G - Physics – 06 – Q
Patent
G - Physics
06
Q
G06Q 40/00 (2006.01)
Patent
CA 2605466
In at least one aspect, the invention comprises a method for replicating a first index, comprising: constructing a basket of derivative financial instruments selected to replicate said index; wherein said basket of derivative financial instruments is constructed using key rate duration matching based on a plurality of instruments, and wherein said basket is reconstructed on a periodic basis approximately equal to that on which said index is reconstructed. In another aspect, the invention comprises a method for replicating a portfolio of securities, comprising: constructing a basket of derivative financial instruments selected to replicate said portfolio; wherein said basket of derivative financial instruments is constructed using key rate duration matching based on a plurality of instruments, and wherein said basket is reconstructed on a periodic basis approximately equal to that on which said portfolio is reconstructed.
Dans un aspect au moins, l'invention concerne un procédé permettant de reproduire un premier indice, lequel procédé consiste à: construire un panier d'instruments financiers dérivés choisis pour reproduire ledit indice; ledit panier d'instruments financiers dérivés étant construit par appariement des durations des taux directeurs sur la base d'une pluralité d'instruments, et ledit panier d'instruments étant reconstruit sur une base périodique plus ou moins égale à celle sur laquelle ledit indice est reconstruit. Selon un autre aspect, l'invention porte sur un procédé permettant de reproduire un portefeuille de valeurs mobilières, qui consiste à: construire un panier d'instruments financiers dérivés choisis pour reproduire ledit portefeuille; ledit panier s'instruments financiers dérivés étant construit par appariement des durations des taux directeurs sur la base d'une pluralité d'instruments, et ledit panier étant reconstruit sur une base périodique plus ou moins égale à celle sur laquelle le portefeuille a été reconstruit.
Barclays Capital Inc.
Lehman Brothers Inc.
Osler Hoskin & Harcourt Llp
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