XXXt=XXXt-1(1+Rt) where Rt is a daily rate of return of the covered stock index portfolio, the daily rate of return including ordinary cash dividends paid on component stocks of the index that trade ex-dividend on a date."/>
Method and system for generating and trading derivative investment instruments based on a covered stock portfolio benchmark index
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Method and system for generating and trading derivative investment instruments based on a covered stock portfolio benchmark index
Method and system for generating and trading derivative investment instruments based on a covered stock portfolio benchmark index
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机译:基于涵盖股票投资组合基准指数的衍生产品投资工具的生成和交易方法和系统
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摘要
A computer-readable memory containing processor executable program instructions for creating a benchmark index (XXX) is disclosed including obtaining gross daily rates of return of a covered stock index portfolio since an inception date, multiplying the cumulative product of the gross daily rates of return of the covered stock index portfolio since the inception date by a multiplier, and wherein the value of the index is calculated according to the formula XXXt=XXXt-1(1+Rt) where Rt is a daily rate of return of the covered stock index portfolio, the daily rate of return including ordinary cash dividends paid on component stocks of the index that trade ex-dividend on a date.
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机译:公开了包含用于创建基准指数(XXX)的处理器可执行程序指令的计算机可读存储器,该计算机可读存储器包括获得自开始日期以来所涵盖的股票指数投资组合的每日总收益率,乘以该总每日收益率的累积乘积。自成立之日起乘以乘数的涵盖的股票指数投资组合,其中指数的值根据公式计算<?in-line-formulae description =“ In-line Formulae” end =“ lead”?> XXX I> t Sub> = XXX I> t-1 Sub>(1 + R I> t Sub>)<?in-line-formulae description =“ In-line Formulae” end =“ tail”?>其中R t Sub>是涵盖的股票指数投资组合的日收益率,日收益率包括在某天交易除息的指数成分股所支付的普通现金股息。
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