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    • 1. 发明申请
    • CALENDAR SPREAD FUTURES
    • 日历传播期货
    • US20110295726A1
    • 2011-12-01
    • US12791513
    • 2010-06-01
    • Eugene MuellerDaniel GrombacherFrederick Sturm
    • Eugene MuellerDaniel GrombacherFrederick Sturm
    • G06Q40/00G06Q10/00
    • G06Q40/04G06Q40/06G06Q40/12
    • A calendar spread futures contract is a forward contract on the intermonth spread of futures contracts. The calendar spread futures contract can be independently traded and accounted for independent of the traditional roll periods of the complementary futures contracts. An open interest holder can hedge against price volatility in the related futures contracts that may occur prior to or during the roll period. In other words, the calendar spread futures contract locks in the current spread between the front-month contract and the first-deferred contract. Buying a calendar spread futures control is equivalent to buying the spread difference between the expiring contract and the second expiry. Selling a calendar spread futures contract is equivalent to selling the spread difference between the expiring contract and the second expiry.
    • 日历传播期货合约是期货合约中间价差的远期合约。 日历传播期货合约可以独立交易,独立于互补期货合约的传统期限。 公开利息持有人可以对冲在期间或期间可能发生的相关期货合约的价格波动。 换句话说,日历传播期货合约锁定了当前在前月合约与首次递延合约之间的差价。 购买日历传播期货控制相当于购买到期合约与第二次到期之间的差价差额。 销售日历传播期货合约相当于出售到期合约与第二次到期之间的差价差额。
    • 5. 发明授权
    • Calendar spread futures
    • 日历传播期货
    • US08639601B2
    • 2014-01-28
    • US12791513
    • 2010-06-01
    • Eugene MuellerDaniel GrombacherFrederick Sturm
    • Eugene MuellerDaniel GrombacherFrederick Sturm
    • G06Q40/00
    • G06Q40/04G06Q40/06G06Q40/12
    • A calendar spread futures contract is a forward contract on the intermonth spread of futures contracts. The calendar spread futures contract can be independently traded and accounted for independent of the traditional roll periods of the complementary futures contracts. An open interest holder can hedge against price volatility in the related futures contracts that may occur prior to or during the roll period. In other words, the calendar spread futures contract locks in the current spread between the front-month contract and the first-deferred contract. Buying a calendar spread futures control is equivalent to buying the spread difference between the expiring contract and the second expiry. Selling a calendar spread futures contract is equivalent to selling the spread difference between the expiring contract and the second expiry.
    • 日历传播期货合约是期货合约中间价差的远期合约。 日历传播期货合约可以独立交易,独立于互补期货合约的传统期限。 公开利息持有人可以对冲在期间或期间可能发生的相关期货合约的价格波动。 换句话说,日历传播期货合约锁定了当前在前月合约与首次递延合约之间的差价。 购买日历传播期货控制相当于购买到期合约与第二次到期之间的差价差额。 销售日历传播期货合约相当于出售到期合约与第二次到期之间的差价差额。
    • 6. 发明申请
    • Cash-settled commodity futures contracts
    • 现金结算商品期货合约
    • US20050154660A1
    • 2005-07-14
    • US10756087
    • 2004-01-13
    • Frederick SturmIngrid MeleEugene Mueller
    • Frederick SturmIngrid MeleEugene Mueller
    • G06Q40/00G06F17/60
    • G06Q40/04G06Q40/00
    • A futures contract in accordance with the principles of the present invention is a cash-settled correspondent to a physical delivery commodity futures contract that mirrors a physical delivery mechanism utilized to settle the corresponding physical-delivery commodity futures contract. A futures contract of the present invention references a basket of deliverable-grade commodities corresponding to a deliverable basket for a corresponding physical-delivery commodity futures contract. A futures contract of the present invention obeys the same schedule for last trading day and expiration as a corresponding physical delivery commodity futures contract. A futures contract of the present invention has tick sizes that may or may not differ from a corresponding physical delivery commodity futures contract. A futures contract of the present invention converges to a final settlement value equal to a conversion-factor-weighted price of whichever member of the deliverable basket is cheapest to deliver into the corresponding physical delivery commodity futures contract.
    • 根据本发明原则的期货合约是与物理交割商品期货合约相关的现金结算代理人,反映了用于结算相应物理交割商品期货合约的物理交割机制。 本发明的期货合约涉及一篮子相当于可交货篮子的可交货品,用于相应的实物交割商品期货合约。 本发明的期货合约符合上一交易日相同的期限,并作为相应的实物交割商品期货合约到期。 本发明的期货合约具有与相应的实物交割商品期货合约可能或可能不同的蜱尺寸。 本发明的期货合约收敛于最终结算价值,该最终结算价值等于可交割的篮子中最便宜的交易对象的转换因子加权价格,以交付相应的实物交割商品期货合约。