Asynchronous computational engine

Abstract

A method includes retrieving a first dataset at a first frequency from a memory, the first dataset associated with a plurality of data objects; calculating at the first frequency and based on the first dataset, a first component for each of the data objects; retrieving a second dataset at a second frequency from the memory, the second dataset associated with the plurality of data objects; calculating at the second frequency and based on the second dataset, a second component for each of the data objects; weighting at one of the first or second frequencies, the first component by the second component for each of the data objects; calculating at one of the first or second frequencies, an asynchronous multi-component index based on the weighted first component; and generating at least one asynchronous multi-component index data object having a value that is determined from the calculated asynchronous multi-component index.

1 . A computer implemented method comprising:
 receiving, repeatedly by a processor at a first interval, a first dataset comprising first data indicative of a plurality of financial instruments;   receiving, repeatedly by the processor at a second interval different from the first interval, a second dataset comprising second data indicative of the plurality of financial instruments;   recalculating, based on each received iteration of the first dataset, first results at a first frequency by a first processing component implemented by the processor, the processor controlling the first frequency, the first results comprising an implied volatility for each of the plurality of financial instruments;   recalculating, based on each received iteration of the second dataset, second results at a second frequency, different from the first frequency, by a second processing component implemented by the processor, the processor controlling the second frequency, the second results comprising an open vega for each of the plurality of financial instruments;   determining, by the processor, whether at least a first threshold has been met by the first results or a second threshold has been met by the second results; and   regenerating when one of the first and second thresholds has been met, by the processor at a third frequency different from one of the first and second frequencies and based on the first and second results, a first output comprising an open vega-weighted implied volatility for each of the plurality of financial instruments.   
     
     
         2 . The computer implemented method of  claim 1 , wherein the implied volatility is based on an at-the-money (ATM) contract. 
     
     
         3 . The computer implemented method of  claim 1 , wherein the second frequency is slower than the first frequency, and wherein calculating the second results is more computationally expensive than calculating the first results. 
     
     
         4 . The computer implemented method of  claim 1 , further comprising:
 regenerating when one of the first and second thresholds has been met, by the processor at a fourth frequency different from one of the first and second frequencies and based on the first outputs, a second output comprising an asynchronous volatility index value; and   regenerating when one of the first and second thresholds has been met, by the processor, a third output based on the second output, the third output comprising at least one asynchronous volatility index financial instrument having a value that is determined from the asynchronous volatility index value.   
     
     
         5 . The computer implemented method of  claim 4 , further comprising:
 upon completion of the regenerating of the third output, automatically introducing, by the processor, the at least one asynchronous volatility index financial instrument into a financial instrument exchange market via an exchange computing system where the at least one asynchronous volatility index financial instrument is automatically listed for trading.   
     
     
         6 . The computer implemented method of  claim 4 , further comprising:
 offering, by the processor, to a market participant by the exchange computing system via a network interface, the at least one asynchronous volatility index financial instrument.   
     
     
         7 . The computer implemented method of  claim 1 , wherein the first dataset comprises prices for each of the plurality of financial instruments, and wherein the second dataset comprises outstanding open interest for each of the plurality of financial instruments. 
     
     
         8 . The computer implemented method of  claim 1 , wherein the open vega-weighted implied volatility is the implied volatility weighted by the open vega. 
     
     
         9 . The computer implemented method of  claim 1 , wherein the third and fourth frequencies are equal to the faster of the first or second frequencies. 
     
     
         10 . The computer implemented method of  claim 1 , further comprising:
 storing, by the processor, the first and second data in a memory coupled with the processor;   retrieving, by the processor, the first dataset at the first frequency from the memory; and   retrieving, by the processor, the second dataset at the second frequency from the memory.   
     
     
         11 . The computer implemented method of  claim 1 , wherein the first frequency is set based on how frequently the first data changes and the second frequency is set based on how frequently the second data change. 
     
     
         12 . The computer implemented method of  claim 11 , wherein the first and second data are each indicative of a particular dynamic characteristic of the plurality of financial instruments which varies over time. 
     
     
         13 . A non-transitory computer readable medium storing processor-issuable instructions that, when executed by a processor, cause the processor to:
 receive, repeatedly at a first interval, a first dataset comprising first data indicative of a plurality of financial instruments;   receive, repeatedly at a second interval different from the first interval, a second dataset comprising second data indicative of the plurality of financial instruments;   recalculate, based on each received iteration of the first dataset, first results at a first frequency, the processor controlling the first frequency, the first results comprising an implied volatility for each of the plurality of financial instruments;   recalculate, based on each received iteration of the second dataset, second results at a second frequency, different from the first frequency, the processor controlling the second frequency, the second results comprising an open vega for each of the plurality of financial instruments;   determine whether at least a first threshold has been met by the first results or a second threshold has been met by the second results; and   regenerate, when one of the first and second thresholds has been met, at a third frequency different from one of the first and second frequencies and based on the first and second results, a first output comprising an open vega-weighted implied volatility for each of the plurality of financial instruments.   regenerate, when one of the first and second thresholds has been met, at a fourth frequency different from one of the first and second frequencies and based on the first outputs, a second output comprising an asynchronous volatility index value; and   regenerate, when one of the first and second thresholds has been met, a third output based on the second output, the third output comprising at least one asynchronous volatility index financial instrument having a value that is determined from the asynchronous volatility index value.   
     
     
         14 . The non-transitory computer readable medium of  claim 13 , wherein the second frequency is slower than the first frequency, and wherein calculation the second results is more computationally expensive than calculating the first results. 
     
     
         15 . The non-transitory computer readable medium of  claim 13 , wherein the implied volatility is based on an at-the-money (ATM) contract. 
     
     
         16 . The non-transitory computer readable medium of  claim 13 , wherein the processor-issuable instructions, when executed by the processor, cause the processor to further:
 regenerate, when one of the first and second thresholds has been met, at a fourth frequency different from one of the first and second frequencies and based on the first outputs, a second output comprising an asynchronous volatility index value; and   regenerate, when one of the first and second thresholds has been met, a third output based on the second output, the third output comprising at least one asynchronous volatility index financial instrument having a value that is determined from the asynchronous volatility index value   
     
     
         17 . The non-transitory computer readable medium of  claim 16 , wherein the processor-issuable instructions, when executed by the processor, cause the processor to further, upon completion of the regenerating of the third output, automatically introduce the at least one asynchronous volatility index financial instrument into a financial instrument exchange market via an exchange computing system where the at least one asynchronous volatility index financial instrument is automatically listed for trading. 
     
     
         18 . The non-transitory computer readable medium of  claim 16 , wherein the processor-issuable instructions, when executed by the processor, further cause the processor to further offer to a market participant by the exchange computing system via a network interface, the at least one asynchronous volatility index financial instrument. 
     
     
         19 . The non-transitory computer readable medium of  claim 13 , wherein the first dataset comprises prices for each of the plurality of financial instruments, and wherein the second dataset comprises outstanding open interest for each of the plurality of financial instruments. 
     
     
         20 . The non-transitory computer readable medium of  claim 13 , wherein the open vega-weighted implied volatility is the implied volatility weighted by the open vega. 
     
     
         21 . The non-transitory computer readable medium of  claim 13 , wherein the third and fourth frequencies are equal to the faster of the first or second frequencies. 
     
     
         22 . The non-transitory computer readable medium of  claim 13 , wherein the processor-issuable instructions, when executed by the processor, further cause the processor to:
 store the first and second data in a memory coupled with the processor;   retrieve the first dataset at the first frequency from the memory; and   retrieve the second dataset at the second frequency from the memory.   
     
     
         23 . The non-transitory computer readable medium of  claim 13 , wherein the first frequency is set based on how frequently the first data changes and the second frequency is set based on how frequently the second data change. 
     
     
         24 . The non-transitory computer readable medium of  claim 23 , wherein the first and second data are each indicative of a particular dynamic characteristic of the plurality of financial instruments which varies over time. 
     
     
         25 . A computational engine apparatus for generating an instrument comprising:
 means for receiving, repeatedly at a first interval, a first dataset comprising first data indicative of a plurality of financial instruments;   means for receiving, repeatedly at a second interval different from the first interval, a second dataset comprising second data indicative of the plurality of financial instruments;   means for recalculating, based on each received iteration of the first dataset, first results at a first frequency, the first results comprising an implied volatility for each of the plurality of financial instruments;   means for recalculating, based on each received iteration of the second dataset, second results at a second frequency, different from the first frequency, the second results comprising an open vega for each of the plurality of financial instruments;   means for determining whether at least a first threshold has been met by the first results or a second threshold has been met by the second results; and   means for regenerating when one of the first and second thresholds has been met, at a third frequency different from one of the first and second frequencies and based on the first and second results, a first output comprising an open vega-weighted implied volatility for each of the plurality of financial instruments.   means for regenerating, when one of the first and second thresholds has been met, at a fourth frequency different from one of the first and second frequencies and based on the first outputs, a second output comprising an asynchronous volatility index value; and   means for regenerating, when one of the first and second thresholds has been met, a third output based on the second output, the third output comprising at least one asynchronous volatility index financial instrument having a value that is determined from the asynchronous volatility index value.   
     
     
         26 . The computational engine apparatus of  claim 25 , wherein the implied volatility is based on an at-the-money (ATM) contract. 
     
     
         27 . The computational engine apparatus of  claim 25 , further comprising:
 means for regenerating, when one of the first and second thresholds has been met, at a fourth frequency different from one of the first and second frequencies and based on the first outputs, a second output comprising an asynchronous volatility index value; and   means for regenerating, when one of the first and second thresholds has been met, a third output based on the second output, the third output comprising at least one asynchronous volatility index financial instrument having a value that is determined from the asynchronous volatility index value.