In this article we consider combinatorial markets with valuations only for singletons and pairs of buy/sell-orders for swapping two items in equal quantity. We provide an algorithm that permits polynomial time market-clearing and -pricing. The results are presented in the context of our main application: the futures opening auction problem. Futures contracts are an important tool to mitigate market risk and counterparty credit risk. In futures markets these contracts can be traded with varying expiration dates and underlyings. A common hedging strategy is to roll positions forward into the next expiration date, however this strategy comes with significant operational risk. To address this risk, exchanges started to offer so-called futures contract combinations, which allow the traders for swapping two futures contracts with different expiration dates or for swapping two futures contracts with different underlyings. In theory, the price is in both cases the difference of the two involve 查看全文>>