TWM620300U - Feedback simulation system - Google Patents

Abstract

A retrospective simulation system, including a database storing the latest data and multiple transaction data of various investment portfolios, and a data processing device that periodically determines a new transaction data generated by various investment portfolios and the latest one stored in the database When the content of a transaction data is different, the new transaction data is stored in the database, and a retrospective simulation device, which can obtain the latest data of a certain investment portfolio from the database, and backtrack from the database based on the latest data Search for transaction data generated from the current day to a specific date in the past, and calculate a simulated investment portfolio on the specific date and set a simulated re-evaluation interest rate curve based on the latest data and the found transaction data, and based on the specific date The market quotes of the investment projects in the simulated investment portfolio on the day, the simulated investment portfolio and the simulated re-evaluation interest rate curve, and the profit and loss of the simulated investment portfolio on the specific date and the sensitivity to market prices are calculated.

Description

Retrospective simulation system

This new model relates to an investment scenario simulation tool, in particular to a retrospective simulation system that analyzes past investment scenarios after the fact.

Banks belong to a highly supervised industry, among which the business in the trading room is highly complex and risky, and particularly requires risk control. The most commonly used tool in risk control is Scenario Analysis, also known as Simulation. Traders or risk control (risk control) personnel use simulation tools to assume various investment market conditions to calculate the profit and loss of the investment target held or ready to buy, and the sensitivity to market prices under the assumed situation. In order to review and adjust the investment targets held or planned to be purchased. However, sometimes changes in the investment market are not as expected. Therefore, risk control and auditors must use a post-analysis tool, namely backdated simulation, to understand whether the trader’s investment operation at that time is appropriate and the objective factors of the decision. Reference for future decisions.

The existing retrospective simulator will only calculate the current profit and loss of the existing investment target or portfolio on the specific date based on the existing investment target or portfolio and the market price of the existing investment target or portfolio on a specific date in the past. Sensitivity to market prices. However, the calculation results produced by this algorithm are not accurate or true enough, because it is not based on the investment target or portfolio at that specific date, and it does not use the revaluation interest rate curve set at that specific date. curve).

And if you want to obtain (restore) the transaction information of the portfolio at that specific date (including the current portfolio, the market price of various commodities in the portfolio, and the set evaluation interest rate curvature, etc.), to accurately calculate the profit and loss at the time and the market When the price is sensitive, regardless of whether there is a transaction, the system needs to store the complete transaction information of various investment portfolios every day. The current practice of each bank is to make a full database backup (including the use of Account numbers, customer data, accounting data... These data are not needed when calculating profit and loss and sensitivity to market prices), and each stored transaction information uses up to 200 fields and takes up a considerable amount of storage space , So the backup is usually changed to tape storage within one or two weeks to one month, and the tape is offline storage (the original database uses disks, which is faster and more expensive). Therefore, if you want to backtrack The analysis of the specific date is more than one month, it is necessary to find the transaction information of the specific date from the tape and store it in another database, and then apply the above-mentioned retrospective simulator for analysis. However, this not only requires consumption A large amount of disk and tape storage space is time-consuming and labor-intensive.

Therefore, the purpose of the present invention is to provide a retrospective simulation system that can solve at least one of the problems in the prior art, and record the transaction information in a simplified manner while saving storage space, so as to improve the efficiency of simulation calculations and the truthfulness of calculation results. Degree and accuracy.

Therefore, a retrospective simulation system of the present invention includes a database, a data processing device, and a retrospective simulation device. The database stores the latest data and multiple transaction data of various investment portfolios, and each transaction data includes a transaction at the time of the transaction. At least one of the conditions and settings of a re-evaluated interest rate curve; wherein the trading conditions only include the data required for retrospective simulation of past profits and losses and sensitivity to market prices; the data processing device can access the database, and its When it is judged daily that a new transaction data generated by various investment portfolios with changes is different from the content of the latest transaction data stored in the database, the new transaction data is stored in the database; The new transaction data stored in the database includes at least one of the transaction conditions at the time of the transaction and the set re-evaluation interest rate curve; the retrospective simulation device can access the database to obtain information from the database Obtain the latest information of a certain kind of investment portfolio, and look back from the database based on the latest data for the transaction data generated by the transaction from the current day to a specific date in the past, so as to use the latest data and the found transaction data Calculate a simulated investment portfolio on the specific date and a set simulated re-evaluation interest rate curve, and based on the market quotations of the investment projects in the simulated investment portfolio on the specific date, the simulated investment portfolio and the simulated re-evaluation interest rate curve , Calculate the profit and loss of the simulated investment portfolio on the specific date and the sensitivity to market prices.

In some implementation aspects of the present invention, the database also stores daily market quotations of investment projects in various investment portfolios, and the retrospective simulation device obtains the investment in the simulated investment portfolio on the specific date from the database. The market price of the commodity.

In some embodiments of the present invention, at least two of the database, the data processing device, and the retrospective simulation device are integrated in the same computer device.

The effect of the new model is that the new transaction data generated by various investment portfolios is simplified by the data processing device to only include at least one of the transaction conditions and the set re-evaluation interest rate curve, and the transaction conditions only include In the future, it will be used to retrospectively simulate the data needed to simulate the profit and loss of the past investment portfolio and the sensitivity to market prices, and then store the simplified transaction data in the database, which can effectively compress and save the data storage space, so that the data The library can store many years of transaction information, which helps the retrospective simulation device to directly query and read past transaction related information, and improve the execution efficiency of the retrospective simulation device; and the retrospective simulation device can indeed be based on the date of the retrospective simulation. The investment portfolio, market quotation and set re-evaluation interest rate curve are accurately estimated to obtain a more realistic calculation result of profit and loss and sensitivity to market prices. This not only improves the shortcomings of the existing retrospective simulator, but also helps For traders as a useful reference for future decision-making.

Before the present invention is described in detail, it should be noted that in the following description, similar elements are represented by the same numbers.

The new retrospective simulation system is mainly, but not limited to, applied to a trading room of a bank, and referring to Figure 1, an embodiment of the new retrospective simulation system mainly includes a database 1, a data processing device 2 and a retrospective simulation device 3; Wherein, the database 1 can be established in a computer device or an external storage device that can be accessed by the computer device, and the database 1 stores the traders of the trading room The latest data and multiple transaction data of various investment portfolios in operation (investment). The latest data includes the items of the investment portfolio currently held (such as stocks, foreign exchange, derivative financial products... etc.) and their quantity, price or Interest rate and other related information and the set re-evaluation interest rate curve; the re-evaluation interest rate curve of each investment project is a curve constructed by the re-evaluation rate (Revaluation Rates), and the re-evaluation interest rate is related to the market price (market price). The re-evaluation interest rate curve can be used to calculate the value of the investment project, and different periods (for example, 1 week, 1 month, 2 months...half a year, 1 year, etc.) have corresponding different re-evaluation interest rate curves, so Traders need to set an appropriate re-evaluation interest rate curve for the items of the investment portfolio they hold based on market conditions.

Each of the transaction data includes at least one of a transaction condition and a set re-evaluation interest rate curve at the time of the transaction of various investment portfolios. The interest rate curve is re-evaluated, and if the transaction is only to change the set re-evaluation interest rate curve at the time, the transaction data only contains the set re-evaluation interest rate curve; the transaction conditions only include the profit and loss of the past investment portfolio that can be retrospectively simulated in the future Data required for sensitivity to market prices, such as but not limited to fields related to amounts, dates, interest rates and exchange rates. Therefore, the data fields to be stored for each transaction data are only about 15 fields, compared to Conventional transaction information needs to be stored in 200 fields, which can greatly reduce the storage space to about 92%, which means that the data compression rate is as high as 92%. With this, the database 1 can store many years of transaction data without the need The transaction data with a long period of time can be stored easily (in a different place). Therefore, when the retrospective simulation device 3 needs to perform retrospective simulation and needs to read the related information of the past transactions, the database 1 can be directly accessed, and the database 1 can be directly accessed. For the user of the retrospective simulation device 3, it saves time and trouble.

The data processing device 2 can access the database 1 through an electrical connection or an internal network, and the data processing device 2 can be a data processor in the computer device, such as a central processing unit, which can execute pre-loaded A data processing program to perform the following data processing actions. The retrospective simulation device 3 can access the database 1 through an electrical connection or an internal network, and the retrospective simulation device 3 can be a processor in another computer device, such as another central processing unit, and it can execute pre- Load a retrospective simulation program (or retrospective simulation algorithm) to perform the following retrospective simulation actions. It is worth mentioning that the retrospective simulation device 3 can also be integrated with the data processing device 2 in the same computer device, that is, the central processing unit of the computer device can execute the pre-loaded data processing program and retrospective simulation respectively. Program.

The data processing device 2 will check whether the various investment portfolios held by the trading room are due to transactions, such as partial liquidation, order modification, etc., or changes to settings, such as changing the set re-sets. Evaluate the interest rate curve and generate various transaction-related transactions, and determine the new transaction data generated by the investment portfolio with the transaction and the latest transaction data stored in the database (of the investment portfolio) When the content of is different, the data processing device 2 stores the new transaction data in the database 1, thereby eliminating unnecessary stored data and saving the storage space of the database; and is stored in the database The new transaction data in 1 contains at least one of the transaction conditions at the time of the transaction and the set re-evaluation interest rate curve. When changing orders, etc.), the new transaction data will include the trading conditions and the set re-evaluation interest rate curve. If the transaction of this kind of investment portfolio only changes the settings, for example, when the set re-evaluation interest rate curve is changed, then The new transaction data only includes the set re-evaluation interest rate curve; and the transaction conditions only include the data needed to retrospectively simulate the profit and loss of the investment portfolio and the sensitivity to market prices, such as but not limited to only the amount , Date, interest rate and exchange rate related fields. Therefore, the new transaction data is stored in the database 1 and only needs to use the above 15 fields. Therefore, in addition to simplifying the transaction data and greatly saving The storage space of the database 1.

In this way, when the risk control or auditor in the trading room wants to retrospectively simulate the profit and loss of a certain investment portfolio and the sensitivity to market prices at a certain date in the past, they can input a specific date in the past to the retrospective simulation device 3 , The retrospective simulation device 3 will obtain the latest data of the certain investment portfolio from the database 1 based on the specific date, and look back from the database 1 based on the latest data for the date from the current date to the specific date For the transaction data generated by the transaction, a simulated investment portfolio on the specific date and a set simulated re-evaluation interest rate curve are retrospectively calculated based on the latest data and the found transaction data.

For example, suppose that the latest information of the certain investment portfolio includes investment project A and the set re-evaluation interest rate curve is b, and from the current day, such as 8/1 this year, to the specific date, such as 3/1 last year There are three transactions of the transaction data generated during the period. They are a transaction transaction a1 for investment project A on 4/20 this year and the set re-evaluation interest rate curve is b, and a transaction transaction a2 for investment project A on 10/10 last year and set The re-evaluation interest rate curve is b, and the re-evaluation interest rate curve of investment project A in 2/5 last year is changed to c, where a1 and a2 may represent but are not limited to changes in the portfolio or proportion of investment projects, investment The transaction amount of the project (such as profit or expenditure) or the increase or decrease in the number of purchases, etc.

In this way, the retrospective simulation device 3 can retrospectively calculate the specific date (3/1 of last year) based on the three transaction data between 8/1 of this year and the specific date (3/1 of last year). ) The simulated investment portfolio B and the simulated re-evaluation interest rate curve should adopt the re-evaluation interest rate curve c set 2/5 of last year (instead of the newly set re-evaluation interest rate curve b), and then the retrospective simulation device 3 is The simulated portfolio B can be calculated based on the market quotations of the investment projects in the simulated portfolio B on the specific date (3/1 of last year), the investment projects in the simulated portfolio B, and the simulated re-evaluation interest rate curve c The profit and loss on that specific date (3/1 of last year) and the sensitivity to market prices. Among them, the database 1 also stores the daily market quotations (market prices) of each investment project in the investment portfolio, and the retrospective simulation device 3 obtains the specific date (3/1 of last year) from the database 1 for the simulation on that day The market quotation of the investment projects in the portfolio; or, the retrospective simulation device 3 can also go online to a specific database website or data source to search for the investment projects in the simulation portfolio on the specific date (3/1 of last year) Market quotes.

To sum up, the above embodiment uses the data processing device 2 to periodically determine that a new transaction data generated by various investment portfolios with changes is different from the content of the latest transaction data stored in the database. The new transaction data is simplified to only include at least one of the transaction conditions and the set re-evaluation interest rate curve, and the transaction conditions only include the requirements for retrospectively simulating the profit and loss of the past investment portfolio and the sensitivity to market prices And then save the simplified transaction data in the database 1, thereby compressing and saving data storage space, so that the database 1 can store many years of transaction information, without the need for more than a certain date The transaction data is stored on off-line tape, which helps the retrospective simulation device 3 to directly query and read past transaction related information, and the query date is not limited, and there is no need to wait for the transaction data stored on the tape to be It can be read and stored in another database to perform analysis calculations, which can improve the execution efficiency of the retrospective simulation device 3; and the retrospective simulation device 3 can indeed be based on the investment portfolio, market quotations and settings at the time of the date to be retrospectively simulated Re-evaluate the interest rate curve, make accurate estimates of the profit and loss of the investment portfolio and the sensitivity to market prices, and obtain calculation results that are closer to the real situation. This not only improves the shortcomings of the existing retrospective simulator, but also helps traders Understand the objective factors of the decision at that time, so that traders can use it as a useful reference for future decision-making, and indeed achieve the effect and purpose of the new model.

However, the above are only examples of the present model. When the scope of implementation of the present model cannot be limited by this, all simple equivalent changes and modifications made in accordance with the scope of the patent application of the present model and the contents of the patent specification shall still belong to This new patent covers the scope.

1: Database 2: Data processing device 3: Retrospective simulation device

The other features and effects of the present invention will be clearly shown in the embodiments with reference to the drawings, in which: FIG. 1 is a block diagram of hardware devices included in an embodiment of the novel retrospective simulation system.

1: Database

2: Data processing device

3: Retrospective simulation device

Claims (3)

A retrospective simulation system, including: A database, which stores the latest data and multiple transaction data of various investment portfolios, each transaction data includes at least one of a transaction condition at the time of the transaction and a set re-evaluation interest rate curve; wherein the transaction conditions only include future supply Retrospectively simulate the information required for past profit and loss and sensitivity to market prices; A data processing device that can access the database, and when it determines that a new transaction data generated by various investment portfolios with changes on a daily basis is different from the content of the latest transaction data stored in the database, Storing the new transaction data in the database; wherein the new transaction data stored in the database includes at least one of the transaction conditions at the time of the transaction and the set re-evaluation interest rate curve; and A retrospective simulation device that can access the database to obtain the latest information of a certain investment portfolio from the database, and trace back from the database based on the latest information to find the period from the current date to a specific date in the past Because of the transaction data generated by the transaction, a simulated investment portfolio on the specific date and a simulated re-evaluation interest rate curve are calculated based on the latest data and the found transaction data, and based on the simulated investment portfolio on the specific date. The market price of the investment project, the simulated investment portfolio and the simulated re-evaluation interest rate curve, and calculate the profit and loss of the simulated investment portfolio on the specific date and the sensitivity to market prices. The retrospective simulation system according to claim 1, wherein the database also stores daily market quotations of investment projects in various investment portfolios, and the retrospective simulation device obtains from the database the simulated investment portfolio on the specific date. The market price of the investment commodity. The retrospective simulation system according to claim 1, wherein at least two of the database, the data processing device and the retrospective simulation device are integrated in the same computer device.

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