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For example, the market data may be a quote in XML format substantially in the following form:. In one implementation, the VEIP controller may be coupled to a publication interface component PIC configured to publish, transmit, communicate, distribute, etc. In some implementations, the VEIP controller may be coupled to an instrument interface component IIC configured to distribute, receive, transmit, respond, generate, monitor, etc.

The above message indicates that it is in FIX 5. The numbers in the above message correspond to the following fields: For each option series, the VEIP may then calculate the implied volatility and determine the delta The VEIP may then calculate the delta-weighted implied volatility for each option strike , and calculate the weighting for each option strike Then, using the option strike delta-weighted implied volatilities and option strike weightings, the VEIP may determine the volatility expiration index for the RS.

For example, a configuration file substantially in the following form that lists reference securities for which Vol Ex Indexes should be calculated may be iterated through:. The current price of the RS may be determined at For example, the price may be determined based on a quote from an exchange where the RS is trading. A database record e.

Options associated with the RS may be identified at For example, the VEIP may identify a series e. In some implementations, identification of options may be dynamic, such that, in this example, as the RS moves in value, the 6 strike prices deemed to be at the money may change as well.

For example, if the reference security last traded price is If the reference security drops in value to For ease of understanding this example, the strikes are referred to as M for the middle strike, L 1 for the 1 st lower strike below M, L 2 for the 2 nd lowest strike below M, U 1 for the 1 st upper strike above M, U 2 for the 2 nd upper strike above M and U 3 for the 3 rd upper strike above M.

In some implementations, for each identified option , the current option price may be determined e. A determination may be made at whether the current option price is valid.

In one embodiment, the current option price is valid if the following error-checking logic is satisfied:. In some implementations, error-checking logic may be configured differently for different Vol Ex Indexes. If the current option price is not valid, the Vol Ex Index calculation may be halted at If the current option price is valid, a database record e.

If there are remaining identified options for which this determination should be performed for , this determination may be made for the next identified option In some implementations, if the option prices are valid, the strike prices may be identified at and, for each identified strike price , the prices of both the puts and calls may be determined , , In one implementation, these prices may be retrieved from a database e.

In another implementation, these prices may be dynamically captured e. In some embodiments, the VEIP may utilize one or more pricing models, such a standardized pricing model for options e. For example, the Cox-Ross-Rubenstein pricing model may produce more accurate results, while the Black-Scholes pricing model may produce less accurate results but do so faster.

In some implementations, the selected pricing model may be selected e. As illustrated in FIGS. In one implementation, the implied volatility may be calculated for each option series , and a database record e. In another implementation, the implied volatility and the delta may be calculated for each option series , and a database record e.

In one embodiment, for each option strike , , the delta weighted implied volatility may then be calculated , , , and , , and a database record e. For example, the implied volatilities may be weighted to reduce the weight of nominally cheap options. In alternative embodiments, different implied volatility weighting schemes e. Once performed by the VEIP, the resulting delta for the put and the call option of the same strike may be used to weight the implied volatility for both the put and the call option to arrive at an implied volatility for that strike price.

For example, the strike put has an implied volatility of At the same time, the strike call has an implied volatility of The strike option volatility may be calculated by the VEIP weighting both the strike put and call implied volatility by their respective deltas.

In this case the calculation may be In some embodiments of the VEIP, the above described calculation may be performed for the ATM option strikes to arrive at an implied volatility for each option strike. The weight assigned to each strike is dynamic and moves with changes in the price of the underlying reference security.

The Vol Ex Index for the RS may be calculated , from option strike delta-weighted implied volatilities and option strike weightings, and output , e. In some implementations, the VEIP process may work as described in the following example. In some embodiments, the weight of each strike may be dynamically changed with changes in the underlying reference price according to the following logic. The weights of each strike are then re-weighted according to the Diff, to ascribe more weight to the strike closest to the money and less to the strikes that are either in the money or out of the money.

For example, such weighting may serve as an error checking mechanism. Thus, in one embodiment, the Vol Ex Index may be calculated as follows:. In some embodiments, the determined Vol Ex Index may be published to 2 places to the right of the decimal and is rounded accordingly—in this example, In some implementations, this calculation may be the same for all available expiration months—each expiration month results in a separately calculated and published Vol Ex Index.

Since options have a finite life and expire, the Vol Ex Indexes may also expire. For example, as of a future or past given date, for example, Apr. Following the example, after the expiration of the May 22, series, the May 22, Vol Ex Index may no longer be calculated and published. A newly added expiration series, expiring on some future date, may give rise to a new Vol Ex Index to replace the expired Vol Ex Index. In such embodiments, as near terms expire, longer dated expirations may be added as is done in the underlying security's options.

In one embodiment of the VEIP, for each reference security, the available option series that are currently trading may define how many indexes will be calculated. In one implementation, those series may be sorted and grouped by their expiration day. In one implementation, each unique expiration date in turn has a varying number of option series available for trading.

For example, in one implementation, the following may apply:. Strike prices surround the current index level, with new strikes added as needed as the index level increases or decreases.

Expirations may be Short Term e. Listing a Vol Ex Index Option with an expiration date that was greater than the date when the Volatility Index itself terminates may be prohibited. Vol Ex Index Options may expire and settle after the close of business 2 business days before the Vol Ex Index terminates. In this example, for a regular expiration this means the Wednesday preceding the 3 rd Friday of the month.

In some implementations, Vol Ex Indexes have a finite life. In these embodiments, once those options expire, the Vol Ex Index may also terminate. In some implementations, Vol Ex Indexes may be relatively short lived e. For example, in a given period e. In turn, computers employ processors to process information; such processors may be referred to as central processing units CPU. One form of processor is referred to as a microprocessor. CPUs use communicative circuits to pass binary encoded signals acting as instructions to enable various operations.

These stored instruction codes, e. One type of program is a computer operating system, which, may be executed by CPU on a computer; the operating system enables and facilitates users to access and operate computer information technology and resources. Some resources that may be employed in information technology systems include: These information technology systems may be used to collect data for later retrieval, analysis, and manipulation, which may be facilitated through a database program.

These information technology systems provide interfaces that allow users to access and operate various system components. Networks are commonly thought to comprise the interconnection and interoperation of clients, servers, and intermediary nodes in a graph topology. For example, the Internet is generally accepted as being an interconnection of a multitude of networks whereby remote clients and servers may access and interoperate with one another. The VEIP controller may be based on computer systems that may comprise, but are not limited to, components such as: The computer systemization may be connected to a power source ; e.

The system clock typically has a crystal oscillator and generates a base signal through the computer systemization's circuit pathways. The clock is typically coupled to the system bus and various clock multipliers that will increase or decrease the base operating frequency for other components interconnected in the computer systemization. The clock and various components in a computer systemization drive signals embodying information throughout the system.

Such transmission and reception of instructions embodying information throughout a computer systemization may be commonly referred to as communications. Often, the processors themselves will incorporate various specialized processing units, such as, but not limited to: Additionally, processors may include internal fast access addressable memory, and be capable of mapping and addressing memory beyond the processor itself; internal memory may include, but is not limited to: The processor may access this memory through the use of a memory address space that is accessible via instruction address, which the processor can construct and decode allowing it to access a circuit path to a specific memory address space having a memory state.

The CPU may be a microprocessor such as: Such instruction passing facilitates communication within the VEIP controller and beyond through various interfaces.

Alternatively, should deployment requirements dictate greater portability, smaller Personal Digital Assistants PDAs may be employed. Also, to implement certain features of the VEIP, some feature implementations may rely on embedded components, such as: Alternately, some implementations of the VEIP may be implemented with embedded components that are configured and used to achieve a variety of features or signal processing. An FPGA's logic blocks can be programmed to perform the operation of basic logic gates such as AND, and XOR, or more complex combinational operators such as decoders or mathematical operations.

In most FPGAs, the logic blocks also include memory elements, which may be circuit flip-flops or more complete blocks of memory. The power source may be of any standard form for powering small electronic circuit board devices such as the following power cells: Other types of AC or DC power sources may be used as well. In the case of solar cells, in one embodiment, the case provides an aperture through which the solar cell may capture photonic energy.

The power cell is connected to at least one of the interconnected subsequent components of the VEIP thereby providing an electric current to all subsequent components. In one example, the power source is connected to the system bus component Optionally, cryptographic processor interfaces similarly may be connected to the interface bus. The interface bus provides for the communications of interface adapters with one another as well as with other components of the computer systemization.

Interface adapters are adapted for a compatible interface bus. Interface adapters conventionally connect to the interface bus via a slot architecture. Conventional slot architectures may be employed, such as, but not limited to: Storage interfaces may employ connection protocols such as, but not limited to: Through a communications network , the VEIP controller is accessible through remote clients b e. Network interfaces may employ connection protocols such as, but not limited to: A network interface may be regarded as a specialized form of an input output interface.

Further, multiple network interfaces may be used to engage with various communications network types The video interface composites information generated by a computer systemization and generates video signals based on the composited information in a video memory frame. Another output device is a television set, which accepts signals from a video interface.

Typically, the video interface provides the composited video information through a video connection interface that accepts a video display interface e. User input devices often are a type of peripheral device see below and may include: Peripheral devices may include: Peripheral devices often include types of input devices e.

The MC68HC16 microcontroller utilizes a bit multiply-and-accumulate instruction in the 16 MHz configuration and requires less than one second to perform a bit RSA private key operation.

Cryptographic units support the authentication of communications from interacting agents, as well as allowing for anonymous transactions. Cryptographic units may also be configured as part of the CPU. Other commercially available specialized cryptographic processors include: However, memory is a fungible technology and resource, thus, any number of memory embodiments may be employed in lieu of or in concert with one another.

For example, a computer systemization may be configured wherein the operation of on-chip CPU memory e. A storage device may be any conventional computer system storage.

Thus, a computer systemization generally requires and makes use of memory. The operating system component is an executable program component facilitating the operation of the VEIP controller. This function encapsulates the SASL handshake between the client and the directory server for various standard SASL mechanisms thereby reducing the coding effort involved in establishing a SASL-based connection to the directory server. C API Client context. The cred parameter is a SASL credential handle for the user.

The other two authentication modes addressing data privacy and data integrity are yet to be supported. While authenticating against Oracle Internet Directory, the DN of the user has to be normalized before it is sent across to the server.

The directory server would then authenticate the user based on the user credentials in SSL connection. Use these functions to create and manage SASL credential handles. LDAPv3 operations can be extended through the use of controls.

Controls can be sent to a server or returned to the client with any LDAP message. These controls are referred to as server controls. A common data structure is used to represent both types of controls:.

The fields in the ldapcontrol structure are described in Table Table Fields in ldapcontrol Structure. The data associated with the control if any. Indicates whether the control is critical of not. If this field is nonzero, the operation is only carried out if the control is recognized by the server or the client.

Note that the LDAP unbind and abandon operations have no server response. Clients should not mark server controls critical when used with these two operations. The following routines can be used to dispose of a single control or an array of controls:.

If the ctrl or ctrls parameter is NULL , these calls do nothing. Control lists are represented as a NULL -terminated array of pointers to ldapcontrol structures. Server controls are defined by LDAPv3 protocol extension documents; for example, a control has been proposed to support server-side sorting of search results.

It is also useful to govern automatic referral chasing on per-request basis. A client control with an object identifier OID of 1. This flags value can be set to zero to disable automatic chasing of referrals and LDAPv3 references altogether. Use the functions in this section to unbind from the directory, to close open connections, and to dispose of the session handle. Note, however, that there is no server response to an LDAP unbind operation.

After a call to one of the unbind functions, the session handle ld is invalid and it is illegal to make any further LDAP API calls using ld. Table Parameters for Closing the Session. Use the functions in this section to search the LDAP directory and to return a requested set of attributes for each entry matched. These results can be parsed using the result parsing routines described in detail later. Entries returned from the search, if any, are contained in the res parameter.

This parameter is opaque to the caller. Entries, attributes, values, and so on, can be extracted by calling the parsing routines described in this section.

The local search timeout is used to limit the amount of time the API implementation waits for a search to complete. After the local search timeout expires, the API implementation sends an abandon operation to stop the search operation. Table Parameters for Search Operations. A character string representing the search filter. A NULL -terminated array of strings indicating which attributes to return for each matching entry.

Passing NULL for this parameter causes all available user attributes to be retrieved. A boolean value that must be zero if both attribute types and values are to be returned, and nonzero if only types are wanted. For the synchronous calls, this is a result parameter which contains the results of the search upon completion of the call. There are three options in the session handle ld which potentially affect how the search is performed.

LDAP does not support a read operation directly. The attrs parameter contains the list of attributes to return. LDAP does not support a list operation directly. The parameter attrs contains the list of attributes to return for each child entry. Table Parameters for Compare Operations.

The attribute value to compare against those found in the given entry. This parameter is used in the extended routines and is a pointer to a struct berval so it is possible to compare binary values.

Table Parameters for Modify Operations. The modification operation to perform. The values if any to add, delete, or replace. All modifications are performed in the order in which they are listed. Table Parameters for Rename Operations. The new parent, or superior entry. The root DN should be specified by passing a zero length string, "". This parameter only has meaning on the rename routines if newrdn is different than the old RDN.

It is a boolean value, if nonzero indicating that the old RDN value is to be removed, if zero indicating that the old RDN value is to be retained as non-distinguished values of the entry.

Table Parameters for Add Operations. Note that the parent of the entry being added must already exist or the parent must be empty—that is, equal to the root DN—for an add to succeed. Table Parameters for Delete Operations. Note that the entry to delete must be a leaf entry—that is, it must have no children. Deletion of entire subtrees in a single operation is not supported by LDAP.

These routines enable extended LDAP operations to be passed to the server, providing a general protocol extensibility mechanism. The retoid and retdata parameters are filled in with the OID and data from the response. Table Parameters for Extended Operations. Pointer to a character string that is set to an allocated, dotted-OID text string returned by the server. Pointer to a berval structure pointer that is set an allocated copy of the data returned by the server.

There is no server response to LDAP abandon operations. Table lists and describes the parameters for abandoning an operation. Table Parameters for Abandoning an Operation. Use the functions in this section to return the result of an operation initiated asynchronously.

They identify messages by type and by ID. After a chain of messages has been returned to the caller, it is no longer tied in any caller-visible way to the LDAP request that produced it. Table lists and describes the parameters for obtaining results and peeling inside LDAP messages. This parameter only has meaning for search results. A timeout specifying how long to wait for results to be returned. A timeout value of zero seconds specifies a polling behavior. This is one of the following constants.

If res is NULL , then nothing is done and the value zero is returned. The type is one of the types listed previously, or -1 on error. If a chain of messages that contains more than one result message is passed to these routines they always operate on the first result in the chain. It returns a pointer to static data. Table lists and describes parameters for handling errors and parsing results. This is the indication from the server of the outcome of the operation.

This result parameter is filled in with the contents of the error message field from the LDAPMessage message. This result parameter is filled in with the contents of the referrals field from the LDAPMessage message, indicating zero or more alternate LDAP servers where the request is to be retried. This result parameter is filled in with an allocated array of controls copied out of the LDAPMessage message.

A Boolean that determines whether the res parameter is disposed of or not. Pass any nonzero value to have these routines free res after extracting the requested information. If freeit is nonzero, the entire chain of messages represented by res is disposed of. For SASL bind results, this result parameter is filled in with the credentials passed back by the server for mutual authentication, if given. For extended results, this result parameter is filled in with the dotted-OID text representation of the name of the extended operation response.

For extended results, this result parameter is filled in with a pointer to a struct berval containing the data in the extended operation response. The result chain for search operations can include referral messages, entry messages, and result messages. Table lists and describes the parameters for stepping through a list of results.

NULL is also returned if an error occurs while stepping through the entries, in which case the error parameters in the session handle ld is set to indicate the error. These results are returned in an opaque structure that may be accessed by calling the routines described in this section. Routines are provided to step through the entries and references returned, step through the attributes of an entry, retrieve the name of an entry, and retrieve the values associated with a given attribute in an entry.

Table lists and describes the parameters or retrieving entries and continuation references from a search result chain, and for counting entries returned. NULL is also returned if an error occurs while stepping through the entries or references, in which case the error parameters in the session handle ld is set to indicate the error.

Use the functions in this section to step through the list of attribute types returned with an entry. Table lists and describes the parameters for stepping through attribute types returned with an entry. The BerElement type itself is an opaque structure.

In the latter case, the error parameters in the session handle ld are set to indicate the error. Both routines return a pointer to an allocated buffer containing the current attribute name. Note that it is very important to pass the second parameter as 0 zero in this call, since the buffer associated with the BerElement does not point to separately allocated memory.

Table lists and describes the parameters for retrieving and counting attribute values. Two forms of the various calls are provided. The first form is only suitable for use with non-binary character string data. Table lists and describes the parameters for retrieving, exploding, and converting entry names. A Boolean parameter, if nonzero indicating that the DN or RDN components are to have their type information stripped off: The function sets error parameters in the session handle ld to indicate the error.

The components are returned in the order they appear in the DN. The components are returned in the order they appear in the rdn. Table lists and describes the parameters for extracting LDAP control from an entry. This result parameter is filled in with an allocated array of controls copied out of entry. If serverctrlsp is NULL , no controls are returned. Table lists and describes parameters for extracting referrals and controls from a SearchResultReference message.

This result parameter is filled in with an allocated array of character strings. This result parameter is filled in with an allocated array of controls copied out of ref. A Boolean that determines whether the ref parameter is disposed of or not.

Pass any nonzero value to have this routine free ref after extracting the requested information. This is provided as a convenience. More complete examples are given in RFC It requires either an Oracle environment or, at minimum, globalization support and other core libraries. To use the different authentication modes in SSL, the directory server requires corresponding configuration settings.

Sample libraries are included in the release for the sample command line tool. You should replace these libraries with your own versions of the libraries. The chapter contains these topics: There are three modes of authentication: None—Neither client nor server is authenticated, and only SSL encryption is used One-way—Only the server is authenticated by the client Two-way—Both the server and the client are authenticated by each other The type of authentication is indicated by a parameter in the SSL interface call.

The section contains the following topics: The following URL for a more detailed explanation of these calls: The following are examples of valid hostname values: Option is read only. Table Parameters for Callback Function and for Setting Callback Function Parameter Description ld The session handle rebindproc The callback function to be used to get the bind credentials for connecting to a new server while chasing LDAP referrals ld The session handle to the new server dnp Pointer to bind dn for new server passwdp Pointer to bind password for new server authmethodp Pointer to authentication method for new server freeit 0 - returns bind dn pointer, bind password pointer, and bind authentication method pointer for new server 1 - frees any memory allocated in previous call.

String[] Type of credential, which must be added to credential handle. A common data structure is used to represent both types of controls: To learn more about them, see RFC