CN114693442A - Bond data processing method and device, electronic equipment and storage medium - Google Patents
Bond data processing method and device, electronic equipment and storage medium Download PDFInfo
- Publication number
- CN114693442A CN114693442A CN202011585054.0A CN202011585054A CN114693442A CN 114693442 A CN114693442 A CN 114693442A CN 202011585054 A CN202011585054 A CN 202011585054A CN 114693442 A CN114693442 A CN 114693442A
- Authority
- CN
- China
- Prior art keywords
- interest rate
- negotiable
- date
- tree model
- negotiable instrument
- Prior art date
- Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
- Pending
Links
Images
Classifications
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
Landscapes
- Business, Economics & Management (AREA)
- Accounting & Taxation (AREA)
- Finance (AREA)
- Engineering & Computer Science (AREA)
- Development Economics (AREA)
- Economics (AREA)
- Marketing (AREA)
- Strategic Management (AREA)
- Technology Law (AREA)
- Physics & Mathematics (AREA)
- General Business, Economics & Management (AREA)
- General Physics & Mathematics (AREA)
- Theoretical Computer Science (AREA)
- Management, Administration, Business Operations System, And Electronic Commerce (AREA)
Abstract
The invention provides a method and a device for processing bond data, an electronic device and a storage medium, wherein the method comprises the following steps: acquiring a yield curve and interest rate related parameters of the deliverable coupon combination and attribute information of each deliverable coupon; constructing an interest rate ternary tree model based on an interest rate curve and interest rate related parameters of the combination of the negotiable instruments, wherein the interest rate ternary tree model comprises a plurality of interest rate paths of each negotiable instrument from a starting date to an expiration date, and each interest rate path comprises a plurality of nodes; and determining the cheapest negotiable instrument and the negotiable probability thereof based on the attribute information of each negotiable instrument and the rate ternary tree model, thereby more accurately and quickly determining the optimal result of the cheapest negotiable instrument and giving a better investment suggestion.
Description
Technical Field
The invention relates to the technical field of finance, in particular to a method and a device for processing bond data, electronic equipment and a storage medium.
Background
Generally, since the seller has the option of delivering the bond, the seller of the contract will choose the bond that is most advantageous to the seller, and usually the bond with the lowest delivery cost, and the corresponding bond is the cheapest deliverable bond.
The determination of the cheapest negotiable instrument is important. Any futures contract must reflect the behavior of the spot price. Although bond futures contracts specify targets explicitly, such standard bonds are often not present in practice. Thus, the cheapest deliverable instrument represents a spot-market tool tracked by futures contracts. More specifically, the cheapest negotiable instrument determines the theoretical price of the future of the national debt. Therefore, whether the theoretical price of the future of the bond or the optimal hedging ratio is determined, it is necessary to first determine the cheapest deliverable instrument.
Theoretically, the cheapest negotiable instrument can be generally found by comparing the implied repurchase interest rates of different instrument varieties. But before the futures contract due date, changes in interest rate level or rate curve shape may result in changes to the cheapest deliverable instrument. Even in a smoother market environment, the cheapest deliverable instrument for a certain expiration date is not necessarily the cheapest deliverable instrument for the next expiration date contract. Thus, at any point prior to the contract's due date, it is not certain what bond is being delivered. However, it is possible to discriminate which bond is most likely to be a delivery target.
In the prior art, the cheapest available tickets may be different for different times, so that the cheapest available tickets may be constantly changing as time goes by. How to automatically and rapidly process data to accurately judge which bonds are the cheapest negotiable bonds is a problem which needs to be solved urgently at present.
Disclosure of Invention
The invention provides a bond data processing method and device, electronic equipment, a storage medium and a chip, which are used for solving the technical defects in the prior art.
The invention provides a method for processing bond data, which comprises the following steps:
acquiring a yield curve and interest rate related parameters of the deliverable coupon combination and attribute information of each deliverable coupon;
constructing an interest rate ternary tree model based on an interest rate curve and interest rate related parameters of the combination of the negotiable instruments, wherein the interest rate ternary tree model comprises a plurality of interest rate paths of each negotiable instrument from a starting date to an expiration date, and each interest rate path comprises a plurality of nodes;
and determining the cheapest negotiable instrument and the negotiable probability thereof based on the attribute information of each negotiable instrument and the interest rate ternary tree model.
According to the processing method of bond data provided by the invention, based on the yield curve of the negotiable bond combination and the yield related parameters, a yield ternary tree model is constructed, and the method comprises the following steps: fitting based on the return rate curve of the deliverable coupon combination and the regression speed, time interval and interest rate standard deviation of the interest rate, and constructing an interest rate ternary tree model corresponding to the deliverable coupon combination.
According to the method for processing bond data provided by the invention, the cheapest negotiable bonds and the negotiable probability thereof are determined based on the attribute information of each negotiable bond and the interest rate ternary tree model, and the method comprises the following steps: and performing reverse derivation from due date to calculation date in the rate ternary tree model based on the attribute information of each deliverable coupon, and determining the cheapest deliverable coupon and the delivery probability thereof, wherein the attribute information of the deliverable coupon comprises the following steps: start date, expiration date, frequency of payment, and nominal interest rate.
According to the method for processing bond data provided by the invention, the reverse derivation from due date to calculation date is carried out in the rate ternary tree model based on the attribute information of each negotiable bond, and the cheapest negotiable bond and the negotiable probability thereof are determined, and the method comprises the following steps:
and reversely deducing from the due date to the calculation date in each interest rate path based on the attribute information of each negotiable instrument and the occurrence probability of each interest rate path to obtain the cheapest negotiable instrument and the negotiable probability of each node of the delivery date, wherein the delivery date is between the due date and the calculation date.
According to the processing method of bond data provided by the invention, fitting is carried out based on the return rate curve of the negotiable bond combination and the regression speed, time interval and interest rate standard deviation of the interest rate, and an interest rate ternary tree model corresponding to the negotiable bond combination is constructed, wherein the method comprises the following steps:
fitting based on the rate of return curve of the combination of the negotiable instruments and the regression speed, time interval and standard deviation of the interest rate to obtain a plurality of interest rate paths of each bond from the starting date to the due date so as to generate the interest rate ternary tree model.
According to the processing method of bond data provided by the invention, each interest rate path comprises a plurality of sections of interest rate sub-paths;
based on the attribute information of each negotiable instrument and the occurrence probability of each interest rate path, reversely deducing from the due date to the calculation date in each interest rate path to obtain the cheapest negotiable instrument and the negotiable probability of each node of the delivery date, wherein the method comprises the following steps:
according to the occurrence probability of each section of interest rate sub-path of the interest rate ternary tree model and the attribute information of each negotiable instrument, sequentially converting the cash flow of each node in each section of interest rate sub-path to the starting date to obtain the discount rate of the negotiable instrument in the section of interest rate sub-path;
and determining the cheapest negotiable instrument and the delivery probability of each node of the delivery day according to the discount rate of the negotiable instrument in each interest rate path.
The invention provides a processing device of bond data, comprising:
the parameter acquisition module is used for acquiring a yield curve and interest rate related parameters of the deliverable coupon combination and attribute information of each deliverable coupon;
a interest rate ternary tree model building module, configured to build an interest rate ternary tree model based on a yield curve and interest rate related parameters of the combination of the negotiable instruments, where the interest rate ternary tree model includes a plurality of interest rate paths of each of the negotiable instruments from a start date to an expiration date, and each of the interest rate paths includes a plurality of nodes;
and the cheapest deliverable coupon determining module is used for determining the cheapest deliverable coupon and the delivery probability thereof based on the attribute information of each deliverable coupon and the interest rate ternary tree model.
According to the processing device of bond data provided by the invention, the interest rate ternary tree model building module is specifically used for: fitting based on the return rate curve of the deliverable coupon combination and the regression speed, time interval and interest rate standard deviation of the interest rate, and constructing an interest rate ternary tree model corresponding to the deliverable coupon combination.
According to the processing device of bond data provided by the present invention, the cheapest negotiable instrument determining module is specifically configured to: and determining the cheapest negotiable instrument and the negotiable probability thereof by carrying out reverse derivation from an expiration date to a calculation date in the interest rate ternary tree model based on the attribute information of each negotiable instrument, wherein the attribute information of the negotiable instrument comprises the following steps: start date, expiration date, frequency of payment, and nominal interest rate.
According to the processing device of bond data provided by the invention, the cheapest negotiable bond determining module is specifically used for: and reversely deducing from the due date to the calculation date in each interest rate path based on the attribute information of each negotiable instrument and the occurrence probability of each interest rate path to obtain the cheapest negotiable instrument and the negotiable probability of each node of a delivery date, wherein the delivery date is between the due date and the calculation date.
According to the processing device of bond data provided by the invention, the interest rate ternary tree model building module is specifically used for: fitting based on the rate of return curve of the combination of the negotiable instruments and the regression speed, time interval and standard deviation of the interest rate to obtain a plurality of interest rate paths of each bond from the starting date to the due date so as to generate the interest rate ternary tree model.
According to the processing device of bond data provided by the invention, the cheapest negotiable bond determining module is specifically used for: according to the occurrence probability of each section of interest rate sub-path of the interest rate ternary tree model and the attribute information of each negotiable instrument, sequentially converting the cash flow of each node in each section of interest rate sub-path to the starting day to obtain the discount rate of the negotiable instrument in the section of interest rate sub-path, wherein each interest rate path comprises a plurality of sections of interest rate sub-paths;
and determining the cheapest negotiable instrument and the delivery probability of each node of the delivery day according to the discount rate of the negotiable instrument in each interest rate path.
The invention also provides an electronic device, which comprises a memory, a processor and a computer program stored on the memory and capable of running on the processor, wherein the processor executes the program to realize the steps of the processing method of the bond data.
The present invention also provides a non-transitory computer-readable storage medium having stored thereon a computer program which, when executed by a processor, implements the steps of the method of processing bond data as described in any of the above.
The invention also provides a chip, which comprises a processor and a communication interface, wherein the communication interface is coupled with the processor, and the processor is used for running a program or instructions to realize the steps of the processing method of the bond data.
According to the method and the device for processing bond data, the interest rate ternary tree model of the negotiable bond combination is established through the obtained yield rate curve of the negotiable bond combination and the interest rate related parameters, and the cheapest negotiable bond and the negotiable probability thereof are determined based on the attribute information of each negotiable bond and the interest rate ternary tree model, so that the optimal result of the cheapest negotiable bond can be determined more accurately and rapidly, and a better investment suggestion is given.
Drawings
In order to more clearly illustrate the technical solutions of the present invention or the prior art, the drawings needed for the description of the embodiments or the prior art will be briefly described below, and it is obvious that the drawings in the following description are some embodiments of the present invention, and those skilled in the art can also obtain other drawings according to the drawings without creative efforts.
Fig. 1 is one of the flow diagrams of the processing method of bond data provided by the present invention;
FIG. 2 is a schematic structural diagram of a trie model of interest rate provided by the present invention;
fig. 3 is a second schematic flow chart of the method for processing bond data provided by the present invention;
fig. 4 is a schematic structural diagram of a bond data processing device provided by the present invention;
FIG. 5 is a schematic structural diagram of an electronic device provided by the present invention;
Detailed Description
In order to make the objects, technical solutions and advantages of the present invention clearer, the technical solutions of the present invention will be clearly and completely described below with reference to the accompanying drawings, and it is obvious that the described embodiments are some, but not all embodiments of the present invention. All other embodiments, which can be derived by a person skilled in the art from the embodiments given herein without making any creative effort, shall fall within the protection scope of the present invention.
First, the noun terms to which the embodiments of the present invention relate are explained.
Cheapest negotiable instrument: the seller makes a delivery to the bond with the lowest delivery cost in the deliverable bond combination, and the corresponding bond is the cheapest deliverable bond.
Interest rate tree model: the triple rate tree model is a computational model based on financial mathematics for bond transactions. In the interest rate tree model, the target asset price has three possible movement paths at each node: up u, down d and middle m. The next target asset price may be calculated from the current node's target asset price multiplied by u, d, or m.
Interest rate: interest rate refers to the ratio of interest amount to loan amount (principal) over a period of time. Interest rate is the main factor for determining the capital cost of an enterprise, and is also the decisive factor for enterprise financing and investment, and the research on the financial environment must pay attention to the current situation of interest rate and the change trend thereof.
Fluctuation ratio: volatility is the degree of fluctuation in the price of a financial asset, and is a measure of the uncertainty in the profitability of the asset, reflecting the risk level of the financial asset. The higher the fluctuation rate, the more violent the fluctuation of the financial asset price, and the stronger the uncertainty of the asset profitability; the lower the volatility, the more gradual the volatility of the price of the financial asset and the greater the certainty of the profitability of the asset.
Cash flow cash withdrawal: the method is a pricing method for determining the stock release price by predicting the future cash flow of a company and calculating the present value of the company according to a certain discount rate. The return to investors from investing stocks includes mainly the earnings of the equity and the spread of the last sold stock.
Delivering: the bond delivery is to deliver the bond from the seller to the buyer and to deliver the price from the buyer to the seller. Bonds traded in a stock exchange can be divided into three types, namely daily delivery, ordinary daily delivery and scheduled daily delivery according to different delivery dates. If the delivery on the same day is the ticket payment delivery procedure is handled on the same day of the business transaction; the common delivery day is the fourth business day after trading transaction to handle the coupon payment delivery procedure; the appointed delivery date is 15 days after the transaction, and the buyer and the seller agree to deliver the coupon on a certain day.
Expiration date: refers to the contract due date for a particular deliverable instrument. The negotiable instruments can only be traded on the day of the due date and cannot be traded at a time before the due date.
The embodiment of the invention discloses a method for processing bond data, which is shown in figure 1 and comprises the following steps:
The obtaining mode may be various, for example, the obtaining mode may be input by a user, or the system actively obtains a relevant parameter, for example, actively crawls in a network, and the like.
And 102, constructing an interest rate ternary tree model based on the yield curve of the deliverable coupon combination and the interest rate related parameters.
Wherein the interest rate ternary tree model comprises a plurality of interest rate paths of each of the negotiable instruments from a start date to an expiration date, each of the interest rate paths comprising a plurality of nodes.
Specifically, step 102 includes: fitting based on the return rate curve of the deliverable coupon combination and the regression speed, time interval and interest rate standard deviation of the interest rate, and constructing an interest rate ternary tree model corresponding to the deliverable coupon combination.
In this embodiment, taking the triquette tree model as a Hull White ternary tree model as an example, three parameters of interest rate: the regression speed, time interval and interest rate standard deviation are used as Hull-white parameters for generating an interest rate ternary tree model.
The combination of the deliverable tickets can comprise a plurality of deliverable tickets, for example, deliverable tickets a 1-a 20.
The profitability curve for each negotiable instrument can be obtained from the financial data published in multiple channels. Wherein the profitability Curve (Yield currve) is a graph showing the profitability of a set of bonds or other financial instruments having the same currency and credit risk but different duration. The vertical axis represents the rate of return and the horizontal axis is the time from expiration.
The profitability curve is a basic tool for analyzing interest rate trend and carrying out market pricing and is also an important basis for carrying out investment. When the national debt freely trades in the market, the standard interest rate curve of the bond market is formed by different periods and corresponding different earnings. The market has a reasonable pricing basis, and other bonds and various financial assets determine an appropriate price on the basis of the curve after considering the risk premium.
Wherein the interest rate ternary tree model comprises a plurality of interest rate paths of each of the negotiable instruments from a start date to an expiration date, each of the interest rate paths comprising a plurality of nodes.
Specifically, referring to FIG. 2, FIG. 2 illustrates the structure of an interest rate ternary tree model. The interest rate ternary tree model of the embodiment adopts a Hull White ternary tree model structure.
Wherein A is the node of the initial day and corresponds to the interest rate of the negotiable instrument of the initial day; B. c, D are the nodes on the second day, and the interest rate … … of the negotiable instrument corresponding to the second day is analogized to obtain the interest rate of each node on the third day and the due day. And connecting the nodes to form a plurality of interest rate paths of the interest rate ternary tree model.
The purpose of this embodiment is to find the cheapest negotiable instrument at each node of the delivery day and determine the delivery probability of the cheapest negotiable instrument, thereby determining which of the cheapest negotiable instruments is more appropriate for delivery to guide investment.
Note that the method of processing bond data according to the present embodiment is applicable to the case of ordinary delivery and contract delivery, and is not applicable to the case of delivery on the day.
And 103, determining the cheapest negotiable instrument and the negotiable probability thereof based on the attribute information of each negotiable instrument and the interest rate ternary tree model.
Specifically, step 103 includes: and performing reverse derivation from due date to calculation date in the interest rate ternary tree model based on the attribute information of each negotiable instrument, and determining the cheapest negotiable instrument and the negotiable probability thereof.
Wherein the attribute information of the deliverable ticket includes: start date, expiration date, frequency of interest paid, and nominal interest rate.
Still taking fig. 2 as an example, taking the first node J, the second node K, and the third node M arriving at the delivery date as an example, the interest rate path includes:
A——B——E——J，A——B——F——J，
A——C——F——J，
A——B——E——K，A——B——F——K，
A——C——F——K，A——B——G——K，
A——C——G——K，A——D——G——K，
A——B——G——M，A——C——G——M，
A——D——G——M，A——C——H——M，
A——D——H——M，A——D——I——M。
and according to the three interest rate paths, performing reverse derivation from the due date to the calculation date in the interest rate ternary tree model, and determining the cheapest negotiable instrument of each node of the delivery date. For example, the cheapest deliverable coupon obtained from the route to the node J on the delivery day is a1, the cheapest deliverable coupon obtained from the route to the node K on the delivery day is a2, and the cheapest deliverable coupon obtained from the route to the node L on the delivery day is a 3.
Further, step 103 comprises: and reversely deducing from the due date to the calculation date in each interest rate path based on the attribute information of each negotiable instrument and the occurrence probability of each interest rate path to obtain the cheapest negotiable instrument and the negotiable probability of each node of a delivery date, wherein the delivery date is between the due date and the calculation date.
Based on the interest rate treble model, it is determined that the delivery probability of the cheapest deliverable ticket a1 is 0.27, the delivery probability of the cheapest deliverable ticket a2 is 0.22, and the delivery probability of the cheapest deliverable ticket a3 is 0.51, and the delivering is preferably performed on the cheapest deliverable ticket a 2.
According to the method for processing bond data, the interest rate ternary tree model of the negotiable bond combination is established through the obtained yield rate curve of the negotiable bond combination and the interest rate related parameters, and the cheapest negotiable bond and the negotiable probability thereof are determined based on the attribute information of each negotiable bond and the interest rate ternary tree model, so that the optimal result of the cheapest negotiable bond can be determined more accurately and rapidly, and a better investment suggestion is given.
The embodiment of the invention discloses a method for processing bond data, which is shown in figure 3 and comprises the following steps 300-303:
and step 300, acquiring a yield curve, interest rate related parameters and attribute information of each deliverable ticket of the deliverable ticket combination.
The obtaining mode may be various, for example, the obtaining mode may be input by a user, or the system actively obtains a relevant parameter, for example, actively crawls in a network, and the like.
In this embodiment, taking the triquette tree model as a Hull White ternary tree model as an example, three parameters of interest rate: the regression speed, time interval and interest rate standard deviation are used as Hull-white parameters for generating an interest rate ternary tree model.
Specifically, the structure and description of the interest rate ternary tree model refer to the foregoing embodiments and fig. 2, and are not repeated herein.
Wherein the attribute information of the deliverable ticket includes: start date, expiration date, frequency of payment, and nominal interest rate.
In this embodiment, since a large number of repeated calculations are performed each time a complete path is taken, and the calculation efficiency is reduced, in this embodiment, each segment of interest rate sub-path is calculated to avoid repeated calculations.
It should be noted that at each node, the negotiable instrument will have a corresponding cash flow payment. After the interest rate is reached, the cash flow is discounted to the start day to determine the discount rate of the negotiable instrument.
Taking FIG. 2 as an example, taking interest rate path A-B-E-J as an example, cash flows of nodes B, E and J are respectively discounted to node A to determine discount rate.
And step 303, determining the cheapest deliverable coupon and the delivery probability thereof of each node on the delivery day according to the discount rate of the deliverable coupon in each interest rate path.
The delivery date is a date on which the bond is to be delivered, and is located between the due date and the calculation date.
According to the method for processing bond data provided by the embodiment, the interest rate treble model of the negotiable instrument combination is established through the obtained yield curve of the negotiable instrument combination and the interest rate related parameters, and the cheapest negotiable instrument and the negotiable probability thereof are determined based on the attribute information of each negotiable instrument and the interest rate treble model, so that the optimal result of the cheapest negotiable instrument can be determined more accurately and rapidly, and a better investment suggestion is given. The following schematically illustrates a method for processing bond data according to an embodiment of the present invention with a specific example.
Taking an example that one negotiable instrument combination comprises 15 negotiable instruments B1-B15, the yield curve of the negotiable instruments B1-B15 is obtained. According to the processing method of bond data of the embodiment, the steps comprise:
s0, acquiring the yield curve of the combination of the deliverable coupons, the interest rate related parameters and the attribute information of each deliverable coupon B1-B15.
S1, constructing a rate ternary tree model based on the rate of return curves and the rate-related parameters of the deliverable coupons B1-B15 of the deliverable coupon combination.
Wherein the 15 negotiable instruments correspond to a yield curve.
Relevant parameters of the interest rate ternary tree model comprise a plurality of interest rate paths P1-P10 of the deliverable tickets B1-B15 from the starting date to the expiration date, and each interest rate path comprises a plurality of nodes.
Wherein the interest rate related parameters include: regression rate of interest, time interval and standard deviation of interest.
And S3, based on the attribute information of each negotiable instrument, performing reverse derivation from expiration date to calculation date in the interest rate ternary tree model, and determining the cheapest negotiable instrument and the negotiable probability thereof.
Wherein the attribute information of the deliverable ticket includes: start date, expiration date, frequency of interest paid, and nominal interest rate.
Wherein, the nodes of the interest rate ternary tree model on the delivery day comprise 5 nodes C1-C5.
Specifically, based on the attribute information of the respective deliverable tickets B1-B15 and the occurrence probability of each interest rate path P1-P10, the cheapest deliverable ticket and the delivery probability thereof for each node of the delivery date are obtained by reversely deriving from the due date to the calculation date in each interest rate path P1-P10, wherein the delivery date is between the due date and the calculation date.
Assuming that 10 interest rate paths are obtained, based on the attribute information of the deliverable tickets B1-B15 and the occurrence probability of each of the interest rate paths P1-P10, the information is reversely deduced from the due date to the calculation date in each of the interest rate paths P1-P10, and the cheapest deliverable tickets of each node of the delivery date are respectively B1, B2, B3, B4 and B5.
The probability corresponding to each of the cheapest negotiable instruments is shown in table 1 below.
TABLE 1
| Node point | Cheapest available coupon | Probability of delivery |
| C1 | B1 | 0.14 |
| C2 | B2 | 0.25 |
| C3 | B3 | 0.24 |
| C4 | B4 | 0.11 |
| C5 | B5 | 0.26 |
According to the table 1, the cheapest negotiable instrument and the corresponding delivery probability corresponding to each node can be obtained, and the investor can select the cheapest negotiable instrument to deliver according to the information provided by the table 1, so that the investment income maximization is realized.
The following describes a processing device of bond data provided by the present invention, and the processing device of bond data described below and the processing method of bond data described above can be referred to correspondingly.
The embodiment of the invention discloses a processing device of bond data, which is shown in figure 4 and comprises the following components:
a parameter obtaining module 401, configured to obtain a yield curve of a deliverable coupon combination, interest rate related parameters, and attribute information of each deliverable coupon;
an interest rate ternary tree model construction module 402, configured to construct an interest rate ternary tree model based on a rate of return curve and an interest rate related parameter of the combination of the negotiable instruments, wherein the interest rate ternary tree model includes a plurality of interest rate paths of each of the negotiable instruments from a start date to an expiration date, and each of the interest rate paths includes a plurality of nodes;
a cheapest negotiable instrument determining module 403 for determining the cheapest negotiable instrument and the delivery probability thereof based on the attribute information of each negotiable instrument and the interest rate ternary tree model.
Optionally, the interest rate ternary tree model building module 402 is specifically configured to:
fitting based on the return rate curve of the deliverable coupon combination and the regression speed, time interval and interest rate standard deviation of the interest rate, and constructing an interest rate ternary tree model corresponding to the deliverable coupon combination.
Optionally, the cheapest deliverable coupon determination module 403 is specifically configured to: and performing reverse derivation from due date to calculation date in the rate ternary tree model based on the attribute information of each deliverable coupon, and determining the cheapest deliverable coupon and the delivery probability thereof, wherein the attribute information of the deliverable coupon comprises the following steps: start date, expiration date, frequency of interest paid, and nominal interest rate.
Optionally, the cheapest deliverable coupon determination module 403 is specifically configured to:
and reversely deducing from the due date to the calculation date in each interest rate path based on the attribute information of each negotiable instrument and the occurrence probability of each interest rate path to obtain the cheapest negotiable instrument and the negotiable probability of each node of the delivery date, wherein the delivery date is between the due date and the calculation date.
Optionally, the interest rate ternary tree model building module 402 is specifically configured to:
fitting based on the rate of return curve of the combination of the negotiable instruments and the regression speed, time interval and standard deviation of the interest rate to obtain a plurality of interest rate paths of each bond from the starting date to the due date so as to generate the interest rate ternary tree model.
Optionally, the cheapest deliverable coupon determination module 403 is specifically configured to:
according to the occurrence probability of each section of interest rate sub-path of the interest rate ternary tree model and the attribute information of each negotiable instrument, sequentially converting the cash flow of each node in each section of interest rate sub-path to the starting day to obtain the discount rate of the negotiable instrument in the section of interest rate sub-path, wherein each interest rate path comprises a plurality of sections of interest rate sub-paths;
and determining the cheapest negotiable instrument and the delivery probability of each node of the delivery day according to the discount rate of the negotiable instrument in each interest rate path.
The processing apparatus for bond data provided in this embodiment determines the cheapest negotiable instrument and the delivery probability thereof by establishing the interest rate treble model of the negotiable instrument combination and based on the attribute information of each negotiable instrument and the interest rate treble model, so that the optimal result of the cheapest negotiable instrument can be determined more accurately and rapidly, and a better investment suggestion can be given.
Fig. 5 illustrates a physical structure diagram of an electronic device, which may include, as shown in fig. 5: a processor (processor)510, a communication Interface (Communications Interface)520, a memory (memory)530 and a communication bus 540, wherein the processor 510, the communication Interface 520 and the memory 530 communicate with each other via the communication bus 540. Processor 510 may invoke logic instructions in memory 530 to perform a method of processing bond data, comprising:
acquiring a yield curve and interest rate related parameters of the deliverable coupon combination and attribute information of each deliverable coupon;
constructing an interest rate ternary tree model based on an interest rate curve and interest rate related parameters of the combination of the negotiable instruments, wherein the interest rate ternary tree model comprises a plurality of interest rate paths of each negotiable instrument from a starting date to an expiration date, and each interest rate path comprises a plurality of nodes;
and determining the cheapest negotiable instrument and the negotiable probability thereof based on the attribute information of each negotiable instrument and the interest rate ternary tree model.
Furthermore, the logic instructions in the memory 530 may be implemented in the form of software functional units and stored in a computer readable storage medium when the software functional units are sold or used as independent products. Based on such understanding, the technical solution of the present invention may be embodied in the form of a software product, which is stored in a storage medium and includes instructions for causing a computer device (which may be a personal computer, a server, or a network device) to execute all or part of the steps of the method according to the embodiments of the present invention. And the aforementioned storage medium includes: a U-disk, a removable hard disk, a Read-Only Memory (ROM), a Random Access Memory (RAM), a magnetic disk or an optical disk, and other various media capable of storing program codes.
In another aspect, the present invention also provides a computer program product comprising a computer program stored on a non-transitory computer-readable storage medium, the computer program comprising program instructions, which when executed by a computer, enable the computer to perform a method for processing bond data provided by the above methods, including:
acquiring a yield curve and interest rate related parameters of the deliverable coupon combination and attribute information of each deliverable coupon;
constructing an interest rate ternary tree model based on an interest rate curve and interest rate related parameters of the combination of the negotiable instruments, wherein the interest rate ternary tree model comprises a plurality of interest rate paths of each negotiable instrument from a starting date to an expiration date, and each interest rate path comprises a plurality of nodes;
and determining the cheapest negotiable instrument and the negotiable probability thereof based on the attribute information of each negotiable instrument and the interest rate ternary tree model.
In yet another aspect, the present invention also provides a non-transitory computer-readable storage medium, on which a computer program is stored, the computer program being implemented by a processor to perform the above-mentioned processing method of bond data, including:
acquiring a yield curve and interest rate related parameters of the deliverable coupon combination and attribute information of each deliverable coupon;
constructing an interest rate ternary tree model based on an interest rate curve and interest rate related parameters of the combination of the negotiable instruments, wherein the interest rate ternary tree model comprises a plurality of interest rate paths of each negotiable instrument from a starting date to an expiration date, and each interest rate path comprises a plurality of nodes;
and determining the cheapest deliverable coupon and the delivery probability thereof based on the attribute information of each deliverable coupon and the interest rate ternary tree model.
The embodiment of the present application further provides a chip, the chip includes a processor and a communication interface, the communication interface is coupled to the processor, the processor is configured to run a program or an instruction, implement each process of the foregoing processing method for bond data, and achieve the same technical effect, and in order to avoid repetition, details are not repeated here.
It should be understood that the chips mentioned in the embodiments of the present application may also be referred to as system-on-chip, system-on-chip or system-on-chip, etc.
The above-described embodiments of the apparatus are merely illustrative, and the units described as separate parts may or may not be physically separate, and parts displayed as units may or may not be physical units, may be located in one place, or may be distributed on a plurality of network units. Some or all of the modules may be selected according to actual needs to achieve the purpose of the solution of this embodiment. One of ordinary skill in the art can understand and implement it without inventive effort.
It should be noted that, in this document, the terms "comprises," "comprising," or any other variation thereof, are intended to cover a non-exclusive inclusion, such that a process, method, article, or apparatus that comprises a list of elements does not include only those elements but may include other elements not expressly listed or inherent to such process, method, article, or apparatus. Without further limitation, an element defined by the phrase "comprising an … …" does not exclude the presence of other like elements in a process, method, article, or apparatus that comprises the element. Further, it should be noted that the scope of the methods and apparatus of the embodiments of the present application is not limited to performing the functions in the order illustrated or discussed, but may include performing the functions in a substantially simultaneous manner or in a reverse order based on the functions involved, e.g., the methods described may be performed in an order different than that described, and various steps may be added, omitted, or combined. In addition, features described with reference to certain examples may be combined in other examples.
Through the above description of the embodiments, those skilled in the art will clearly understand that each embodiment can be implemented by software plus a necessary general hardware platform, and certainly can also be implemented by hardware. With this understanding in mind, the above-described technical solutions may be embodied in the form of a software product, which can be stored in a computer-readable storage medium such as ROM/RAM, magnetic disk, optical disk, etc., and includes instructions for causing a computer device (which may be a personal computer, a server, or a network device, etc.) to execute the methods described in the embodiments or some parts of the embodiments.
Finally, it should be noted that: the above examples are only intended to illustrate the technical solution of the present invention, but not to limit it; although the present invention has been described in detail with reference to the foregoing embodiments, it will be understood by those of ordinary skill in the art that: the technical solutions described in the foregoing embodiments may still be modified, or some technical features may be equivalently replaced; and such modifications or substitutions do not depart from the spirit and scope of the corresponding technical solutions of the embodiments of the present invention.
Claims (15)
1. A method for processing bond data is characterized by comprising the following steps:
acquiring a yield curve and interest rate related parameters of a deliverable coupon combination and attribute information of each deliverable coupon;
constructing an interest rate ternary tree model based on an interest rate curve and interest rate related parameters of the combination of the negotiable instruments, wherein the interest rate ternary tree model comprises a plurality of interest rate paths of each negotiable instrument from a starting date to an expiration date, and each interest rate path comprises a plurality of nodes;
and determining the cheapest deliverable coupon and the delivery probability thereof based on the attribute information of each deliverable coupon and the interest rate ternary tree model.
2. The method of processing bond data as recited in claim 1, wherein constructing a rate ternary tree model based on a rate of return curve and rate related parameters of the negotiable bond combination comprises:
fitting based on the return rate curve of the deliverable coupon combination and the regression speed, time interval and interest rate standard deviation of the interest rate, and constructing an interest rate ternary tree model corresponding to the deliverable coupon combination.
3. The method for processing bond data according to claim 1, wherein determining the cheapest negotiable instrument and the probability of delivery thereof based on the attribute information of each negotiable instrument and the rate ternary tree model comprises:
and determining the cheapest negotiable instrument and the negotiable probability thereof by carrying out reverse derivation from an expiration date to a calculation date in the interest rate ternary tree model based on the attribute information of each negotiable instrument, wherein the attribute information of the negotiable instrument comprises the following steps: start date, expiration date, frequency of interest paid, and nominal interest rate.
4. The method for processing bond data according to claim 3, wherein the step of determining the cheapest negotiable instrument and the negotiable probability thereof by performing a reverse derivation from due date to calculation date in the rate ternary tree model based on the attribute information of each negotiable instrument comprises:
and reversely deducing from the due date to the calculation date in each interest rate path based on the attribute information of each negotiable instrument and the occurrence probability of each interest rate path to obtain the cheapest negotiable instrument and the negotiable probability of each node of the delivery date, wherein the delivery date is between the due date and the calculation date.
5. The method for processing bond data as claimed in claim 2, wherein fitting based on the regression speed, time interval and standard deviation of interest rate of the interest rate curve and interest rate of the negotiable bond combination, constructing a ternary tree model of interest rate corresponding to the negotiable bond combination comprises:
fitting based on the rate of return curve of the combination of the negotiable instruments and the regression speed, time interval and standard deviation of the interest rate to obtain a plurality of interest rate paths of each bond from the starting date to the due date so as to generate the interest rate ternary tree model.
6. The method of processing bond data as recited in claim 4, wherein each interest rate path comprises a plurality of segments of interest rate sub-paths;
based on the attribute information of each negotiable instrument and the occurrence probability of each interest rate path, reversely deducing from the due date to the calculation date in each interest rate path to obtain the cheapest negotiable instrument and the negotiable probability of each node of the delivery date, wherein the method comprises the following steps:
according to the occurrence probability of each section of interest rate sub-path of the interest rate ternary tree model and the attribute information of each negotiable instrument, sequentially converting the cash flow of each node in each section of interest rate sub-path to the starting day to obtain the discount rate of the negotiable instrument in the section of interest rate sub-path;
and determining the cheapest negotiable instrument and the delivery probability of each node of the delivery day according to the discount rate of the negotiable instrument in each interest rate path.
7. A processing apparatus of bond data, comprising:
the parameter acquisition module is used for acquiring a yield curve and interest rate related parameters of the deliverable coupon combination and attribute information of each deliverable coupon;
a interest rate ternary tree model building module, configured to build an interest rate ternary tree model based on a yield curve and interest rate related parameters of the combination of the negotiable instruments, where the interest rate ternary tree model includes a plurality of interest rate paths of each of the negotiable instruments from a start date to an expiration date, and each of the interest rate paths includes a plurality of nodes;
and the cheapest deliverable coupon determining module is used for determining the cheapest deliverable coupon and the delivery probability thereof based on the attribute information of each deliverable coupon and the interest rate ternary tree model.
8. The apparatus for processing bond data as recited in claim 7, wherein the interest rate ternary tree model building module is specifically configured to:
fitting based on the return rate curve of the deliverable coupon combination and the regression speed, time interval and interest rate standard deviation of the interest rate, and constructing an interest rate ternary tree model corresponding to the deliverable coupon combination.
9. The processing apparatus of bond data as recited in claim 7, wherein the cheapest negotiable instrument determining module is specifically configured to:
and determining the cheapest negotiable instrument and the negotiable probability thereof by carrying out reverse derivation from an expiration date to a calculation date in the interest rate ternary tree model based on the attribute information of each negotiable instrument, wherein the attribute information of the negotiable instrument comprises the following steps: start date, expiration date, frequency of interest paid, and nominal interest rate.
10. The processing apparatus of bond data as recited in claim 9, wherein the cheapest negotiable instrument determining module is specifically configured to:
and reversely deducing from the due date to the calculation date in each interest rate path based on the attribute information of each negotiable instrument and the occurrence probability of each interest rate path to obtain the cheapest negotiable instrument and the negotiable probability of each node of the delivery date, wherein the delivery date is between the due date and the calculation date.
11. The apparatus for processing bond data as recited in claim 8, wherein the interest rate ternary tree model building module is specifically configured to:
fitting based on the return rate curve of the combination of the negotiable instruments and the regression speed, the time interval and the standard deviation of the interest rate to obtain a plurality of interest rate paths of each bond from the starting date to the due date so as to generate the ternary tree model of the interest rate.
12. The processing apparatus of bond data as recited in claim 10, wherein the cheapest negotiable instrument determining module is specifically configured to: according to the occurrence probability of each section of interest rate sub-path of the interest rate ternary tree model and the attribute information of each negotiable instrument, sequentially converting the cash flow of each node in each section of interest rate sub-path to the starting day to obtain the discount rate of the negotiable instrument in the section of interest rate sub-path, wherein each interest rate path comprises a plurality of sections of interest rate sub-paths;
and determining the cheapest negotiable instrument and the delivery probability of each node of the delivery day according to the discount rate of the negotiable instrument in each interest rate path.
13. An electronic device comprising a memory, a processor and a computer program stored on the memory and executable on the processor, wherein the processor implements the steps of the method for processing bond data according to any one of claims 1 to 6 when executing the program.
14. A non-transitory computer-readable storage medium having stored thereon a computer program, wherein the computer program, when executed by a processor, implements the steps of the method for processing bond data according to any one of claims 1 to 6.
15. A chip, characterized in that the chip comprises a processor and a communication interface, the communication interface is coupled with the processor, and the processor is used for running a program or instructions to implement the steps of the method for processing bond data according to any one of claims 1 to 6.
Priority Applications (1)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| CN202011585054.0A CN114693442A (en) | 2020-12-28 | 2020-12-28 | Bond data processing method and device, electronic equipment and storage medium |
Applications Claiming Priority (1)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| CN202011585054.0A CN114693442A (en) | 2020-12-28 | 2020-12-28 | Bond data processing method and device, electronic equipment and storage medium |
Publications (1)
| Publication Number | Publication Date |
|---|---|
| CN114693442A true CN114693442A (en) | 2022-07-01 |
Family
ID=82129605
Family Applications (1)
| Application Number | Title | Priority Date | Filing Date |
|---|---|---|---|
| CN202011585054.0A Pending CN114693442A (en) | 2020-12-28 | 2020-12-28 | Bond data processing method and device, electronic equipment and storage medium |
Country Status (1)
| Country | Link |
|---|---|
| CN (1) | CN114693442A (en) |
-
2020
- 2020-12-28 CN CN202011585054.0A patent/CN114693442A/en active Pending
Similar Documents
| Publication | Publication Date | Title |
|---|---|---|
| US20190156418A1 (en) | System and method for processing composite trading orders at a client | |
| US8494952B2 (en) | System and method for processing composite trading orders | |
| US7908195B2 (en) | System for calculating model option settlement prices | |
| US20130006843A1 (en) | Quantative dividends method and system | |
| US20050027638A1 (en) | Highly automated system for managing hedge funds | |
| JP2010503920A (en) | Counterparty risk limit method in multiparty transactions | |
| AU2008298689A1 (en) | Method of administering an investment fund that seeks to provide regular monthly payments without consuming principal | |
| US20150161731A1 (en) | Valuation of Derivative Products | |
| JP2019012518A (en) | Advice generation device, advice presentation system, advice generation program, and advice data generation system | |
| US20150106256A1 (en) | Computer Implemented Systems and Methods for Evaluation and Adjustment of Settlement Value Curves | |
| US8117108B2 (en) | Proxies for actively managed funds | |
| US11966977B2 (en) | Guarantee fund calculation with allocation for self-referencing risk | |
| US8463675B1 (en) | System and method for operating an exchange traded fund that makes distributions from sources including capital in the fund to provide a stable or minimum distribution | |
| Kollár et al. | Comparative analysis of theoretical aspects in credit risk models | |
| CN114693442A (en) | Bond data processing method and device, electronic equipment and storage medium | |
| CN114693455A (en) | Bond recommendation method and device | |
| Burger | An analysis of the risk free rate in the South African capital market | |
| US10460389B1 (en) | System and method for operating a family of mutual funds or ETFs | |
| Irell Fridlund et al. | Dispersion Trading: A Way to Hedge Vega Risk in Index Options | |
| Baker et al. | Private Equity: Investing for Longer-Term Opportunities | |
| Brown | Withdrawal Success Estimation | |
| Corelli | Financial and Real Options | |
| US20150187008A1 (en) | Customizing baskets for exchange-traded funds | |
| US8615459B2 (en) | Flexible allocation process | |
| Nedelcu et al. | The Operational-Strategic Management Decision, Relative To The Fundamental Value And The Stock Exchange Value Of The Economic Organization Of Production And Services |
Legal Events
| Date | Code | Title | Description |
|---|---|---|---|
| PB01 | Publication | ||
| PB01 | Publication | ||
| SE01 | Entry into force of request for substantive examination | ||
| SE01 | Entry into force of request for substantive examination |