Method and system for calculating an intraday indicative...

Details Method and system for calculating an intraday indicative... Method and system for calculating an intraday indicative...

G - Physics

06

Q

G06Q 40/00 (2006.01)

Patent

CA 2604181

A computer implemented method, system, and software for calculating and using an intraday indicative value of a leveraged Bullish or Bearish exchange traded fund ("ETF") for arbitrage purposes, includes calculating an intraday current value of all the equity securities in the ETF (applicable only to Bullish ETFs), calculating mark to market gains or losses of at least one derivative product, and retrieving an accumulated loss or gain of the at least one derivative product and other cash equivalent amounts. The intraday indicative value of the ETF is determined by combining the calculated intraday current value of all the equity securities (applicable only to Bullish ETFs), the accumulated loss or gain, the mark to market gains of the at least one derivative product and other cash equivalent amounts. The determined intraday value of the ETF is used, by a party, for arbitrage purposes.

L'invention porte sur un procédé, un système et un logiciel, informatisés de calcul et d'utilisation à des fins d'arbitrage de la valeur intrajournalière indicative de fonds cotés en bourse haussiers et baissiers à effet de levier, qui effectuent les opérations suivantes: calcul des gains et pertes à la valeur du marché d'au moins un produit dérivé, et récupération des gains ou pertes accumulées du ou des produits dérivés et d'autres montants équivalents en cash. La valeur intrajournalière indicative des fonds cotés en bourse se détermine en ajoutant: la valeur intrajournalière calculée de tous les titres participatifs (uniquement applicable aux fonds cotés en bourse haussiers); plus les pertes ou gains accumulés; plus les gains à la valeur du marché d'au moins un produit dérivé; plus les autres montants équivalents en cash. La valeur intrajournalière ainsi déterminée des fonds cotés en bourse est utilisée par une partie à des fins d'arbitrage.

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