlement price, a bid price, an offer price, or a trade price of the standardized exchange-traded derivative instrument.
- Figure 1 is a diagram of a financial exchange's computerized trading system
- Figure 2 is a diagram of a financial exchange's back end trading system
- Figure 3 is a flow diagram of a method of calculating a Basis Point GB price volatility index
- Figure 4 is a flow diagram of a method of calculating a Percentage GB price volatility index
- Figure 5 is a diagram of a general purpose computer system that can be modified via computer hardware or software to be customized and specialized so as to be suitable for use in a financial exchanges computerized trading system;
- Figure 6 is a flow diagram of a method of calculating a Basis Point GB yield volatility index.
- Figure 7 is a flow diagram of a method of calculating a Modified Duration-Based
- Some embodiments of the present invention can be implemented on financial exchange systems and/or other known financial industry systems, whether now known or later developed.
- financial exchange systems and other known financial industry systems utilize a combination of computer hardware (e.g., client and server computers, which may include computer processors, memory, storage, input and output devices, and other known components of computer systems; electronic communication equipment, such as electronic communication lines, routers, switches, etc; electronic information storage systems, such as network-attached storage and storage area networks) and computer software (i.e., the instructions that cause the computer hardware to function in a specific way) to achieve the desired system performance.
- computer hardware e.g., client and server computers, which may include computer processors, memory, storage, input and output devices, and other known components of computer systems
- electronic communication equipment such as electronic communication lines, routers, switches, etc
- electronic information storage systems such as network-attached storage and storage area networks
- computer software i.e., the instructions that cause the computer hardware to function in a specific way
- Figure 1 illustrates an electronic trading system 100 which may be used for creating and disseminating a GB future option-based index (such as a GB volatility index) and/or creating, listing and trading derivative contracts that are based on a GB future option index.
- a GB future option-based index such as a GB volatility index
- system 100 would be implemented utilizing a combination of computer hardware and software, as described in the paragraph above. It will be appreciated that the described systems may implement the methods described below.
- the system 100 includes components operated by an exchange, as well as components operated by others who access the exchange to execute trades.
- the components shown within the dashed lines are those operated by the exchange. Components outside the dashed lines are operated by others, but nonetheless are necessary for the operation of a functioning exchange.
- the exchange components 122 of the trading system 100 include an electronic trading platform 120, a member interface 108, a matching engine 1 10, and backend systems 1 12. Backend systems not operated by the exchange but which are integral to processing trades and settling contracts are the Clearing Corporation's systems 114, and Member Firms' backend systems 1 16.
- Market Makers may access the trading platform 120 directly through personal input devices 104 which communicate with the member interface 108.
- Market makers may quote prices for the derivative contracts of the present invention, e ⁇ g., GB volatility index derivative contracts.
- Non-member Customers 102 must access the exchange through a Member Firm.
- Customer orders are routed through Member Firm routing systems 106.
- the Member Firm routing systems 106 forward the orders to the exchange via the member interface 108.
- the member interface 108 manages all communications between the Member Firm routing systems 106 and Market Makers' personal input devices 104; determines whether orders may be processed by the trading platform; and determines the appropriate matching engine for processing the orders.
- the trading platform 120 may include multiple matching engines. Different exchange traded products may be allocated to different matching engines for efficient execution of trades.
- the member interface 102 When the member interface 102 receives an order from a Member Firm routing system 106, the member interface 108 determines the proper matching engine 1 10 for processing the order and forwards the order to the appropriate matching engine.
- the matching engine 1 10 executes trades by pairing corresponding marketable buy/sell orders. Non-marketable orders are placed in an electronic order book.
- the matching engine 1 10 sends details of the executed transactions to the exchange backend systems 1 12, to the Clearing Corporation systems 1 14, and to the Member Firm backend systems 116.
- the matching engine also updates the order book to reflect changes in the market based on the executed transactions. Orders that previously were not marketable may become marketable due to changes in the market. If so, the matching engine 1 10 executes these orders as well.
- the exchange backend systems 1 12 perform a number of different functions. For example, contract definition and listing data originate with the Exchange backend systems 1 12.
- the GB future option indices of the present invention e.g., the GB volatility indices described below, and pricing information for derivative contracts associated with the indices of the present invention are disseminated from the exchange backend systems to market data vendors 1 18.
- Customers 102, market makers 104, and others may access the market data regarding the indices of the present invention and the derivative contracts based on the indices of the present invention via, for example, proprietary networks, on-line services, and the like.
- the exchange backend systems also evaluate the underlying asset or assets on which the derivative contracts of the present invention are based.
- the backend systems 1 12 determine the appropriate settlement amounts and supply final settlement data to the Clearing Corporation 1 14.
- the Clearing Coiporation 1 14 acts as the exchange's bank and performs a final mark-to-market on Member Finn margin accounts based on the positions taken by the Member Firms' customers.
- the final mark-to-market reflects the final settlement amounts for the derivative contracts of the present invention, and the Clearing Corporation debits/credits Member Firms' accounts accordingly. These data are also forwarded to the Member Firms' systems 1 16 so that they may update their customer accounts as well.
- Figure 2 shows an embodiment of the exchange backend systems 112 used for creating and disseminating an index of the present invention, ejg., a GB volatility index, and/or creating, listing, and trading derivative contracts that are based on an index of the present invention.
- a derivative contract of the present invention has a definition stored in module 202 that contains all relevant data concerning the derivative contract to be traded on the trading platform 120, including, for example, the contract symbol, a definition of the underlying asset or assets associated with the derivative, or a term of a calculation period associated with the derivative.
- a pricing data accumulation and dissemination module 204 receives contract information from the derivative contract definition module 202 and transaction data from the matching engine 110.
- the pricing data accumulation and dissemination module 204 provides the market data regarding open bids and offers and recent transactions to the market data vendors 118.
- the pricing data accumulation and dissemination module 204 also forwards transaction data to the Clearing Corporation 114 so that the Clearing Coiporation 114 may mark-to-market the accounts of Member Firms at the close of each trading day, taking into account current market prices for the derivative contracts of the present invention.
- a settlement calculation module 206 receives input from the derivative monitoring module 208. On the settlement date the settlement calculation module 206 calculates the settlement amount based on the value associated with the underlying asset or assets, e ⁇ g., the value of a GB volatility index. The settlement calculation module 206 forwards the settlement amount to the Clearing
- FIG. 5 an illustrative embodiment of a general computer system that may be used for one or more of the components shown in Figure 1 , or in any other trading system configured to cany out the methods discussed in further detail below, is shown and is designated 500.
- the computer system 500 can include a set of instructions that can be executed to cause the computer system 500 to perform any one or more of the methods or computer based functions disclosed herein.
- the computer system 500 may operate as a standalone device or may be connected, e.g., using a network, to other computer systems or peripheral devices.
- the computer system may operate in the capacity of a server or as a client user computer in a server-client user network environment, or as a peer computer system in a peer-to-peer (or distributed) network environment.
- the computer system 500 can also be implemented as or incorporated into various devices, such as a personal computer ("PC"), a tablet PC, a set-top box (“STB”), a personal digital assistant ("PDA”), a mobile device, a palmtop computer, a laptop computer, a desktop computer, a network router, switch or bridge, or any other machine capable of executing a set of instructions (sequential or otherwise) that specify actions to be taken by that machine.
- the computer system 500 can be implemented using electronic devices that provide voice, video or data communication. Further, while a single computer system 500 is illustrated, the term
- system shall also be taken to include any collection of systems or sub-systems that individually or jointly execute a set, or multiple sets, of instructions to perform one or more computer functions.
- the computer system 500 may include a processor 502, such as a central processing unit (“CPU”), a graphics processing unit (“GPU”), or both.
- a processor 502 such as a central processing unit (“CPU"), a graphics processing unit (“GPU”), or both.
- the computer system 500 can include a main memory 504 and a static memory 506 that can communicate with each other via a bus 508.
- the computer system 500 may further include a video display unit 510, such as a liquid crystal display (“LCD”), an organic light emitting diode (“OLED”), a flat panel display, a solid state display, or a cathode ray tube (“CRT").
- the computer system 500 may include an input device 512, such as a keyboard, and a cursor control device 514, such as a mouse.
- the computer system 500 can also include a disk drive unit 516, a signal generation device 518, such as a speaker or remote control, and a network interface device 520.
- the disk drive unit 516 may include a computer-readable medium 522 in which one or more sets of instructions 524, e.g., software, can be embedded. Further, the instructions 524 may embody one or more of the methods or logic as described herein. In a particular embodiment, the instructions 524 may reside completely, or at least partially, within the main memory 504, the static memory 506, and/or within the processor 502 during execution by the computer system 500. The main memory 504 and the processor 502 also may include computer-readable media.
- dedicated hardware implementations such as application specific integrated circuits, programmable logic arrays and other hardware devices, can be constructed to implement one or more of the methods described herein.
- Applications that may include the apparatus and systems of various embodiments can broadly include a variety of electronic and computer systems.
- One or more embodiments described herein may implement functions using two or more specific interconnected hardware modules or devices with related control and data signals that can be communicated between and through the modules, or as portions of an application-specific integrated circuit. Accordingly, the present system
- the methods described herein may be implemented by software programs executable by a computer system.
- implementations can include distributed processing, component/object distributed processing, and parallel processing.
- virtual computer system processing can be constructed to implement one or more of the methods or functionality as described herein.
- the present disclosure contemplates a computer-readable medium that includes instructions 524 or receives and executes instructions 524 responsive to a propagated signal, so that a device connected to a network 526 can communicate voice, video or data over the network 526. Further, the instructions 524 may be transmitted or received over the network 526 via the network interface device 520.
- “computer-readable medium” includes a single medium or multiple media, such as a centralized or distributed database, and/or associated caches and servers that store one or more sets of instructions.
- the term “computer-readable medium” shall also include any medium that is capable of storing, encoding or carrying a set of instructions for execution by a processor or that cause a computer system to perform any one or more of the methods or operations disclosed herein.
- the computer-readable medium can include a solid-state memory such as a memory card or other package that houses one or more non-volatile read-only memories. Further, the computer-readable medium can be a random access memory or other volatile re-writable memory. Additionally, the computer- readable medium can include a magneto-optical or optical medium, such as a disk or tapes or other storage device to capture information communicated over a transmission medium. A digital file attachment to an e-mail or other self-contained information archive or set of archives may be considered a distribution medium that is equivalent to a tangible storage medium.
- the disclosure is considered to include any one or more of a computer-readable medium or a distribution medium and other equivalents and successor media, in which data or instructions may be stored.
- GB volatility indices (“GB-VI”) may be calculated and disseminated using the systems shown in Figures 1 , 2, and 5 and described in detail above.
- the GB-VIs reflect the fair value of contracts for delivery of realized volatility of GB futures of arbitrary tenor, and reflect the expected volatility of GB futures prices within arbitrary investment horizons.
- the indexes may also be interpreted as the fair value of contracts for delivery of realized volatility of GB forwards, and reflect the expected volatility of GB forward prices within arbitrary investment horizons since realized and expected volatilities of futures and forwards are mathematically equivalent in the framework of the index design.
- GB-VIs can be calculated for GBs in any country and currency for which bond futures (or forwards) and bond future (or forward) options markets exist.
- the GB-VI is calculated based on data relating to a market for options on GB futures or forwards.
- the GB-VIs would currently be particularly well suited for GB future (or forward) and GB future (or forward) option markets for bonds issued by the governments of the United States, Germany, United Kingdom, and Japan, among others.
- the GB-VIs are calculated for each maturity-tenor combination (i.e. maturity of the option and tenor of the bond underlying the future or forward underlying the option) on the "volatility surface," by aggregating the price of at-the-money and out of-the money put and call options on bond futures (i.e., the option "skew," the “volatility skew”), such as into a single formula, which may be independent of any option pricing model.
- These GB-VIs match the prevailing market practice of quoting volatility in interest rate markets in terms of either basis point price volatility or percentage price volatility.
- any reference to volatility should be interpreted as price volatility and not yield volatility.
- the GB-VIs may also be quoted in terms of basis point yield volatility (i.e. as opposed to price volatility),or modified duration-based basis point yield volatility, based on a model-free conversion from price volatility to yield volatility.
- the GB-VIs described herein can reflect the fair market value of contracts for future delivery of GB volatility, at each point of the volatility surface, Le., over any arbitrary maturity and underlying tenor.
- the contract allows the seller to choose from a set of multiple "deliverable" GBs, in which case the underlying bond, B t ⁇ T N ), can be interpreted as the price tracking the
- the forward price is a martingale under the "forward probability" Q T which is defined
- ⁇ M v s (T, T N )dW Fr (s) where W T (s) is a Brownian motion under Q pT and v s (T, T N ) is the instantaneous volatility.
- a "government bond variance swap agreement" is a contract in which party A agrees at time t to pay party B at time T the amount
- E t is the expectation under the risk-neutral probability Q
- E F> is the expectation under the forward probability Q fT
- both expectations are taken conditional on information up to time t.
- the last term is spanned by options with the following relationship F T (T,T N ) 1 ⁇ ,( ⁇ , ⁇ , ⁇ ⁇ ) I Call,(K,T,T N )
- Put,(t, T, T N ) is the price of a European-style put option with strike and maturity T on a
- K 0 denotes the lowest strike of the Z+1 options
- Kj denotes the i th highest strike of the Z+1 options
- K z denotes the highest strike of the Z+1 options
- a dA ⁇ . ⁇ (K M -K H ) for > 1
- a "Percentage Government Bond Price Volatility Index” is expressed as:
- a "government bond basis point variance swap agreement" is a contract in which party A agrees at time t to pay party B at time T the amount V»(T, T N )-S»(t, T, T N ), T ⁇ T N where. V, bp (T, T N ) ⁇ F?(T, T N ds and S bp (t, T, T N ) is the strike fixed at time t with fair value
- a "Basis Point Government Bond Price Volatility Index” is expressed as:
- GB - VI bp (t, T, T N ) B.(T N ) x GB ⁇ VI (t, T, T N )
- dciyear is the number of days in a year based on a day count convention used for the government bond
- dc(T - 1) is the number of days between t and T based on a day count convention used for the government bond.
- the "Basis Point Government Bond Yield Volatility Index” may be express
- index formula are also extended for options on GB forwards with a later expiry than the option, for example:
- TD denotes a time of maturity of the government bond forward underlying the options maturing at ⁇ where TD>T.
- Bond Yield Volatility Index may be defined as:
- C 0 , , CQ b t , C , C 2l may be calculated based on a specification of interest rate dynamics.
- GB— VI ad may further be adjusted by replacing C(t, T, T D , T N ) with C(t, T, anc j replacing F t (T D , T N ) by K t
- Volatility Indexes employ prices of European-style options on GB forwards.
- options with other exercise styles or options with other underlying GB derivatives may also be used directly in the above formulas if it is determined that the prices of such options are not materially different from equivalent prices of European-style options on GB forwards.
- prices of out-of-the-money American-style options on Government Bond futures are likely to not be materially different from otherwise-equivalent European-style options on Government Bond forwards, as one may conclude from the work of Flesaker, B. 1993, "Testing the Heath-Jarrow- Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing" Journal of Financial and Quantitative Analysis 28, and Bikbov, R. and M. Chernov, 201 1 , "Yield Curve and Volatility: Lessons from Eurodollar Futures and Options” Journal of Financial Econometrics 9.
- prices of American-style options on government bond futures may be transformed into prices of European-style options on government bond forwards. This example technique is performed as follows:
- Step 1 Choose the Vasicek (1977) model of interest rates
- r t is the instantaneous interest rate at time t and W is a Brownian motion under the physical probability measure P.
- the parameters are to be estimated ⁇ , ⁇ , ⁇ ) using historical interest rate data.
- Step 2 Define the risk-neutral dynamics of the short-term rate as follows: dr t - ⁇ ⁇ - r t )dt + odW t , 7 ⁇ ⁇ -
- i arg mm (O model (K, ; X) - C market (£, )f w ⁇ K j )
- A is a compact set
- K is the option strike
- O moM (K; X) is the model-implied option price with strike K and price of risk X
- O mark(ii (K) is the observed option price with strike K
- w(K) is a weighting function
- M denotes the number of observable option prices.
- C s (r- K) max ⁇ T, T N ) ⁇ Q xp(-r s A s )E[C s ⁇ ( ;K)] ⁇
- Step 3 Use the ⁇ in case of 2A and ⁇ ) in the case of 2B to calculate prices of European options on government bond forwards using the Jamshidian (1989) formula
- F t (r, ;T,T N ) is the model-based forward price and F, $ (T, T N ) is the market future price.
- the index may be calculated with the nearest and next roll dates using a "sandwich combination" such that a volatility index with an m month horizon is calculated as
- ⁇ ⁇ ⁇ - T M - T ⁇ m x d and T M - T . t 2m x d ; d is the number of days in a month; V t (T j ) is equal to S(t, T N ) for the Percentage Government Bond Price Volatility Index case and ⁇ , ⁇ ⁇ ⁇ the Basis Point Government Bond Price Volatility Index case; and x, is the weight such that
- the sandwich combination at time t may be expressed as
- the sandwich combination at time t may be expressed as
- the volatility index may be calculated based on the skew of a particular future option contract with a shrinking time to maturity. For example, if the index is based on options expiring in three months on a ten year bond, the index on the first day would reflect expected volatility over the next three months, on the next day would reflect expected volatility over the next three months minus one day, and so on, until the index naturally expires at option expiry in three months.
- the same methodology may be used in the case of GB futures and future options.
- FIG 3 is a flow diagram that outlines an embodiment of the steps for calculating and disseminating a Basis Point Government Bond Price Volatility Index according to the present invention.
- data is received electronically from an electronic data source. Included in the received data is data regarding the GB options.
- the data is cleaned and normalized, according to known techniques, and GB option price data are created as input for the index formula for all available maturity/tenor/strike combinations.
- option prices are not those of European-style bond future options, they may optionally be converted to corresponding prices of European-style bond future options.
- the prices for each maturity and tenor combination for all available strikes are inputted into equation BP GBVI, shown above, to calculate a basis point GB volatility index.
- FIG 4 is a flow diagram that outlines an embodiment of the steps for calculating and disseminating a Percentage Government Bond Price Volatility Index according to the present invention.
- data is received electronically from an electronic data source. Included in the received data is data regarding the GB options.
- the data is cleaned and normalized, according to known techniques, and a GB option price data created as input for the index formula for all available maturity/tenor/strike combinations.
- the option prices are not those of European-style bond future options, they may optionally be converted to corresponding prices of European-style future options.
- the prices for each maturity and tenor combination for all available strikes are inputted into equation PCT_GBVI, shown above, to calculate a Percentage Government Bond Price Volatility Index.
- FIG. 6 is a flow diagram that outlines an embodiment of the steps for calculating and disseminating a Basis Point Government Bond Yield Volatility Index according to the present invention.
- data is received electronically from an electronic data source. Included in the received data is data regarding the GB options.
- the data is cleaned and normalized, according to known techniques, and a GB option price data created as input for the index formula for all available maturity/tenor/strike combinations.
- the option prices are not those of European-style bond future options, they may optionally be converted to corresponding prices of European-style future options.
- the prices for each maturity and tenor combination for all available strikes are inputted into equation BPY_GBVI, shown above, to calculate a Basis Point Government Bond Yield Volatility Index.
- FIG. 7 is a flow diagram that outlines an embodiment of the steps for calculating and disseminating a Modified Duration-Based Basis Point Government Bond Yield Volatility Index according to the present invention.
- data is received electronically from an electronic data source. Included in the received data is data regarding the GB options.
- the data is cleaned and normalized, according to known techniques, and a GB option price data created as input for the index formula for all available maturity/tenor/strike combinations.
- the option prices are not those of European-style bond future options, they may optionally be converted to corresponding prices of European-style future options.
- the prices for each maturity and tenor combination for all available strikes are inputted into equation MDBPY GBVI, shown above, to calculate a Modified Duration-Based Basis Point Government Bond Yield Volatility Index.
- the present example utilizes data reflecting hypothetical market conditions.
- the data provided are premiums for European-style forward put and call options, expressed in decimals, on a ten year GB forward maturing in one month.
- the data for this example is provided below in table 1 :
- the third and fourth columns provide call and put option premiums.
- Table 2 provides information regarding the present examples calculation of the Basis Point Government Bond Price Volatiltiy Index and , Percentage
- the second column of Table 2 displays the type of at-the-money and out-of -the money GB forward option entering in the calculations of the embodiments of the GB Volatility Indexes.
- the third column displays option premiums entering into the calculation; the fourth and fifth columns report the weights each option premium bears towards the final computation of the index; and finally, the sixth and seventh columns report each out-of-the money option premium multiplied by the appropriate weight.
- Each price in the third column is multiplied by the corresponding weight in the fourth column, for the "Basis Point Contribution," and each price in the third column is multiplied by the corresponding weight in the fifth column, for the
- the rescaling factor inside the square roots, (1/0.9980), is the inverse of a zero coupon bond expiring in one month.
- the basis point index is rescaled by 100 2 , to mimic the market practice to express basis point implied volatility as the product of rates times log- volatility, where both rates and log- volatility are multiplied by 100.
- indices calculated according to the embodiments of the present invention may serve as the underlying value for derivative contracts, such as options and futures contracts. More particularly, according to an embodiment of the present invention, a Government Bond Volatility Index (GB-VI) may serve as the underlying reference for derivative contracts designed for trading the volatility of GB futures prices of various maturities and underlying tenors. In particular, futures and options contracts with varying maturities based on the index may be traded OTC and/or listed on exchanges.
- GB-VI Government Bond Volatility Index
- Derivative instruments based on the government bond volatility index disclosed above may be created as standardized, exchange-traded contracts, as well as over-the-counter contracts.
- the index may be accessed for use in creating a derivative contract, and the derivative contract may be assigned a unique symbol.
- the GB-VI derivative contract may be assigned any unique symbol that serves as a standard identifier for the type of standardized GB-VI derivative contract.
- Information associated with the GB-VI and/or the GB-VI derivative contract may be transmitted for display, such as transmitting information to list the GB-VI index and/or the GB-VI derivative on a trading platform.
- Examples of the types of information that may be transmitted for display include a settlement price of a GB-VI derivative, a bid or offer associated with a GB-VI derivative, a value of a GB-VI index, and/or a value of an underlying option that a GB-VI is associated with.
- a GB-VI derivative contract may be listed on an electronic platform, an open outcry platform, a hybrid environment that combines the electronic platform and open outcry platform, or any other type of platform known in the art.
- a hybrid exchange environment is disclosed in U.S. Pat. No. 7,613,650, filed April 24, 2003, the entirety of which is herein incorporated by reference.
- a trading platform such as an exchange may transmit GB-VI derivative contract quotes of liquidity providers over
- Liquidity providers may include
- Dissemination Networks may include networks such as the Options Price Reporting Authority (“OPRA"), the CBOE Futures Network, an Internet website or email alerts via email communication networks.
- OPRA Options Price Reporting Authority
- Market participants may include liquidity providers, brokerage firms, normal investors, or any other entity that subscribes to a dissemination network.
- the trading platform may execute buy and sell orders for the GB-VI derivative and may repeat the steps of calculating the GB-VI of the underlying options, accessing the GB- VI index, transmitting information for the GB-VI index and/or the GB-VI derivative for display (list the GB-VI and/or GB-VI derivative on a trading platform), disseminating the GB-VI and/or the GB-VI derivative over a dissemination network, and executing buy and sell orders for the GB-VI derivative until the GB-VI derivative contract is settled.
- GB-VI derivative contracts may be traded through an exchange-operated parimutuel auction and cash-settled based on the GB-VI index of log returns of the underlying equity.
- An electronic parimutuel, or Dutch, auction system conducts periodic auctions, with all contracts that settle in-the-money funded by the premiums collected for those that settle out-of-the-money.
- Contract Size The notional amount of one unit of the contract may be defined as a multiple of the index level, which may depend on the currency of the underlying index.
- the multiplier When traded OTC, the multiplier may be negotiated between the parties involved on a trade-by-trade basis.
- Contract Months An exchange may list contracts with a pre-determined sequence of maturity dates, e.g. the 3rd Friday of each of the next 6 months. Similarly, OTC dealers may make markets in a pre-determined sequence of maturity dates but may also make markets for contracts that mature on other dates on a trade-by-trade basis.
- Last Trading Date For each contract, a last trading date will be specified.
- Final Settlement Value shall be based on the level of the index computed at a pre-specified time on the settlement date.
- Contract Size The notional amount of one unit of the contract may be defined as a multiple of the index level, which may depend on the currency of the underlying index.
- the multiplier When traded OTC, the multiplier may be negotiated between the parties involved on a trade-by-trade basis.
- Contract Months An exchange may list contracts with a pre-determined sequence of expiration dates, e.g. the 3rd Friday of each of the next 6 months. Similarly, OTC dealers may make markets in a pre-determined sequence of maturity dates but may also make markets for contracts that expire on other dates on a trade-by-trade basis.
- Strike prices For each currency, strike prices that are in-, at-, and out-of the money may be listed by an exchange or quoted by OTC dealers and new strike prices may be traded as future prices increase and decrease. An exchange or the OTC dealer community may fix a minimum increment between strike prices, depending on the currency of the underlying index.
- Quotation & Minimum Price Intervals Options based on the index may be quoted in points and decimals or fractions that represent some notional amount per contract and there may be a minimum increment by which the pricing of the contracts may vary, both of which may depend on the currency of the underlying index.
- Expiration Date For each contract, an expiration date will be specified.
- Last Trading Date For each contract, a last trading date will be specified.
- the final settlement value shall be based on the level of the index computed at a pre-specified time on the settlement date.
- the cash settlement amount will be the difference between the index level and the strike price, possibly adjusted by some multiplier, and a payment date will be specified in relation to the expiration date.
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JP2016500109A JP2016510923A (en) | 2013-03-15 | 2013-11-21 | Method and system for creating public debt volatility index and derivative product trading based thereon |
AU2013381695A AU2013381695A1 (en) | 2013-03-15 | 2013-11-21 | Methods and systems for creating a government bond volatility index and trading derivative products based thereon |
RU2015144062A RU2678647C2 (en) | 2013-03-15 | 2013-11-21 | Methods and systems for creating a government bond volatility index and trading derivative products based thereon |
CN201380075864.3A CN105339973A (en) | 2013-03-15 | 2013-11-21 | Methods and systems for creating a government bond volatility index and trading derivative products based thereon |
SG11201507284XA SG11201507284XA (en) | 2013-03-15 | 2013-11-21 | Methods and systems for creating a government bond volatility index and trading derivative products based thereon |
KR1020157026255A KR102298049B1 (en) | 2013-03-15 | 2013-11-21 | Methods and systems for creating a government bond volatility index and trading derivative products based thereon |
IL240925A IL240925A0 (en) | 2013-03-15 | 2015-08-30 | Methods and systems for creating a government bond volatility index and trading derivative products based thereon |
HK16109714.8A HK1221542A1 (en) | 2013-03-15 | 2016-08-15 | Methods and systems for creating a government bond volatility index and trading derivative products based thereon |
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US13/842,197 US20130317963A1 (en) | 2012-05-22 | 2013-03-15 | Methods and systems for creating a government bond volatility index and trading derivative products thereon |
US13/931,114 | 2013-06-28 | ||
US13/931,114 US20140040164A1 (en) | 2012-05-22 | 2013-06-28 | Methods and Systems for Creating a Government Bond Volatility Index and Trading Derivative Products Based Thereon |
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US13/970,193 US20130332333A1 (en) | 2012-05-22 | 2013-08-19 | Methods and Systems for Creating a Government Bond Volatility Index and Trading Derivative Products Based Thereon |
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2013
- 2013-11-21 AU AU2013381695A patent/AU2013381695A1/en not_active Abandoned
- 2013-11-21 SG SG11201507284XA patent/SG11201507284XA/en unknown
- 2013-11-21 KR KR1020157026255A patent/KR102298049B1/en active IP Right Grant
- 2013-11-21 CN CN201380075864.3A patent/CN105339973A/en active Pending
- 2013-11-21 WO PCT/US2013/071174 patent/WO2014143214A1/en active Application Filing
- 2013-11-21 JP JP2016500109A patent/JP2016510923A/en active Pending
- 2013-11-21 RU RU2015144062A patent/RU2678647C2/en active
-
2015
- 2015-08-30 IL IL240925A patent/IL240925A0/en unknown
-
2016
- 2016-08-15 HK HK16109714.8A patent/HK1221542A1/en unknown
-
2018
- 2018-10-18 JP JP2018196541A patent/JP2019040615A/en active Pending
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Also Published As
Publication number | Publication date |
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IL240925A0 (en) | 2015-10-29 |
HK1221542A1 (en) | 2017-06-02 |
RU2015144062A (en) | 2017-04-28 |
CN105339973A (en) | 2016-02-17 |
RU2678647C2 (en) | 2019-01-30 |
KR102298049B1 (en) | 2021-09-06 |
KR20150128745A (en) | 2015-11-18 |
AU2013381695A1 (en) | 2015-11-05 |
JP2019040615A (en) | 2019-03-14 |
SG11201507284XA (en) | 2015-10-29 |
JP2016510923A (en) | 2016-04-11 |
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