KR101139952B1 - method for generating real time bond index - Google Patents

Abstract

The present invention needs to calculate bond prices and various indices in real time from the market interest rate inferred after periodically inferring the interest rate flow of the entire market from the interest rate movement of the KTB benchmark, which has a relatively high number of transactions and the same stock as the KTB futures. The present invention relates to a real-time bond index generation method provided to a customer.

The real-time bond index generation method of the present invention is performed by a bond index generation server that periodically generates a variety of bond indexes, bonds traded in real time for a number of basket items predetermined to include the reference or non-references, (A) receiving a broker price information including a transaction type and a quotation or conclusion information and building a database; (B) extracting only execution data and preferred price data from the broker price information and cleaning the data; (C) calculating a spread for the reference and the non-reference based on the cleaned data; (D) generating a T / S for each bond item by estimating the YTM for the reference and the non-reference based on the cleansed data and the calculated spread; (E) calculating an valuation price for each bond item based on each generated T / S, and calculating (f) various bond indices based on the calculated valuation price.

Description

Method for generating real time bond index

The present invention relates to a method for generating a real-time bond index, and in particular, after periodically inferring the interest rate flows of the entire market from interest rate movements of relatively high-volume KTB benchmarks, the bond prices and various indices are calculated in real time from the inferred market rates. It relates to a real-time bond index generation method to provide to the customer in need.

Unlike publicly traded stocks, which can easily find real-time market prices in the market, due to the number of traders, the market is weak in bonds, and even though there are more bonds than stocks, It is not easy to find the real-time market price because only a few trades are made.

Therefore, there is a need to announce various bond indexes to help managers who manage or sell funds and / or funds that want to sell or sell bonds. Real-time bond index is released periodically.

However, the KTB prime index is generated in units of 5 minutes, which has a problem in that its utility is inferior.

Furthermore, since only index data is used to calculate the index, the number of data used for the calculation is insufficient, and thus the price discovery ability and the interest rate are plunging, so that the contract is not made continuously for several minutes and there is only a quotation. The index has a problem that the risk of transaction increases because the index does not reflect the market situation at all.

In addition, a total of 6 stocks were selected as 2 baskets, 2 baskets, 2 baskets, and 2 baskets. Since these baskets are different from the basket of national treasury futures, they are highly valued and undervalued. There was a problem that can not be compared.

In addition, the circulation of five-year bonds is rapidly increasing and the market should be reflected by both three- and five-year bonds.However, only one stock with the highest volume of trading, called the total reference, determines the movement of the entire market. Bar, there is a problem that the movement of the market is not reflected in the section in which there is no trade of the entire reference.

Furthermore, the estimated yield of YTM (Yield To Maturity) is the bond yield that can be obtained when it is held to maturity. The bond is traded on the basis of YTM. Even if it turned out to be a problem, the reliability of the index was low because the value that was not properly modified afterwards was continuously reflected.

SUMMARY OF THE INVENTION The present invention has been made to solve the above-mentioned problems, and the bonds from the market interest rate inferred after periodically inferring the interest rate flows of the entire market from the interest rate movement of the treasury bond benchmarks, which are relatively traded and consist of the same stock as the treasury futures. An object of the present invention is to provide a real-time bond index generation method that calculates prices and various indices in real time and provides them to customers in need.

Another object of the present invention is to provide a real-time bond index generation method that can improve the reliability of the index even if the estimated YTM is already corrected by the future data if it is wrong.

The real-time bond index generation method of the present invention for achieving the above object includes a bond item, a transaction type and a quote or execution information traded in real time for a plurality of basket items that are predetermined to include a reference or non-reference It is executed by the bond index generation server that generates various bond indexes periodically by referring to the database where broker price information is stored, and the cleansing and T / S (Term Structure) generation section of the bond index generation server is concluded among the broker price quote information. (B) extracting only the data and the preferred call value data to clean the data; (C) calculating a spread for the reference material and the non-reference material based on the cleansing and T / S (Term Structure) generation unit of the bond index generation server; The cleansing and T / S (Term Structure) generation unit of the bond index generation server estimates the YTM for the reference and the non-reference based on the cleansed data and the calculated spread to determine the T / S for each bond item. (D) generating a; (E) calculating the valuation price for each bond item based on the respective T / S generated by the valuation price calculation unit of the bond index generation server; and
An index calculation unit of the bond index generation server includes the step (f) of calculating various bond indices based on the calculated valuation price.

In the above-described configuration, the basket item is preferably configured to be the same as the basket of the national treasury gifts, the basket item is divided into two sets of 1 set and 2 sets of three-year reference / non-standard and It can be composed of 3 items among 5 year standard / non-standard.

delete

In addition, one of the standards becomes the entire reference that becomes the most standard among all the items, and in step (c), the entire reference becomes the standard in calculating the spread of the two standards.

On the other hand, the reference set of the first set and the reference set of the second set affect the movement of each other when estimating the YTM in step (d), and within any one of the two sets The reference may have an effect when estimating the YTM of the non-reference, but the non-reference has no effect when estimating the YTM of the reference, and the non-reference has a different set of the two sets. It is not directly affected by the movement of the reference or the non-reference.

The YTM of the reference or non-reference without the fastening data or the priority call data is determined based on the YTM of the reference with the fastening data or the priority call data.

Furthermore, even if the transaction is calculated in the immediately preceding working time interval and is reflected in the index generation of the immediately preceding working time interval, the generated T / S is not generated again, but the spread is preferably applied retroactively.

The bond index is generated every minute.

According to the real-time bond index generation method of the present invention, the usefulness of the index can be maximized by shortening the generation cycle of various indexes by 1 minute.

In addition, the market situation can be more accurately reflected by calculating the index using not only the actual closing data but also the preferred bidding data having the same validity as the actual trading data. High or low evaluations can be made possible.

In addition, the reliability of the index can be improved by calculating the index by reflecting the movements and spreads of three- and five-year bonds with almost the same trading volume.

Hereinafter, with reference to the accompanying drawings will be described in detail a preferred embodiment of the real-time bond index generation method of the present invention.

1 is a network diagram of a real-time bond index generation system of the present invention. First, as shown in Figure 1, the real-time bond index generation system of the present invention is a real-time bond index generation server (hereinafter referred to simply as "bond index generation server") 100 is connected to a plurality of manager terminals 30 The manager terminal of the bond index generation server 100 is connected to a plurality of broker terminals 10 through a wired / wireless communication network 20.

In the above-described configuration, the broker refers to a person who receives a sell or buy order from a manager who manages various annual / funds and the like and connects the sell or buy orders that meet the conditions. The wireless communication network 20 may be formed of a wired or wireless terminal, which is usually connected to the Internet, and may share a bond type, a quotation, a transaction type, or a contract information (hereinafter collectively referred to as 'broker quotation information'). You can install a messenger program. The manager terminal 30 may also be a wired or wireless terminal capable of accessing the Internet.

As described later, a messenger program is also installed in the terminal of the data input manager of the bond index generation server 100, and the bond index generation server 100 periodically, based on the broker price information transmitted through the messenger program. For example, the spread and YTM of the bond are calculated or generated every minute, and the valuation price and various indices of the bond are calculated based on the bond and then provided to the broker terminal 10 or the manager terminal 30.

2 is an internal functional block diagram of the bond index generation server of the present invention. As shown in Figure 2, the internal configuration of the bond index generation server 100 of the present invention is largely the broker call price from the network interface 110, data input manager to support wired / wireless communication between the manager terminal 30 Input processing unit 130 for receiving and processing the information, cleansing the significant data from the brokered broker price information input (Cleansing) and then using the extracted data to estimate the YTM for the lack of liquidity stocks generated by this cleansing And T / S (Term Structure: interest rate term structure, meaning the level of YTM of the due date of the basket item) based on the estimated YTM generated by the generation unit 140, the cleansing and the T / S generation unit 140 An valuation price calculation unit 150 for calculating the valuation price of the bond, an index calculation unit 160 for calculating various indices based on the valuation price of the bond calculated by the valuation price calculation unit 150, and And an output processor 170 for providing the calculated index to the manager terminal 10 or the broker terminal 30 in real time, and a database 180 for systematically storing various data required in the real-time index generation process. .

The database 180 again cleans YTM information DB for extracting and storing only meaningful data (to be described later) from broker price information DB 181 in which broker price information is stored, and broker price information stored in broker price information DB 181. 182), a T / S information DB 183 storing periodically generated T / S information, an valuation price information DB 184 storing the calculated valuation price information, and an index information DB storing the calculated index information ( 185), which is shown in Tables 1A to 1E below.

Broker Price Information DB Column name Column ID form key Default Remarks Date BASE_DATE CHAR (8) Y Stock code ITEM_CODE VARCHAR2 (30) Y Serial Number SEQ NUMBER (12) Y Sport symbol ITEM_SYMBOL VARCHAR2 (20) ex) 9-1, 8-4 Sale TRADE_DIV CHAR (1) 1: buy, 2: sell, 3: fastening YTM TRADE_YTM NUMBER (15,10) Sale time TRADE_TIME CHAR (6) hhmmss Spread transaction SPREAD_TRADE_YN CHAR (1) 0 1: Yes, 0: No Spread Transaction Classification SPREAD_TRADE_DIV CHAR (1) 1: replacement completed, 2: replacement desired Replacement spread EXCH_SPREAD NUMBER (15,10) Reference code REF_ITEM_CODE VARCHAR2 (30) Relative stock code for spread trading Reference serial number REF_SEQ NUMBER (12) Relative serial number of spread transaction Remarks NOTE VARCHAR2 (1000) Input ID INPUT_MAN_ID VARCHAR2 (10) Date and time of input INPUT_DTIME DATE Data generation classification DATA_CRT_DIV CHAR (1) R: real time, B: batch Message serial number MESSAGE_SEQ NUMBER (12) Serial number of broker message information

Cleansing YTM Information DB A color name Column ID form key Default Remarks Date BASE_DATE CHAR (8) Y Basket ID BASKET_ID VARCHAR2 (3) Y Stock code ITEM_CODE VARCHAR2 (30) Y Reference time BASE_TIME CHAR (6) Y hhmmss Reference serial number REF_SEQ NUMBER (12) Serial number of broker price information YTM TRADE_YTM NUMBER (15,10) Reference YTM Versus Spread REF_YTM_VS_SPREAD NUMBER (15,10) Input ID INPUT_MAN_ID VARCHAR2 (10) Date and time of input INPUT_DTIME DATE

T / S Information DB Column name Column ID form key Default Remarks Date BASE_DATE CHAR (8) Y Basket ID BASKET_ID VARCHAR2 (3) Y Stock code ITEM_CODE VARCHAR2 (30) Y Reference time BASE_TIME CHAR (6) Y hhmmss YTM YTM NUMBER (15,10) Spread SPREAD NUMBER (15,10) Input ID INPUT_MAN_ID VARCHAR2 (10) Date and time of input INPUT_DTIME DATE

Evaluation Price Information DB Column name Column ID form key Default Remarks Date BASE_DATE CHAR (8) Y Basket ID BASKET_ID VARCHAR2 (3) Y Stock code ITEM_CODE VARCHAR2 (30) Y Reference time BASE_TIME CHAR (6) Y hhmmss, Close: 999999 Price VAL_PRICE NUMBER (25,10) Net price CLEAN_PRICE NUMBER (25,10) YTM YTM NUMBER (15,10) Duration DUR NUMBER (20,10) Leading price FORWARD_PRICE NUMBER (25,10) Leading YTM FORWARD_YTM NUMBER (15,10) Input ID INPUT_MAN_ID VARCHAR2 (10) Date and time of input INPUT_DTIME DATE

Index Information DB Column name Column ID form key Default Remarks Date BASE_DATE CHAR (8) Y Index ID INDEX_ID VARCHAR2 (30) Y Reference time BASE_TIME CHAR (6) Y hhmmss Total Revenue Index TOT_RTN_INDEX NUMBER Net price index CLEAN_PRICE_INDEX NUMBER Market price index GROSS_PRICE_INDEX NUMBER Futures Theory Price FUTURES_THEO_PRICE NUMBER (25,10) Average duration AVG_DUR NUMBER (20,10) Average YTM AVG_YTM NUMBER (15,10) Average plot YTM AVG_FORWARD_YTM NUMBER (15,10) Total Return Index Return TOT_RTN_INDEX_YLD NUMBER Net Price Index Yield CLEAN_PRICE_INDEX_YLD NUMBER Elapsed Interest Rate ACCR_INT_YLD NUMBER (15,10) Input ID INPUT_MAN_ID VARCHAR2 (10) Date and time of input INPUT_DTIME DATE

As can be seen in Table 1a above, the broker price information DB 181 stores the item code of the bond, the item symbol, the type of sale (trade type), the sale YTM, and the sale time information. When the broker price information, which is delivered without being standardized through the messenger program of the client terminal, is input in a standardized format, the broker price information DB 181 is automatically completed by the input processor 130.

3A to 3E are exemplary views of a broker price information input interface screen in the real-time bond index generation system of the present invention. The person in charge of data input of the bond index generation server 100 may sequentially input the item name-> transaction rate (real number)-> transaction type while loading the input interface screen illustrated in FIG. 3A.

In more detail, as shown in FIG. 3B, the data input manager inputs a broker number, such as 9-1, 8-5, 7-7, etc., received through the messenger program into the item name input box. If the item name is a valid item name, item_code of the item is automatically set in the item code field, otherwise an error message appears. In addition, when such an item name is input, the latest trade YTM (hereinafter, the same as the previous T / S if the transaction YTM does not exist after the last index calculation time) of the corresponding item is automatically set.

As shown in FIG. 3C, after entering the item name as described above, the broker number received through the messenger program is input to the real part of the interest rate (2 to 3 digits) in the transaction rate input field. The integer value of the latest transaction YTM is automatically set.

On the other hand, if there is a difference between the price entered immediately before, for example, 3bp or more, as shown in FIG. 3d, a warning message box is automatically displayed to confirm whether the correct input is made again. This makes it possible to primarily prevent data entry errors.

As described above, the transaction type of the broker's quote received through the messenger program is entered in the transaction type input box as shown in FIG. 3E. For example, "+" is the number of purchases and "-". May be a sell, and a "0" may be a conclusion, etc. (in the DB of Table 1a, "1" is bought, "2" is sold, "3" is concluded), and the integer portion of the latest transaction YTM The integer value will be set automatically.

Hereinafter, the real-time bond index generation method of the present invention will be described in detail.

First, in order to configure the present invention, the basket items required for the index calculation should be set. In the present invention, the baskets are configured with the same items as the national gift baskets so that the high and low evaluations can be compared with the national futures gifts. Furthermore, the basket configured as described above is the same as the fiscal futures remain the same for three months and then the instant is expired and the next month is changed to the next month.

Treasury bonds are government-issued bonds issued at maturities of one, three, five, or ten years, and are typically issued every six months. Among these bonds, three-year and five-year maturities are mainstream, which is one of the most active bonds and sensitively reflects the real interest rate. It is becoming.

Generally, a reference or an indicator is a most recently issued bond, and a non-reference or non-indicator is a bond that has timed out after being valorized by a bond that is not a reference or an indicator.

The basket of Treasury futures can be configured by selecting three items from three-year reference and non-reference material and five-year reference and non-reference material, as shown in Table 2 below.

A type B type C type Number three standard 3-year standard 3-year standard 3-year standard Nonstandard 3-year non-reference 3-year non-reference 3-year non-reference Number two standard 5-year standard Nonstandard 5-year nonstandard 3-year non-reference

As can be seen in Table 2 above, there is no 5-year non-reference in the basket for type A, so there is only a 5-year reference in the second set. In the case of Type B, although there are no five-year benchmarks in the basket, a spread, ie, a five-year benchmark, is also used to calculate the price difference between bonds with different maturity dates to generate the cleansing and T / S described below. In the case of type C, two items of non-reference material are included in three years without five years. In this case, there are two sets of non-reference items.

One of the biggest features of the present invention is not only reflecting one reference when reflecting market movements, but also two reference materials, namely set 1 and set 2, as illustrated in Table 2. In this case, the first set of standards and the second set of standards reflect the movement of the market and can affect each other's movements.

In this case, one of the standards becomes the overall reference that is the most standard among all the items, and this overall reference becomes the standard for calculating the spread of the two standards. For example, if the total reference is a three-year reference, the spread on the three-year reference is zero since it is the difference in interest rate relative to itself, and the spread on the five-year reference is minus the interest rate on the three-year reference. Value.

Furthermore, within one set the reference may affect the movement of the non-reference, but the non-reference may not affect the movement of the reference, and the non-reference may affect the movement of the other reference or non-reference. It is not directly affected. However, it is possible that the reference affects the other set of reference materials and thus affects the other set of non-reference materials.

4A and 4B illustrate an example of a reference as an overall flowchart for explaining a method of generating a real-time bond index according to the present invention. 5 is a flowchart illustrating a T / S generation process of a non-reference material. First, as illustrated in FIGS. 4A and 4B, first, in step S10, broker price information is input from a data input person through an input interface screen as illustrated in FIGS. 3A to 3E. Construct a quotation information DB. In this process, data input error may be reduced as described above.

In the following steps, cleansing and T / S generation are performed, which can be performed under several principles as follows. That is, (1) among the quoted data of all references and non-references, the preferred quote (described below) is considered to be the same as the conclusion data, and (2) both the three-year and five-year references can describe the market. It is assumed that the entire market has moved if one of the two moves by being a variable, and (3) that the reference or non-reference is moved according to the movement of the reference that was traded. Spreads are applied retrospectively even if the transaction is already reflected in the creation, but does not regenerate the already created T / S, which means that it reflects all the existing information but does not retroactively determine the information determined at the existing point in time.

Meanwhile, although the real-time bond index in the present invention can be calculated every 1 minute, the working intervals used for actual cleansing and T / S generation include a total of 2 minutes, including 1 minute used for the previous index calculation and 1 minute for new work. Minutes. This is to correct the spread information even if the data was created just before, since the spread information may be changed by the information coming in after the fact.

In detail, in step S12, data for a work time interval, for example, one minute, is inserted from the broker price information DB 181 for a cleansing operation, and inserted into the cleansing YTM information DB 182, and again in step S14. In the following, the quotations are largely classified into four categories, that is, the actual quoted data, the quoted price to be applied preferentially (hereinafter referred to as 'preferred quoted price'), and the quoted price that should not be applied preferentially (hereinafter referred to as 'non-preferred quoted price'). ) And the error data, first, the quotation may be automatically determined by the program.

In this case, the first bid price means an order to sell cheaply or an order to buy more expensively than the price concluded immediately. Since the preferred bid price is a bid price that is normally concluded, it is processed to have the same status as the closing data. And this preferred bid price can be recognized if the bid is higher than or equal to the YTM of the previous YTM, and if the bid is lower than or equal to the YTM. If not, the YTM on the previous T / S will be considered a fastening YTM.

4, in step S16, the spreads for the reference and non-reference materials are calculated. In the case of the reference material, the spread is calculated with respect to the entire reference material. Will be calculated. These spreads can be basically calculated by applying the principles of interpolation and outerpolation.

6A to 6C are graphs for explaining the principle of spread calculation in various cases in the real-time bond index generation method of the present invention. First, in the case of FIG. 6A, the entire reference trade is present immediately before and after the reference trade in the time interval for which the spread is to be calculated, for example, from 9:05:00 to 9:05:59. In this case, Spreads are calculated using common interpolation techniques. In other words, in the case of FIG. 6A, the spread of reference C is the point where the diagonal line connecting the entire reference transaction A and the YTM of the entire reference transaction B and the vertical line passing through the reference transaction C meet at the YTM of the reference transaction C. It can be determined by subtracting YTM.

In the case of FIG. 6B, the entire reference trade immediately before the reference trades in the time interval for which the spread is to be calculated, but immediately after the trade of the entire reference does not exist. To calculate the spread by performing outpolation. That is, in the case of FIG. 6B, the spread of reference C is subtracted from the YTM of the point where the horizontal line passing through the YTM of the entire reference transaction A and the vertical line passing through the reference transaction C meet in the YTM of the reference transaction C. Can be determined.

Next, in the case of FIG. 6C, the entire reference trade does not exist immediately before the reference trade in the time interval for which the spread is to be calculated. In this case, the T / S YTM of the entire reference trades for the entire reference trade. Assume YTM and interpolate to calculate spread. That is, in the case of FIG. 6C, the spread of reference C is obtained by comparing the YTM of the reference transaction C with the oblique line connecting the T / S YTM of the entire reference in the immediately preceding time interval and the YTM of the entire reference transaction A in the YTM of the reference transaction C. It can be determined by subtracting the YTM of the point where the passing vertical line meets.

Finally, there may be a case where there is no total reference trading immediately before and immediately after the reference trading in the time interval for which the spread is to be calculated. The reference trading YTM subtracts the total T / S YTM of the previous reference. Can be determined.

7 is a graph for explaining the principle of correcting the spread already calculated in the real-time bond index generation method of the present invention. As shown in FIG. 7, since only the reference transaction A information is used to calculate the spread of the non-reference transaction C in the 9:05 time interval, the spread may be calculated using the outflow as described in FIG. 6B. However, if the reference transaction B enters in the subsequent 9:06 time interval, it is desirable to correct the spread of the preceding non-reference transaction C by this. However, correcting the spread in this way is only to improve the reliability of the T / S to be generated in the 9:06 time interval, and to change the T / S already generated, that is, to the T / S generated in the 9:05 time interval ( This is because the T / S has already been created and the index can be created, and if the index is retroactively recreated in the published state, it can add to the confusion. The spread calculated as described above updates the spread field compared to the reference YTM in the cleansing YTM information DB 182.

4 again, in steps S20 to S36, a T / S of the entire reference material and the reference data is generated, and the T / S changes to reflect the movement of the market even if there is no trading of the corresponding item. For example, even if there is no trading of the reference, if the total reference rises 5bp, the reference may raise 5bp assuming that the overall market has risen 5bp. As described above, the T / S is generated every minute, and the generation result is inserted into the T / S information DB 183 in real time.

On the other hand, such a T / S can be generated by using the YTM concluded in the case of the entire reference, the spread is added to the YTM of the item to which they refer after calculating the spread in the case of not all the reference. have. Therefore, for the total reference, the fastening YTM, in other cases the spread is important, and it is important whether the trading of the item actually existed within the working time interval. If the transaction actually exists, the YTM or spread derived from the closing YTM is used, and if the transaction does not exist, the spread inferred from the last time interval T / S is used.

One of the great features of this real-time bond index generation method is that it can reflect the movement of the reference rather than the entire reference even if there is no transaction of the entire reference. Can be.

4, first, in step S20, it is determined whether all reference fastening data exist in the corresponding time interval. As a result of the determination in step S20, if all the reference fastening data exists, the process proceeds to step S32 again to determine whether the reference fastening data exists within the time interval. As a result of the determination in step S32, if the reference fastening data exists in the corresponding time interval, the flow proceeds to step S34 to generate the YTM of the final fastening data as the corresponding T / S for all the reference materials, and the entire reference for the reference materials. T / S YTM of water is added to the calculation spread of the reference to generate the corresponding T / S. In the case of a spread, as described above, the entire reference becomes zero and the reference becomes an estimated spread.

On the other hand, if there is no reference fastening data in the corresponding time interval as a result of the determination in step S32, the process proceeds to step S36 to generate the YTM of the final fastening data as the corresponding T / S for all the reference materials, For the T / S YTM of the entire reference, the previous T / S spread of the reference is added to generate the corresponding T / S. In the case of the spread, as described above, the entire reference becomes 0 and the reference becomes the previous T / S spread.

On the other hand, as a result of the determination in step S20, if there is no overall reference fastening data in the corresponding time interval, the process proceeds to step S22 again to determine whether there is a reference fastening data in the corresponding time interval. As a result of the determination in step S22, if there is no reference fastening data in the corresponding time interval, the flow advances to step S26 to generate the previous T / S as the corresponding T / S for all the reference materials and the reference materials. In the case of the spread, as described above, the entire reference becomes 0 and the reference becomes the previous T / S spread.

As a result of the determination in step S22, if there is the reference fastening data in the corresponding time interval, the process proceeds to step S24 again to determine whether the absolute value obtained by subtracting the fastening spread from the previous T / S spread of the reference exceeds 2bp. As a result of the determination in step S24, if the absolute value of the reference exceeds 2bp, the flow proceeds to step S30 for the entire reference, which is obtained by subtracting the previous T / S spread of the reference from the YTM of the final tightening data of the reference. / S, and for the reference, the YTM of the final tightening data is generated with the corresponding T / S. In the case of a spread, as described above, the entire reference becomes zero and the reference becomes an estimated spread.

On the other hand, if it is determined in step S22 that the absolute value of the reference is less than or equal to 2bp, the process proceeds to step S28. For the entire reference, the calculated spread of the reference is subtracted from the YTM of the final tightening data of the reference to the corresponding T / S. For the reference, the YTM of the final tightening data is generated with the corresponding T / S. In the case of a spread, as described above, the entire reference becomes zero and the reference becomes an estimated spread.

Meanwhile, referring to the T / S generation process for the non-reference material, in step S20 ′ of FIG. 5, it is determined whether the reference fastening data exists in the corresponding time interval. As a result of the determination in step S20 ', if the reference fastening data exists in the corresponding time interval, the process proceeds to step S22' again to determine whether the non-standard fastening data exists in the corresponding time interval. As a result of the determination in step S22 ', if the non-referenced fastening data exists in the corresponding time interval, the process proceeds to step S28' and the reference T / S YTM is obtained by adding the calculation spread of the non-reference to the reference T / S. Generate as S. In the case of spreads, it is the calculated spread of the non-reference.

On the other hand, when the determination result in step S22 'indicates that there is no non-reference material fastening data in the corresponding time interval, the reference T / S YTM is added to the T / S spread of the non-reference material before the T / S of the non-reference material. Generate as S. In the case of spreads, it is the immediate T / S spread of the non-reference.

On the other hand, if it is determined in step S20 'that the reference fastening data does not exist in the corresponding time interval, the process proceeds to step S23' again to determine whether the non-standard fastening data exists in the corresponding time interval. As a result of the determination in step S23 ', if there is no non-reference material fastening data in the corresponding time interval, the flow proceeds to step S24' to generate the YTM of the immediately preceding T / S as the corresponding T / S. In the case of spreads, it is the last T / S spread.

On the other hand, if the non-standard fastening data exists in the corresponding time interval as a result of the determination in step S23 ', the process proceeds to step S26' to generate the YTM of the final fastening data as the corresponding T / S, and in the case of spread, the calculated spread Becomes

When the generation of the T / S for the reference and non-references is completed as described above, the evaluation price for each item is calculated in step S40, and again, in step S42, various indexes, eg, based on the evaluation price thus calculated For example, the total profit index, the clean index, or the market price index is calculated and provided to the broker terminal 10 or the manager terminal 30 in real time. Next, in step S44, it is determined whether the transaction time has ended, for example, 4:00 pm. If not, the process returns to step S10 and repeats the real-time index generation in units of 1 minute.

The real-time bond index generation method of the present invention is not limited to the above-described embodiment, and can be modified in various ways within the scope of the technical idea of the present invention.

1 is a network diagram of a real-time bond index generation system of the present invention,

2 is an internal functional block diagram of the bond index generation server of the present invention,

3a to 3e is a diagram illustrating an example broker price information input interface screen in the real-time bond index generation system of the present invention,

4A and 4B are flowcharts illustrating a method of generating a real-time bond index for a reference;

5 is a flowchart illustrating the T / S generation principle of non-reference material in the real-time bond index generation method of the present invention;

6a to 6c are graphs illustrating the spread calculation principle in the real-time bond index generation method of the present invention;

7 is a graph for explaining the principle of correcting the spread already calculated in the real-time bond index generation method of the present invention.

*** Explanation of symbols for the main parts of the drawing ***

10: broker terminal, 20: wired / wireless communication network,

30: manager terminal, 100: bond index generation server,

110: network interface, 130: input processing unit,

140: cleansing and T / S generation unit, 150: valuation price calculation unit,

160: exponent calculation unit, 170: output processing unit,

180: database, 181: broker price information DB,

182: cleansing YTM information DB, 183: T / S information DB,

184: valuation price information DB, 185: index information DB

Claims (11)

Periodically, various bond indexes may be referred to by referring to a database that stores broker stock information including bond stocks, transaction types, and quotes or closing information traded in real time for a number of basket stocks pre-determined to include reference or non-references. It is performed by the bond index generation server that generates (B) cleansing data by cleansing the bond index generation server and extracting only execution data and preferred price data from the broker price information; (C) calculating a spread for the reference material and the non-reference material based on the cleansing and T / S (Term Structure) generation unit of the bond index generation server; The cleansing and T / S (Term Structure) generation unit of the bond index generation server estimates the YTM for the reference and the non-reference based on the cleansed data and the calculated spread to determine the T / S for each bond item. (D) generating a; (E) calculating the valuation price for each bond item based on the respective T / S generated by the valuation price calculation unit of the bond index generation server; and An index calculation unit of the bond index generation server comprises the step of calculating the various bond indices based on the calculated valuation price (f) real-time bond index generation method. The method of claim 1, The basket item is a real-time bond index generation method, characterized in that configured in the same way as the basket of the national treasury futures. The method of claim 1, The basket stock is divided into two sets of 1 set and 2 set, and generates a real-time bond index comprising three stocks among three-year reference / non-reference and five-year reference / non-reference. Way. delete The method of claim 3, wherein One of the reference is a reference of the most reference among all the items, and in step (c) the reference is a real-time bond index generation method characterized in that the reference in calculating the spread of the two standards. The method of claim 5, The reference set of the first set and the reference set of the second set of real-time bond index generation method, characterized in that to affect the movement of each other when estimating the YTM in the step (d). The method of claim 6,  The reference within any one of the two sets may affect when estimating the YTM of the non-reference, but the non-reference does not affect when estimating the YTM of the reference, And the non-reference material is not directly affected by the movement of the reference material or the non-reference material of the other set of the two sets. The method of claim 7, wherein Wherein the YTM of the reference or non-reference without the fastening data or the priority call data is determined based on the spread of the YTM and the YTM of the reference with the fastening data or the priority call data How to create a real-time bond index. The method of claim 8,  The transaction calculated in the immediately preceding working time period and reflected in the index generation of the immediately preceding working time period does not regenerate the generated T / S, but the spread is applied retrospectively. The method according to any one of claims 1 to 3 and 5 to 9, The bond index is generated every minute, characterized in that the real-time bond index generation method. A computer-readable recording medium having a program for executing the method of any one of claims 1 to 9.

Images