EXCHANGE FOR PHYSICALS

Systems and methods for performing an exchange for physicals (EFP) may comprise receiving, with a matching engine module in communication with a processor, EFP data comprising an amount of securities to be traded and a price. The matching engine module may calculate a first delta percentage between...

Ausführliche Beschreibung

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Bibliographische Detailangaben
Hauptverfasser: Dony, Anais Fabienne Christiane, Lamour, Benoit Andre
Format: Patent
Sprache:eng
Schlagworte:
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Beschreibung
Zusammenfassung:Systems and methods for performing an exchange for physicals (EFP) may comprise receiving, with a matching engine module in communication with a processor, EFP data comprising an amount of securities to be traded and a price. The matching engine module may calculate a first delta percentage between the EFP data and an index based on the amount, the price, and an index value. The matching engine module may calculate a residual delta based on the first delta percentage and an index notional value. The matching engine module may attribute the residual delta to the securities.