Swap Index

Abstract

A financial instrument is provided with one or more indices underlying the financial instrument. Each index allows accurate tracking of interest rate swap (IRS) markets. The indices are calculated using real-time market data and synthetic purchasing and selling of synthetic interest rate swaps utilizing the market data. The value of the synthetic interest rate swaps are the basis for the value of a particular index. The purchasing and selling of the synthetic interest rate swap occurs at a frequency to minimize effects of shortening terms on the index. One subset of the IRS indices reflects a plain-vanilla swap for a specific term of years. Another subset of the IRS indices reflects a spread between two specific terms of years. A third subset of the IRS indices reflect two spreads, sometimes referred to as a butterfly, between a middle term of years and a shorter term of years and the same middle term of years and a longer term of years.

1 - 75 . (canceled) 
     
     
         76 . A computer implemented method for operating an index, the method comprising:
 a. calculating via a computer an index for a plurality of swaps, each swap comprising a first side of the swap, a second side of the swap and terms that determine a plurality of payment streams comprising a first stream of payments and a second stream of payments, the terms comprising an index origin date and a date a specified number of years after the index origin date, the index calculated to track a value of the swap based on a difference between the first stream of payments and the second stream of payments;   b. rebalancing the index utilizing a rebalancing date, rebalancing comprising resetting the date to the specified number of years from the rebalancing date;   c. executing an order to buy or order to sell a derivative financial instrument, the order to buy or order to sell the derivative financial instrument identifying one of the plurality of listed swaps and a notional amount;   d. recording the index for the identified swap contemporaneous with the executing step, the value of the derivative financial instrument at a time after the executing step is determined by multiplying the notional amount by a change in the index for the identified swap since the executing step; and   e. making available each index via the computer.   
     
     
         77 . The method of  claim 76  wherein the calculating step occurs at a calculating frequency, the calculating frequency determined such that changes in the value of the swap is captured by the index. 
     
     
         78 . The method of  claim 76  wherein the value of the swap is determined utilizing mark-to-market accounting wherein the mark-to-market accounting renders potential arbitrage profits as close to zero as possible. 
     
     
         79 . The method of  claim 76  wherein the swap is an interest rate swap and the date is a maturity date for a bond. 
     
     
         80 . The method of  claim 76  wherein the rebalancing step further comprises adjusting a spread to treasury in order to accommodate a roll between an old issue and a new issue. 
     
     
         81 . The method of  claim 76  wherein the derivative financial instrument value at the time of the buying or selling step is zero. 
     
     
         82 . The method of  claim 76  wherein the payment streams are determined utilizing one or more financial tools taken from the group including a yield curve, a zero coupon yield curve, a par bond yield curve and a forward curve. 
     
     
         83 . The method of  claim 76  wherein the payment streams are determined utilizing a yield curve and a zero coupon yield curve. 
     
     
         84 . The method of  claim 76  wherein the payment streams are determined utilizing a par bond yield curve and a forward curve. 
     
     
         85 . The method of  claim 76  wherein the calculating step comprises:
 a. treating the swap like a series of zero coupon bonds. 
 
     
     
         86 . The method of  claim 76  wherein the calculating step comprises:
 a. tracking a plurality of parameters via the computer, the plurality of parameters resulting in an alteration of the value of the first synthetic stream of payments less the second synthetic stream of payments. 
 
     
     
         87 . A computer implemented method for determining a value of a derivative financial instrument, the method comprising:
 a. calculating via a computer an index for a swap, the swap comprising terms that determine a plurality of payment streams with at least one of the payment streams subject to future variability, the index calculated to track a swap value based on the difference between the payment streams;   a. periodically rebalancing the index with the computer by synthetically liquidating the swap and synthetically reinstituting the swap;   b. buying or selling the derivative financial instrument having a derivative financial instrument value proportional to the index, the derivative financial instrument having a notional amount;   c. determining the derivative financial instrument value by multiplying the notional amount by a change in the index since the buying or selling step; and   d. making available each index via the computer.   
     
     
         88 . The method of  claim 87  wherein the present market value of the payment streams is determined utilizing mark-to-market accounting. 
     
     
         89 . The method of  claim 88  wherein the mark-to-market accounting renders potential arbitrage profits as close to zero as possible. 
     
     
         90 . The method of  claim 87  wherein the derivative financial instrument value at the time of the buying or selling step is zero. 
     
     
         91 . The method of  claim 87  wherein the payment streams are determined utilizing one or more financial tools taken from the group including a yield curve, a zero coupon yield curve, a par bond yield curve and a forward curve. 
     
     
         92 . The method of  claim 87  wherein the payment streams are determined utilizing a yield curve and a zero coupon yield curve. 
     
     
         93 . The method of  claim 87  wherein the payment streams are determined utilizing a par bond yield curve and a forward curve. 
     
     
         94 . The method of  claim 87  wherein the calculating step occurs at a calculating frequency, the calculating frequency determined such that changes in the payment streams under the terms of the swap is captured by the index. 
     
     
         95 . The method of  claim 87  wherein the calculating step comprises:
 a. treating the swap like a series of zero coupon bonds.