System and method for implementing and managing basis futures

Details System and method for implementing and managing basis futures System and method for implementing and managing basis futures

G - Physics

06

Q

G06Q 40/06 (2012.01)

Patent

CA 2740767

A method for implementing a basis futures contract is disclosed. The method includes receiving trade data at a server, defining, at the server, a first futures contract based on an index identified in the received trade data, defining, at the server, a second futures contract based on a basis associated with the index identified in the received trade data, such that the basis reflects a fair value associated with the first futures contract, listing, via a match module, at least the second futures contract, matching, via the match module, at least the second futures contract, and calculating, at the server, a final settlement price associated with the first contract based on a daily settlement price of the index and a basis future settlement price associated with the second contract.

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