CN105339973A - Methods and systems for creating a government bond volatility index and trading derivative products based thereon - Google Patents

Methods and systems for creating a government bond volatility index and trading derivative products based thereon Download PDF

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CN105339973A
CN105339973A CN201380075864.3A CN201380075864A CN105339973A CN 105339973 A CN105339973 A CN 105339973A CN 201380075864 A CN201380075864 A CN 201380075864A CN 105339973 A CN105339973 A CN 105339973A
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time
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government
price
expiration
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CN201380075864.3A
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A.米尔
Y.奥巴亚希
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芝加哥期权交易所
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Priority to US13/842,197 priority Critical patent/US20130317963A1/en
Priority to US13/931,114 priority patent/US20140040164A1/en
Priority to US13/970,193 priority patent/US20130332333A1/en
Application filed by 芝加哥期权交易所 filed Critical 芝加哥期权交易所
Priority to PCT/US2013/071174 priority patent/WO2014143214A1/en
Publication of CN105339973A publication Critical patent/CN105339973A/en

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    • GPHYSICS
    • G06COMPUTING; CALCULATING; COUNTING
    • G06QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06Investment, e.g. financial instruments, portfolio management or fund management

Abstract

A computer system for calculating a government bond volatility index comprising memory configured to store at least one program; and at least one processor communicatively coupled to the memory, in which the at least one program, when executed by the at least one processor, causes the at least one processor to receive data regarding options on government bond derivatives; calculate, using the data regarding options on government bond derivatives, the government bond volatility index; and transmit data regarding the government bond volatility index.

Description

创建政府债券波动率指数和基于政府债券波动率指数的交易衍生的方法和系统 Create a government bond index and volatility-based method VIX government bond trading and derivative systems

[0001] 相关申请 [0001] RELATED APPLICATIONS

[0002] 本申请是于2013年6月28日提交的、作为于2013年3月15日提交的未决美国申请第13/842, 197号的继续部分的、未决美国申请第13/931,114号的继续部分,未决美国申请第13/842, 197号要求于2012年5月22日提交的美国临时申请第61/650, 150号的优先权(现已过期),通过引用将其每一个的全部内容并入本文。 [0002] This application is June 28, 2013, filed as at March 15, 2013 filed pending US Application No. 13/842, part of the continuing number of 197 pending US Application No. 13/931 continue part number 114 pending US application No. 13/842, 197 to US provisional application No., No. 61/650 150 on May 22, 2012 filed (now expired), by reference the entire contents of each is incorporated herein by reference. 通过引用将在本说明书中的任何地方所引用的所有母案、母案申请以及参考文献的全部内容并入本文。 All by reference in the parent application anywhere in this specification cited, the entire contents of the parent application and is incorporated herein by reference.

技术领域 FIELD

[0003] 本公开涉及固定收入衍生投资市场。 [0003] The present disclosure relates to investment in fixed income derivatives market.

背景技术 Background technique

[0004] 衍生是一种价值至少部分地取决于被称为标的资产(underlyingasset)的另外的证券的价值和/或特征的金融工具。 [0004] is a value derived at least in part on the value of the additional security is called underlying asset (underlyingasset) and / or features of financial instruments. 标的资产的示例包括但不限于:利率金融工具(例如债券)、有价证券、商品、电子交易资金和指数。 Examples of underlying assets include, but are not limited to: interest rate financial instruments (such as bonds), securities, commodities, electronic trading and index funds. 两个示例性的并且著名的衍生是期权和期货合同。 Two examples of the famous and derivatives are options and futures contracts.

[0005] 诸如期权和期货合同这样的衍生可以场外地和/或在诸如有组织的交易所(例如,公司化的芝加哥期权交易所("CB0E"))这样的其他交易平台上交易。 [0005] Such derivatives OTC options and futures contracts can be and / or trading on other trading platforms such as such as organized exchanges (for example, the company of the Chicago Board Options Exchange ( "CB0E")) like this. 在场外交易中,交易的各方能够定制每个交易以满足每一方的个体需求。 OTC, the parties to the transaction can be customized to meet the individual needs of each transaction of each party. 通过交易平台或交易所交易衍生, 标准化的衍生合同的买入和卖出订单被提交给对它们进行匹配和实施的交易所。 Trading derivatives transactions or exchange platform, standardized derivatives contracts to buy and sell orders are submitted to the Stock Exchange of matching them and implemented. 一般地, 现代交易交易所具有交易所专用的计算机系统,其允许经由诸如因特网这样的电子通信网络电子地提交订单。 In general, the modern exchange trading exchange has a dedicated computer system that allows submit orders via electronic communication network such as this electronically Internet. 在图1中例示交易所专用的计算机系统的例子。 In the example illustrated exchanges dedicated computer system in FIG.

[0006] -旦被匹配和实施,被实施的交易就被传送给介于衍生合同的持有者和卖者之间的结算公司(clearingcorporation)。 [0006] - between denier and matched embodiments, the transaction is passed to the embodiment derivative contracts between sellers and holders Clearing Corporation (clearingcorporation). 当交易所交易衍生被行使时,在必要时向结算公司交付现金或标的资产,并且结算公司分发适当的并且由交易的结果所规定的资产。 When the exchange-traded derivatives to be exercised, if necessary, to deliver the underlying asset or cash settlement company and the settlement company to distribute appropriate asset as defined by the outcome of a transaction and.

[0007] 期权合同根据期权类型(例如美国或欧洲)给予合同持有者在某个日期时或之前以特定价格买入或卖出标的资产的权利而不是义务。 [0007] option contract giving the holder of the contract price on or before a specific right to buy or sell the underlying asset but not the obligation upon a certain date in accordance with the type of option (such as the US or Europe). 反过来,期权合同根据期权类型(例如美国或欧洲)使合同的卖出者有义务在某个日期时或之前以特定价格交付标的资产。 In turn, the option contract is obliged to sell the contract or prior to the delivery of the underlying asset at a specified price based on the type of option (such as the United States or Europe) when a certain date. 美式期权可以在其满期之前的任何时间行使。 American options can be exercised at any time prior to its expiration. 欧式期权只可以在其满期时行使,亦即在单一预定义的时间点时行使。 European options can only be exercised when it expires, that is exercised when a single predefined point in time.

[0008] -般有两种类型的期权:认购和认沽。 [0008] - There are two general types of options: call and put. 认购期权让与持有者以特定价格(亦即,履约价格)购买标的资产的权利,并且使卖者有义务以履约价格向持有者交付标的资产。 Call Option allows rights holders to buy the underlying asset at a specified price (ie, the strike price), and the seller is obliged to deliver the underlying asset at the strike price to the holders. 认沽期权让与持有者以特定价格(亦即,履约价格)卖出标的资产的权利,并且使卖者有义务以履约价格购买标的资产。 Put options allow rights holders to sell the underlying asset at a specified price (ie, the strike price) and the seller the obligation to buy the underlying asset at the strike price.

[0009] -般有两种类型的结算处理:实物结算和现金结算。 [0009] - There are two general types of payment processing: physically settled and cash-settled. 在实物结算的过程中,在交易所中将资金从一方转让给另一方以便交付标的资产。 In the process of physical settlement, the money will transfer in exchange from one party to another in order to deliver the underlying asset. 在现金结算的过程中,根据并入关于标的资产的数据的计算将资金从一方交付给另一方。 In the process of settlement in cash, according to the calculated data is incorporated on the underlying assets of the funds will be delivered from one party to another.

[0010] 期货合同对期货的买方给出在将来的固定日期接收标的商品或资产的交付的义务。 [0010] futures contract gives the obligation to deliver the underlying commodity or assets received in the future of a fixed date for the futures buyer. 因此,期货合同的卖方有义务以给定价格在指定日期交付商品或资产。 Therefore, the seller of a futures contract is obliged to deliver the goods or the price of a given asset at a specified date. 期货可以使用实物或现金结算来结算。 Futures can use the in-kind or cash settlement to settlement. 期权和期货合同两者都可以基于诸如指数这样的抽象的市场指标, 并且通常在交易所进行交易。 Both options and futures contracts are based on market indicators such as the abstract index, and are usually traded on an exchange. 在本申请的各处,术语"标的债券的期限"指的是成为期货的标的、进而成为期货期权的标的(因为期权关于期货而不是直接关于债券被写入)的债券的到期的时间。 Throughout this application, the term refers to "the period of the underlying bond" is to be the subject of futures, futures options and then made the subject of (because options on futures rather than directly on the bond is written) The maturity of the time.

[0011] 远期合同对远期的买方给出在将来的固定日期接收标的商品或资产的交付的义务。 [0011] forward contract gives the obligation to deliver the underlying commodity or assets received in the future of long-term fixed date of the buyer. 因此,远期合同的卖方有义务以给定价格在指定的日期交付商品或资产。 Therefore, the seller is obliged to forward contract to deliver goods at a given price at a specified date or assets. 远期可以使用实物或现金结算来结算。 Long-term use may be in kind or cash settlement to settlement. 远期合同可以基于诸如指数这样的抽象的市场指标,并且通常0TC地进行交易。 Long-term contracts can be based on abstract market indicators such as index and typically 0TC for the transactions. 在本申请的各处,术语"标的债券的期限"指的是成为期货的标的、进而成为期货期权的标的(因为期权关于期货而不是直接关于债券被写入)的债券的到期的时间。 Throughout this application, the term refers to "the period of the underlying bond" is to be the subject of futures, futures options and then made the subject of (because options on futures rather than directly on the bond is written) The maturity of the time.

[0012] 指数是被用于指示市场或市场在不同时间段的业绩的统计综合值,亦即用作业绩基准。 [0012] index is used to indicate the market or the market value at the comprehensive statistical performance of different time periods, that is used as a performance benchmark. 指数的示例包括道•琼斯工业平均指数、美国全国证券交易商协会自动报价表("NASDAQ")综合指数以及标准普尔500( "S&P500®")。 Examples of the index include Road • Jones Industrial Average, the National Association of Securities Dealers Automated Quotations ( "NASDAQ") composite index and Standard & Poor's 500 ( "S & P500®"). 如上所述,涉及指数的期权一般是现金结算的。 As described above, involving index options are generally cash-settled. 例如,使用现金结算,指数认购期权的持有者接收购买非指数本身而是等于指数乘以乘数(例如4100)的价值的现金量的权利。 For example, the use of cash settled index call option holder receives the purchase of non-index index multiplied by itself, but rather the right amount of cash equal to the value of the multiplier (such as 4100) of. 因此,如果指数认购期权的持有者行使该期权,则在期权是实值的情况下,该期权的卖者必须支付给持有者标的指数的当前价值和乘以乘数的履约价格之间的差异。 Therefore, if the index call option holder to exercise the option, the option is in the case of real value, the option sellers must be paid to the holder of the current value of the underlying index and the strike price multiplied by the multiplier between differences.

[0013] 在衍生可以基于的指数是度量市场或市场分部的波动率的那些。 [0013] may be derived based on an index that is a measure of volatility or market segment of the market. 例如CB0E创建并分发了CB0E市场波动率指数或ViX®,其是由S&P500股票指数期权价格所传达的近期波动率的市场预期的关键测量。 For example CB0E created and distributed CB0E Market Volatility Index or ViX®, which is expected recent market volatility as measured by the key S & P500 stock index option prices conveyed. 另外,CB0E提供使用VIX作为标的资产的交易所交易衍生产品(期货和期权两者)。 In addition, CB0E provided using VIX as exchange-traded underlying assets of derivative products (both futures and options). 在此基础上的波动率指数和衍生产品已经被金融产业广泛接受作为对冲头寸的有用工具和用于表达波动率的方向的投资示视图的设备这两者。 On this basis, the VIX and derived products have been widely accepted by both the financial industry as hedges of equipment useful tool for direction and volatility of investment expression shown in the view.

[0014] 政府债券是由统治实体发行的债务证券。 [0014] Government bonds are issued by the governing body of debt securities. 债券具有不同的到期,并且可以进行周期性的固定或浮动利息支付,亦即息票。 Bonds having different expiration, and may periodically fixed or floating interest payments, i.e. coupon. 取决于发行政府或债券的限期,政府债券以不同的名称流通,包括但不限于短期国库卷、中期国库卷、长期国库卷、德国国债、德国bobl、德国schatz、日本政府国债(JGB)、UKGilt等。 Or depending on the deadline issue of government bonds, government bonds under a different name in circulation, including but not limited to short-term treasury roll, mid-roll treasury, long-term treasury volumes, German bunds, Germany bobl, Germany schatz, Japanese government bonds (JGB), UKGilt Wait.

发明内容 SUMMARY

[0015] 发明人认识到,虽然存在若干波动率指数,但是当前不存在政府债券(GB)市场的波动率度量的实现方式,其针对诸如关于期货和远期这样的GB衍生的期权在理论上与现存市场中占优势的价格一致。 [0015] The inventors have recognized that although there are several VIX, but the current implementation volatility metric government bonds (GB) market does not exist, such as that for GB on such a long-term futures and options derived theoretically consistent with the existing dominant market price. 具体地,不存在估计在给定的投资时限和标的债券的期限上的GB市场中的波动率的标准化的基准。 Specifically, there is no standardization of the estimated volatility of the market in GB limit on the duration of the investment and the underlying bond given in the reference. 因为当前不存在反映预期GB波动率的期权内在公平市场价值的标准化基准,所以交易者、其他市场参与者和/或货币管理者当前交易GB远期的期权和对冲其他金融头寸的期权,证券市场制造兴旺气象,和/或取得与市场波动率有关的具体投资头寸。 GB because reflect the expected volatility of the fair market value of the options inherent standardized baselines does not currently exist, so the trader, other market participants and / or money managers GB current long-term options and other hedging financial positions of options trading, stock market weather thriving manufacturing, and / or obtain specific investment positions and market volatility related. 然而,在试图经由GB期货的期权的交易来对冲风险中采用的策略未必导致精确的得益和损失,其由于价格依赖性,亦即生成由交易开端和满期日期之间的价格移动的路径而不是在期权满期时占优势的绝对价格水平影响得益和损失的趋势。 However, in trying to GB via futures options trading strategies to hedge the risk of not necessarily result in the use of precise benefit and loss, which is due to price-dependent, that is generated by the path of movement between the transaction price and the expiration date of the beginning rather than dominant when options expire absolute price level trends affecting the benefits and losses.

[0016] 因此,本发明的一些实施例提供用于计算与GB市场有关的有效波动率指数的技术。 [0016] Accordingly, some embodiments of the present invention to provide a technique for effectively VIX GB market related to the calculation. 另外,本发明的一些实施例提供用于基于这样的指数来实例化和/或推动交易衍生产品的技术。 Further, some embodiments of the present invention to provide examples and / or derivative products, push-based technique for this index.

[0017] 在一些实施例中,提供技术用于:创建和分发使用诸如期货和远期这样的政府债券衍生的期权(亦即,给予其拥有者加入到标的债券衍生合同中的权利而不是义务的期权)的数据计算出的一个或多个波动率指数;以及基于与波动率有关的一个或多个指数来推动衍生产品的电子创建和交易。 [0017] In some embodiments, the technology used to provide: creation and distribution of long-term use, such as futures and government bond derivatives such as options (ie, giving its owner the right to join the underlying bond derivatives contracts but not the obligation options) is calculated from the data of one or more volatility index; and based on one or more index-related volatility to create and promote electronic trading of derivative products.

[0018] 本发明的另外的特征和优点将在下面的描述中阐述,并且部分将根据描述是显而易见的,或者可以通过本发明的实践而学习到。 [0018] Additional features and advantages of the invention will be set forth in the description which follows, and in part will be apparent from the description, or may be learned by practice of the invention. 本发明的目的和优点将通过在所书写的描述及其权利要求书以及附图中具体指出的方法来实现和获得。 The objects and advantages of the present invention will be in the written description and claims hereof as well as the methods particularly pointed out in the accompanying drawings be realized and obtained.

[0019] 为了获得这些以及其他优点,并且根据本发明的目的,如所实施并且宽泛描述的那样,本发明提供一种用于计算政府债券波动率指数的计算机系统,其包含被配置为存储至少一个程序的存储器;以及通信地耦合到存储器的至少一个处理器,其中所述至少一个程序在被所述至少一个处理器执行时使所述至少一个处理器:接收关于政府债券衍生的期权的数据;使用关于政府债券衍生的期权的数据来计算政府债券波动率指数;以及传送关于政府债券波动率指数的数据。 [0019] To achieve these and other advantages and in accordance with the purpose of the present invention, as embodied and broadly described above, the present invention provides a computer system calculates the government bond for VIX, which is configured to store at least comprising a program memory; and at least one processor communicatively coupled to a memory, wherein the program causes the at least one of said at least one processor executes at least one of the processor: receives data on government bonds derived option ; using data on government bond derivatives options to calculate government bond volatility index; and transmitting data on government bond volatility index.

[0020] 在一些实施例中,关于政府债券衍生的期权的数据包括政府债券衍生的期权的价格的数据。 [0020] In some embodiments, the data on government bonds derived from options including government bonds derived from options prices.

[0021] 在一个实施例中,关于政府债券衍生的期权的价格的数据包括关于政府债券期货或政府债券远期的期权的价格的数据。 [0021] In one embodiment, the data on prices of government bonds derived options include data regarding long-term government bonds or bond futures price option government.

[0022] 在另外的实施例中,关于政府债券衍生的期权的价格的数据包括关于政府债券远期的欧式期权的价格的数据。 [0022] In a further embodiment, the data on prices of government bonds derived options include data regarding the European option prices of long-term government bonds.

[0023] 在一些实施例中,关于政府债券衍生的期权的价格的数据包括关于并非政府债券远期的欧式期权的期权的价格的数据。 [0023] In some embodiments, the data on government bonds derived from the prices of options price options including the data of European options on long-term government bonds are not.

[0024] 在一些实施例中,当关于政府债券衍生的期权的价格的数据包括关于并非政府债券远期的欧式期权的期权的价格的数据时,将关于并非政府债券远期的欧式期权的期权的价格的数据转换成关于政府债券远期的欧式期权的价格的数据。 [0024] In some embodiments, when the data on prices of options including government bonds derived data on prices of options is not long-term government bonds European option, the Option in the European government bond forward option not price data into data on prices of long-term government bonds of European options.

[0025] 在一些实施例中,计算政府债券波动率指数包括对政府债券衍生的方差交换合同的模型无关的定价所需要的政府债券衍生的一组期权进行估价。 A set of option government bonds derived [0025] In some embodiments, the computing government bond VIX model comprising independent government bonds derived variance exchange contract pricing required valuation.

[0026] 在一些实施例中,根据下面的等式在时间t时计算出政府债券波动率指数: [0026] In some embodiments, the following equation is calculated according to the government bond VIX at time t:

[0027] [0027]

Figure CN105339973AD00151

[0028] 其中: [0028] wherein:

[0029] t表示计算政府债券波动率指数的时间; [0029] t represents the calculation of government bonds VIX time;

[0030] T表示政府债券衍生的期权的满期的时间; [0030] T represents the period of time over government bonds derived from options;

[0031]TD表示成为期权的标的的政府债券衍生的到期的时间,其中TD彡T; [0031] TD represents the time expires become the subject of options of government bond derivatives, in which TD Pie T;

[0032] 1;表示政府债券的满期的时间; [0032] 1; represents the time of the expiration of government bonds;

[0033]Ζ+1表示在指数计算中所使用的期权的总数量; [0033] Ζ + 1 represents the total number in the index used in the calculation of the options;

[0034]Κ。 [0034] Κ. 表示Ζ+1个期权中的最低履约; It represents Ζ + 1 Ge options lowest compliance;

[0035] &表示Ζ+1个期权中的第i个最高履约; [0035] & Ζ + 1 represent the i th option highest compliance;

[0036]Kz表示Z+1个期权中的最高履约; [0036] Kz Z + 1 th represents the highest performance option;

[0037] 对于i彡1 [0037] For i San 1

Figure CN105339973AD00161

并且ΔK〇= (K「Κ。),ΔKz=(KΖ_ΚΖ !); (. K "Κ) and ΔK〇 =, ΔKz = (KΖ_ΚΖ!);

[0038] 如果价格在时间t时是可观察的,则Ft (TD,ΤΝ)是在政府债券衍生合同成为在TD 时满期的认沽和认购期权的标的的时间t时的价格,其中标的政府债券在1;时到期; [0038] If the price at time t is observable, then Ft (TD, ΤΝ) in government bond derivatives contracts as the price at expiration on the subject of the put and call options t in TD during which the subject government bonds 1; expires;

[0039] 如果价格在时间t时是不可观察的,则Ft (TD,TN)是认沽和认购价格之间的差异最小时的履约; [0039] If the price at time t is not observable, the Ft (TD, TN) is considered the minimum difference in compliance between the subscription price and sell;

[0040] 如果存在以Ft (Td,TN)履约的期权,则ΐς等于Ft (TD,TN); [0040] If Ft (Td, TN) compliance option exists, ΐς equal Ft (TD, TN);

[0041] 如果不存在以Ft(TD,TN)履约的期权,则ΐς是低于Ft(TD,TN)的第一可用履约; [0041] If Ft (TD, TN) compliance option does not exist, the first available ΐς compliance below Ft (TD, TN); and

[0042]Pt(T)是在T时到期的零息票不可违约的(non-defaultable)债券的时间t时的价格; [0042] Pt (T) is the price at the time of expiration T is not zero coupon default time (non-defaultable) T bonds;

[0043]Putt%,t,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在!;时到期的标的债券的认沽期权的时间t时的价格; [0043] Putt%, t, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the underlying government bond derivatives and when the TD;! Put Option expires when the underlying bond the price at time t;

[0044]CalltdT,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在!;时到期的标的债券的认购期权的时间t时的价格;以及 [0044] CalltdT, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the underlying government bonds and derivatives in the TD at the time;! Call Option of the underlying bond due at the time of time t price; and

[0045]GB-VI(t,T,TD,TN)是基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的政府债券波动率指数的值。 [0045] GB-VI (t, T, TD, TN) based upon the expiration of the TD government bonds and derived in due time TN of the underlying bond, at the expiration of the time T calculated options time t the value of government bonds when the VIX.

[0046] 在一些实施例中,根据下面的等式在时间t时计算出政府债券波动率指数 [0046] In some embodiments, the following equation is calculated according to the government bond VIX at time t

[0047] [0047]

Figure CN105339973AD00162

[0048]其中: [0048] wherein:

[0049]t表示计算政府债券波动率指数的时间; [0049] t represents the calculation of government bonds VIX time;

[0050]T表示政府债券衍生的期权的满期的时间; [0050] T represents the period of time over government bonds derived from options;

[0051]TD表示成为期权的标的的政府债券衍生的到期的时间,其中TD彡T; [0051] TD represents the time expires become the subject of options of government bond derivatives, in which TD Pie T;

[0052] 1;表示政府债券的满期的时间; [0052] 1; represents the time of the expiration of government bonds;

[0053]Z+1表示在指数计算中所使用的期权的总数量; [0053] Z + 1 represents the total number of the index used in the calculation of the options;

[0054]K。 [0054] K. 表示Z+1个期权中的最低履约; Z + 1 Ge option represents the lowest compliance;

[0055]心表示Z+1个期权中的第i个最高履约; [0055] Z + 1 represents heart Option the i th highest compliance;

[0056]Kz表示Z+1个期权中的最高履约; [0056] Kz Z + 1 th represents the highest performance option;

Figure CN105339973AD00163

[0057]对于i彡1 并且Δ Kq= (K「Κ。),Δ Κζ= (Κ ζ-Κζ〇; ,. [0057] For i San 1 and Δ Kq =, Δ Κζ = (Κ ζ-Κζ〇 (K "Κ.);,.

[0058] 如果价格在时间t时是可观察的,则Ft (TD,TN)是在政府债券衍生合同成为在TD 时满期的认沽和认购期权的标的的时间t时的价格,其中标的政府债券在1;时到期; [0058] If the price at time t is observable, then Ft (TD, TN) in government bond derivatives contracts as the price at expiration on the subject of the put and call options t in TD during which the subject government bonds 1; expires;

[0059] 如果价格在时间t时是不可观察的,则Ft (TD,TN)是认沽和认购价格之间的差异最小时的履约; [0059] If the price at time t is not observable, the Ft (TD, TN) is considered the minimum difference in compliance between the subscription price and sell;

[0060] 如果存在以Ft (td,τΝ)履约的期权,则ις等于Ft (TD,TN); [0060] If Ft (td, τΝ) compliance option exists, ις equal Ft (TD, TN);

[0061] 如果不存在以Ft (TD,TN)履约的期权,则ΐς是低于Ft (TD,TN)的第一可用履约; [0061] If Ft (TD, TN) compliance option does not exist, the first available ΐς compliance below Ft (TD, TN); and

[0062]Pt(T)是在T时到期的零息票不可违约的债券的时间t时的价格; [0062] Pt (T) is the price at the time of expiration T is not zero coupon bonds default time T;

[0063] Putt%,t,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在!;时到期的标的债券的认沽期权的时间t时的价格; [0063] Putt%, t, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the underlying government bond derivatives and when the TD;! Put Option expires when the underlying bond the price at time t;

[0064]CalltO^,T,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在!;时到期的标的债券的认购期权的时间t时的价格;以及 [0064] CalltO ^, T, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the underlying government bonds and derivatives in the TD at the time;! Call Option expires when the underlying bond the price at time t; and

[0065]GB_VIbp (t,T,TD,TN)是基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的政府债券波动率指数的值。 [0065] GB_VIbp (t, T, TD, TN) is based on the expiration of the TD when government bond derivatives and maturity of the underlying bond when in TN, when the expiration of options calculated at time t when T the value of government bonds VIX.

[0066] 在一些实施例中,当不存在时间T时的应计息票(accruedcoupon)时,根据下面的等式在时间t时计算出政府债券波动率指数: [0066] In some embodiments, when the accrued coupon (accruedcoupon) does not exist at time T, is calculated according to the following equation VIX government bond at time t:

[0067] [0067]

Figure CN105339973AD00171

[0070] 并且,当存在时间T时的应计息票和在时间tj时应付的下一个息票时,根据下面的等式在时间t时计算出政府债券波动率指数 [0070] Further, when the accrued coupon at present time T and the time tj payable on a coupon, in accordance with the following equation to calculate the government bond VIX at time t

Figure CN105339973AD00172

[0076]并且 [0076] and

[0077] [0077]

Figure CN105339973AD00181

[0078] 其中: [0078] wherein:

[0079] t表示计算政府债券波动率指数的时间; [0079] t represents the calculation of government bonds VIX time;

[0080] T表示政府债券衍生的期权的满期的时间; [0080] T represents the period of time over government bonds derived from options;

[0081] tj是在T时或之后的第一息票支付; [0081] tj is the first payment in the coupon during or after T;

[0082] TD表示成为期权的标的的政府债券衍生的到期的时间,其中TD多T; [0082] TD represents the option to become the subject of government bonds derived time expires, where the multi-TD T;

[0083] 1;表示政府债券的满期的时间; [0083] 1; represents the time of the expiration of government bonds;

[0084] Z+1表示在指数计算中所使用的期权的总数量; [0084] Z + 1 represents the total number of the index used in the calculation of the options;

[0085]K。 [0085] K. 表示Z+1个期权中的最低履约; Z + 1 Ge option represents the lowest compliance;

[0086] &表示Z+1个期权中的第i个最高履约; [0086] Z + 1 & represents one option in the i-th highest compliance;

[0087] Kz表示Z+1个期权中的最高履约; [0087] Kz Z + 1 th represents the highest performance option;

[0088] 对于i彡1 [0088] For i San 1

Figure CN105339973AD00182

并且ΔKq= (K「Κ。),ΔΚζ=(Κζ-Κζ 〇; (. K "K0) and ΔKq =, ΔΚζ = (Κζ-Κζ square;

[0089] 如果价格在时间t时是可观察的,则Ft (TD,ΤΝ)是在政府债券衍生合同成为在TD 时满期的认沽和认购期权的标的的时间t时的价格,其中标的政府债券在1;时到期; [0089] If the price at time t is observable, then Ft (TD, ΤΝ) in government bond derivatives contracts as the price at expiration on the subject of the put and call options t in TD during which the subject government bonds 1; expires;

[0090] 如果价格在时间t时是不可观察的,则Ft (TD,TN)是认沽和认购价格之间的差异最小时的履约; [0090] If the price at time t is not observable, the Ft (TD, TN) is considered the minimum difference in compliance between the subscription price and sell;

[0091] 如果存在以Ft (TD,TN)履约的期权,则ΐς等于Ft (TD,TN); [0091] If Ft (TD, TN) compliance option exists, ΐς equal Ft (TD, TN);

[0092] 如果不存在以Ft (TD,TN)履约的期权,则ΐς是低于Ft (TD,TN)的第一可用履约; [0092] If Ft (TD, TN) compliance option does not exist, the first available ΐς compliance below Ft (TD, TN); and

[0093] Pt(T)是在T时到期的零息票不可违约的债券的时间t时的价格; [0093] Pt (T) is the price at the time of expiration T is not zero coupon bonds default time T;

[0094] Putt%,t,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在!;时到期的标的债券的认沽期权的时间t时的价格; [0094] Putt%, t, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the underlying government bond derivatives and when the TD;! Put Option expires when the underlying bond the price at time t;

[0095] CalltO^,T,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在!;时到期的标的债券的认购期权的时间t时的价格; [0095] CalltO ^, T, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the underlying government bonds and derivatives in the TD at the time;! Call Option expires when the underlying bond the price at time t;

[0096] N表示政府债券的息票支付的总数量; [0096] N represents the total number of coupon payments on government bonds;

[0097] (^表示政府债券的N个息票之中的第i个息票的量; [0097] (^ denotes the i th coupon amount among the N coupon government bonds;

[0098] η表示政府债券的每年的息票支付的频率; [0098] η represents the frequency of coupon payments each year government bonds;

[0099] y表示政府债券的收益; [0099] y represents the government bond yield;

[0100] X表示政府债券的收益; [0100] X represents government bond yield;

[0101] 是对应于附息政府债券的债券收益的债券价格; [0101] corresponds to the interest-bearing bond prices bond yields of government bonds;

[0102] 声'•乂y)足的函数逆; [0102] sound '• Yi in y) the inverse function of the foot;

[0103] 是对应于附息政府债券的债券收益的时间T时的债券价格; [0103] bond prices corresponding to the interest-bearing bonds yielding government bonds when the time T;

[0104] #〇:)是的函数逆; [0104] # is a function of the inverse square :);

[0105]dc(year)是基于用于政府债券的天计数惯例的一年中的天的数量; [0105] dc (year) is based on the number of days for government bonds count convention days of the year;

[0106]dc(Tt)是基于用于政府债券的天计数惯例的t和T之间的天的数量; [0106] dc (Tt) based on the number of days between the day count for government bonds and T t practice;

[0107] 心)是按照基于在Td时满期的政府债券衍生和在Tn时到期的标的债券的、在T时满期的期权所计算出的时间t时的基点收益波动率的政府债券波动率指数的值; [0107] Heart) is in accordance with the base point return volatility when the expiration of options calculated at time t T based on the expiration of the time Td government bond derivatives and maturity of the underlying bond at the time Tn government bonds VIX value;

[0108]GB_VIbp (t,T,TD,TN)是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的基点价格波动率的政府债券波动率指数的值;以及 [0108] GB_VIbp (t, T, TD, TN) is based on the expiration of the time t according to the TD when government bond derivatives and expires in TN when the underlying bonds in T when the expiration of the option calculated time the value of government bonds VIX volatility of the price point; and

[0109]GB-VI(t,T,TD,TN)是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的百分比价格波动率的政府债券波动率指数的值。 [0109] GB-VI (t, T, TD, TN) is based in accordance with the expiration of the time TD and government bonds derived maturity of the underlying bond at the time TN, the expiration of the time T calculated time option the value of government bonds VIX percentage price volatility at the time of t.

[0110] 在一些实施例中,根据下面的等式在时间t时计算出政府债券波动率指数: [0110] In some embodiments, the following equation is calculated according to the government bond VIX at time t:

[0111] [0111]

Figure CN105339973AD00191

[0118]其中: [0118] wherein:

[0119]t表示计算政府债券波动率指数的时间; [0119] t represents the calculation of government bonds VIX time;

[0120]T表示政府债券衍生的期权的满期的时间; [0120] T represents the period of time over government bonds derived from options;

[0121]TD表示成为期权的标的的政府债券衍生的到期的时间,其中TD彡T; [0121] TD represents the time expires become the subject of options of government bond derivatives, in which TD Pie T;

[0122] 1;表示政府债券的满期的时间; [0122] 1; represents the time of the expiration of government bonds;

[0123]Z+1表示在指数计算中所使用的期权的总数量; [0123] Z + 1 represents the total number of the index used in the calculation of the options;

[0124]K。 [0124] K. 表示Z+1个期权中的最低履约; Z + 1 Ge option represents the lowest compliance;

[0125] &表示Z+1个期权中的第i个最高履约; [0125] Z + 1 & represents one option in the i-th highest compliance;

[0126]Kz表示Z+1个期权中的最高履约; [0126] Kz Z + 1 th represents the highest performance option;

[0127]对于i彡 [0127] For i San

Figure CN105339973AD00201

并且ΔΚ0= (KfK。),ΔΚΖ= (ΚΖ_ΚΖ !); And ΔΚ0 = (KfK.), ΔΚΖ = (ΚΖ_ΚΖ!);

[0128] 如果价格在时间t时是可观察的,则Ft (TD,ΤΝ)是在政府债券衍生合同成为在TD 时满期的认沽和认购期权的标的的时间t时的价格,其中标的政府债券在1;时到期; [0128] If the price at time t is observable, then Ft (TD, ΤΝ) in government bond derivatives contracts as the price at expiration on the subject of the put and call options t in TD during which the subject government bonds 1; expires;

[0129] 如果价格在时间t时是不可观察的,则Ft (TD,TN)是认沽和认购价格之间的差异最小时的履约; [0129] If the price at time t is not observable, the Ft (TD, TN) is considered the minimum difference in compliance between the subscription price and sell;

[0130] 如果存在以Ft (TD,TN)履约的期权,则I等于Ft (TD,TN); [0130] If Ft (TD, TN) compliance option exists, I = Ft (TD, TN);

[0131] 如果不存在以Ft (TD,TN)履约的期权,则ΐς是低于Ft (TD,TN)的第一可用履约; [0131] If Ft (TD, TN) compliance option does not exist, the first available ΐς compliance below Ft (TD, TN); and

[0132]Pt(T)是在T时到期的零息票不可违约的债券的时间t时的价格; [0132] Pt (T) is the price at the time of expiration T is not zero coupon bonds default time T;

[0133]Putt%,t,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在!;时到期的标的债券的认沽期权的时间t时的价格; [0133] Putt%, t, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the underlying government bond derivatives and when the TD;! Put Option expires when the underlying bond the price at time t;

[0134]CalltdT,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在!;时到期的标的债券的认购期权的时间t时的价格; [0134] CalltdT, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the underlying government bonds and derivatives in the TD at the time;! Call Option of the underlying bond due at the time of time t s price;

[0135]N表示政府债券的息票支付的总数量; [0135] N represents the total number of coupon payments on government bonds;

[0136] (^表示政府债券的N个息票之中的第i个息票的量; [0136] (^ denotes the i th coupon amount among the N coupon government bonds;

[0137]η表示政府债券的每年的息票支付的频率; [0137] η represents the frequency of coupon payments each year government bonds;

[0138]X表示政府债券的收益; [0138] X represents government bond yield;

[0139] 六.(、!£)是对应于附息政府债券的债券收益的债券价格; . [0139] six (,! £) corresponding to interest-bearing bonds government bond yield bond prices;

[0140] /^(X)是為以)的函数逆; [0140] / ^ (X) is a function of the inverse order) of the;

[0141]dc(year)是基于用于政府债券的天计数惯例的一年中的天的数量; [0141] dc (year) is based on the number of days for government bonds count convention days of the year;

[0142]dc(Τ-t)是基于用于政府债券的天计数惯例的t和T之间的天的数量; [0142] dc (Τ-t) based on the number of days between the day count for the practice of government bonds and T t;

[0143] \是在T时或之后的第一息票支付; [0143] \ coupon is paid after the first time or T;

[0144]GK、7g(^W;)是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的基点收益波动率的政府债券波动率指数的值; [0144] GK, 7g (^ W;) is based in accordance with the expiration of the time TD in government bonds and derived at maturity of the underlying bond TN time, the expiration time point options calculated at time t when T the value of government bonds VIX volatility of returns;

[0145]GB_VIbp (t,T,TD,TN)是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的基点价格波动率的政府债券波动率指数的值; [0145] GB_VIbp (t, T, TD, TN) is based on the expiration of the time t according to the TD when government bond derivatives and expires in TN when the underlying bonds in T when the expiration of the option calculated time the value of government bonds VIX volatility of the price point;

[0146]GB-VI(t,T,TD,TN)是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的百分比价格波动率的政府债券波动率指数的值。 [0146] GB-VI (t, T, TD, TN) is based in accordance with the expiration of the time TD and government bonds derived maturity of the underlying bond at the time TN, the expiration of the time T calculated time option the value of government bonds VIX percentage price volatility at the time of t.

[0147] 在一些实施例中,至少一个处理器还被使得:基于政府债券波动率指数来创建标准化的交易所交易衍生工具;以及传送关于标准化的交易所交易衍生的数据。 [0147] In some embodiments, the at least one processor is further such that: to create standardized exchange-traded derivatives based on government bond VIX; exchange and transmitting transaction data derived on standardization.

[0148] 在一些实施例中,传送关于标准化的交易所交易衍生的数据包括传送关于标准化的交易所交易衍生工具的结算价格、出价价格、报价价格、或交易价格中的一个或多个的数据。 [0148] In some embodiments, transmitting data on the standardization of exchange traded derivative comprises transmitting settlement price on the standardization of exchange traded derivatives, bid price, bid price, or one or more of data transaction price .

[0149] 在另外的实施例中,非临时性计算机可读存储介质具有在其上记录的计算机可执行的指令,所述指令在计算机上执行时配置计算机以执行计算政府债券波动率指数的方法,所述方法包含:接收关于政府债券衍生的期权的数据;使用关于政府债券衍生的期权的数据来计算政府债券波动率指数;以及传送关于政府债券波动率指数的数据。 Method [0149] In a further embodiment, the non-transitory computer-readable storage medium having computer-executable instructions recorded thereon, the computer instructions configured, when executed on a computer to perform the calculation of the government bond VIX the method comprising: receiving data on government bonds derived option; government bonds derived using data on the option to calculate government bond VIX; and transmitting data on the government bond VIX.

[0150] 在非临时性计算机可读存储介质的一些实施例中,关于政府债券衍生的期权的数据包括关于政府债券衍生的期权的价格的数据。 [0150] Some embodiments readable non-transitory storage medium in a computer, the data relating to government bonds derived options include data regarding prices of government bonds derived from the option.

[0151] 在非临时性计算机可读存储介质的一个实施例中,关于政府债券衍生的期权的价格的数据包括关于政府债券期货或政府债券远期的期权的价格的数据。 [0151] storage medium readable non-transitory computer in one embodiment, the data on prices of government bonds derived options include data regarding prices government bond futures or options embodiment government bond forward.

[0152] 在非临时性计算机可读存储介质的一些实施例中,关于政府债券衍生的期权的价格的数据包括关于政府债券远期的欧式期权的价格的数据。 [0152] Some embodiments readable non-transitory storage medium in a computer, the data relating to government bonds derived price of the call includes data on prices of long-term government bonds European option.

[0153] 在非临时性计算机可读存储介质的一些实施例中,关于政府债券衍生的期权的价格的数据包括关于并非政府债券远期的欧式期权的期权的价格的数据。 [0153] Some embodiments readable non-transitory storage medium in a computer, the data on prices of government bonds derived data comprises prices of options options options on European government bonds are not long term.

[0154] 在非临时性计算机可读存储介质的一些实施例中,当关于政府债券衍生的期权的价格的数据包括关于并非政府债券远期的欧式期权的期权的价格的数据时,将关于并非政府债券远期的欧式期权的期权的价格的数据转换成关于政府债券远期的欧式期权的价格的数据。 [0154] Some embodiments readable storage medium in a non-transitory computer, when the data on prices of government securities options include data derived option price European option is not on long-term government bonds, it will not on price data option European options long-term government bonds into the European option price data on long-term government bonds.

[0155] 在非临时性计算机可读存储介质的一些实施例中,计算政府债券波动率指数包括对政府债券衍生的方差交换合同的模型无关的定价所需要的政府债券衍生的一组期权进行估价。 A set of option government bonds derived [0155] In some embodiments, the non-transitory computer-readable storage medium, calculating government bond VIX model comprising independent government bonds derived variance exchange contract pricing required valuation .

[0156] 在非临时性计算机可读存储介质的一些实施例中,根据下面的等式在时间t时计算出政府债券波动率指数: [0156] In some embodiments, the non-transitory computer-readable storage medium, according to the following equation to calculate the government bond VIX at time t:

[0157] [0157]

Figure CN105339973AD00211

[0158]其中: [0158] wherein:

[0159]t表示计算政府债券波动率指数的时间; [0159] t represents the calculation of government bonds VIX time;

[0160] T表示政府债券衍生的期权的满期的时间; [0160] T represents the period of time over government bonds derived from options;

[0161] TD表示成为期权的标的的政府债券衍生的到期的时间,其中TD彡T; [0161] TD represents the time expires become the subject of options of government bond derivatives, in which TD Pie T;

[0162] 1;表示政府债券的满期的时间; [0162] 1; represents the time of the expiration of government bonds;

[0163]Z+1表示在指数计算中所使用的期权的总数量; [0163] Z + 1 represents the total number of the index used in the calculation of the options;

[0164]K。 [0164] K. 表示Z+1个期权中的最低履约; Z + 1 Ge option represents the lowest compliance;

[0165] &表示Z+1个期权中的第i个最高履约; [0165] Z + 1 & represents one option in the i-th highest compliance;

[0166]Kz表示Z+1个期权中的最高履约; [0166] Kz Z + 1 th represents the highest performance option;

[0167] 对于i彡1 [0167] For i San 1

Figure CN105339973AD00221

并且ΔΚ〇= (Κι-Κ。),ΔΚζ= (Κζ-Κζ 〇; (. Κι-Κ) and ΔΚ〇 =, ΔΚζ = (Κζ-Κζ square;

[0168] 如果价格在时间t时是可观察的,则Ft (TD,ΤΝ)是在政府债券衍生合同成为在TD 时满期的认沽和认购期权的标的的时间t时的价格,其中标的政府债券在1;时到期; [0168] If the price at time t is observable, then Ft (TD, ΤΝ) in government bond derivatives contracts as the price at expiration on the subject of the put and call options t in TD during which the subject government bonds 1; expires;

[0169] 如果价格在时间t时是不可观察的,则Ft (TD,TN)是认沽和认购价格之间的差异最小时的履约; [0169] If the price at time t is not observable, the Ft (TD, TN) is considered the minimum difference in compliance between the subscription price and sell;

[0170] 如果存在以Ft (TD,TN)履约的期权,则ΐς等于Ft (TD,TN); [0170] If Ft (TD, TN) compliance option exists, ΐς equal Ft (TD, TN);

[0171] 如果不存在以Ft (TD,TN)履约的期权,则ΐς是低于Ft (TD,TN)的第一可用履约; [0171] If Ft (TD, TN) compliance option does not exist, the first available ΐς compliance below Ft (TD, TN); and

[0172]Pt(T)是在T时到期的零息票不可违约的债券的时间t时的价格; [0172] Pt (T) is the price at the time of expiration T is not zero coupon bonds default time T;

[0173]Putt%,t,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在!;时到期的标的债券的认沽期权的时间t时的价格; [0173] Putt%, t, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the underlying government bond derivatives and when the TD;! Put Option expires when the underlying bond the price at time t;

[0174]CalltdT,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在!;时到期的标的债券的认购期权的时间t时的价格;以及 [0174] CalltdT, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the underlying government bonds and derivatives in the TD at the time;! Call Option of the underlying bond due at the time of time t price; and

[0175]GB-VI(t,T,TD,TN)是基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的政府债券波动率指数的值。 [0175] GB-VI (t, T, TD, TN) based upon the expiration of the TD government bonds and derived in due time TN of the underlying bond, at the expiration of the time T calculated options time t the value of government bonds when the VIX.

[0176] 在非临时性计算机可读存储介质的一些施例中,根据下面的等式在时间t时计算出政府债券波动率指数: [0176] In some embodiments non-transitory computer-readable storage medium, according to the following equation to calculate the government bond VIX at time t:

[0177] [0177]

Figure CN105339973AD00222

[0178]其中: [0178] wherein:

[0179]t表示计算政府债券波动率指数的时间; [0179] t represents the calculation of government bonds VIX time;

[0180]T表示政府债券衍生的期权的满期的时间; [0180] T represents the period of time over government bonds derived from options;

[0181]TD表示成为期权的标的的政府债券衍生的到期的时间,其中TD彡T; [0181] TD represents the time expires become the subject of options of government bond derivatives, in which TD Pie T;

[0182] 1;表示政府债券的满期的时间; [0182] 1; represents the time of the expiration of government bonds;

[0183]Z+1表示在指数计算中所使用的期权的总数量; [0183] Z + 1 represents the total number of the index used in the calculation of the options;

[0184]K。 [0184] K. 表示Z+1个期权中的最低履约; Z + 1 Ge option represents the lowest compliance;

[0185] &表示Z+1个期权中的第i个最高履约; [0185] Z + 1 & represents one option in the i-th highest compliance;

[0186]Kz表示Z+1个期权中的最高履约; [0186] Kz Z + 1 th represents the highest performance option;

Figure CN105339973AD00223

[0187] 对于i彡1 并且ΔΚ〇= (Κ「Κ。),ΔΚζ=(Κζ-Κζ 〇; :, (. Κ "Κ) [0187] 1 and for i San ΔΚ〇 =, ΔΚζ = (Κζ-Κζ square;:,

[0188] 如果价格在时间t时是可观察的,则Ft (TD,ΤΝ)是在政府债券衍生合同成为在TD 时满期的认沽和认购期权的标的的时间t时的价格,其中标的政府债券在1;时到期; [0188] If the price at time t is observable, then Ft (TD, ΤΝ) in government bond derivatives contracts as the price at expiration on the subject of the put and call options t in TD during which the subject government bonds 1; expires;

[0189] 如果价格在时间t时是不可观察的,则Ft (TD,TN)是认沽和认购价格之间的差异最小时的履约; [0189] If the price at time t is not observable, the Ft (TD, TN) is considered the minimum difference in compliance between the subscription price and sell;

[0190] 如果存在以Ft (TD,TN)履约的期权,则ΐς等于Ft (TD,TN); [0190] If Ft (TD, TN) compliance option exists, ΐς equal Ft (TD, TN);

[0191] 如果不存在以Ft (TD,TN)履约的期权,则ΐς是低于Ft (TD,TN)的第一可用履约; [0191] If Ft (TD, TN) compliance option does not exist, the first available ΐς compliance below Ft (TD, TN); and

[0192]Pt(T)是在T时到期的零息票不可违约的债券的时间t时的价格; [0192] Pt (T) is the price at the time of expiration T is not zero coupon bonds default time T;

[0193]Putt%,t,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在!;时到期的标的债券的认沽期权的时间t时的价格; [0193] Putt%, t, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the underlying government bond derivatives and when the TD;! Put Option expires when the underlying bond the price at time t;

[0194]CalltdT,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在!;时到期的标的债券的认购期权的时间t时的价格;以及 [0194] CalltdT, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the underlying government bonds and derivatives in the TD at the time;! Call Option of the underlying bond due at the time of time t price; and

[0195]GB_VIbp (t,T,TD,TN)是基于在TD时满期的政府债券衍生和在T#寸到期的标的债券的、在T时满期的期权所计算出的时间t时的政府债券波动率指数的值。 [0195] GB_VIbp (t, T, TD, TN) is based on the expiration of the TD when government bonds and derivatives at T #-inch maturity of the underlying bond, and when the expiration of options calculated at time t when T the value of government bonds VIX.

[0196] 在非临时性计算机可读存储介质的一些实施例中,当不存在时间T时的应计息票时,根据下面的等式在时间t时计算出政府债券波动率指数 [0196] In some embodiments, the non-transitory computer-readable storage medium, when the accrued coupon does not exist at time T, is calculated according to the following equation VIX government bond at time t

Figure CN105339973AD00231

[0200]并且,当存在在时间T时的应计息票和在时间\时应付的下一个息票时,根据下面的等式在时间t时计算出政府债券波动率指数 [0200] and, when present in a time T accrued coupon deal of time and under \ when a coupon, in accordance with the following equation to calculate the government bond VIX at time t

Figure CN105339973AD00232

[0209]t表示计算政府债券波动率指数的时间; [0209] t represents the calculation of government bonds VIX time;

[0210]T表示政府债券衍生的期权的满期的时间; [0210] T represents the period of time over government bonds derived from options;

[0211] \是在T时或之后的第一息票支付; [0211] \ coupon is paid after the first time or T;

[0212]TD表示成为期权的标的的政府债券衍生的到期的时间,其中TD多T; [0212] TD represents the option to become the subject of government bonds derived time expires, where the multi-TD T;

[0213] 1;表示政府债券的满期的时间; [0213] 1; represents the time of the expiration of government bonds;

[0214]Z+1表示在指数计算中所使用的期权的总数量; [0214] Z + 1 represents the total number of the index used in the calculation of the options;

[0215]K。 [0215] K. 表示Z+1个期权中的最低履约; Z + 1 Ge option represents the lowest compliance;

[0216] &表示Z+1个期权中的第i个最高履约; [0216] Z + 1 & represents one option in the i-th highest compliance;

[0217]Kz表示Z+1个期权中的最高履约; [0217] Kz Z + 1 th represents the highest performance option;

[0218]对于i彡1 [0218] For i San 1

Figure CN105339973AD00241

牛且ΔK〇= (K「Κ。),ΔΚζ=(Κζ-Κζ 〇; (. K "Κ) cattle and ΔK〇 =, ΔΚζ = (Κζ-Κζ billion;

[0219] 如果价格在时间t时是可观察的,则Ft (TD,ΤΝ)是在政府债券衍生合同成为在TD 时满期的认沽和认购期权的标的的时间t时的价格,其中标的政府债券在1;时到期; [0219] If the price at time t is observable, then Ft (TD, ΤΝ) in government bond derivatives contracts as the price at expiration on the subject of the put and call options t in TD during which the subject government bonds 1; expires;

[0220] 如果价格在时间t时是不可观察的,则Ft (TD,TN)是认沽和认购价格之间的差异最小时的履约; [0220] If the price at time t is not observable, the Ft (TD, TN) is considered the minimum difference in compliance between the subscription price and sell;

[0221] 如果存在以Ft (TD,TN)履约的期权,则K*等于Ft (TD,TN); [0221] If Ft (TD, TN) compliance option exists, it is equal to K * Ft (TD, TN);

[0222] 如果不存在以Ft (TD,TN)履约的期权,则L是低于Ft (TD,TN)的第一可用履约; [0222] If Ft (TD, TN) compliance option does not exist, then L is less than the first available compliance Ft (TD, TN); and

[0223]Pt(T)是在T时到期的零息票不可违约的债券的时间t时的价格; [0223] Pt (T) is the price at the time of expiration T is not zero coupon bonds default time T;

[0224]Putt%,t,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在!;时到期的标的债券的认沽期权的时间t时的价格; [0224] Putt%, t, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the underlying government bond derivatives and when the TD;! Put Option expires when the underlying bond the price at time t;

[0225]CalltO^,T,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在!;时到期的标的债券的认购期权的时间t时的价格; [0225] CalltO ^, T, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the underlying government bonds and derivatives in the TD at the time;! Call Option expires when the underlying bond the price at time t;

[0226]N表示政府债券的息票支付的总数量; [0226] N represents the total number of coupon payments on government bonds;

[0227] (^表示政府债券的N个息票之中的第i个息票的量; [0227] (^ denotes the i th coupon amount among the N coupon government bonds;

[0228]η表示政府债券的每年的息票支付的频率; [0228] η represents the frequency of coupon payments each year government bonds;

[0229]y表示政府债券的收益; [0229] y represents the government bond yield;

[0230]X表示政府债券的收益; [0230] X represents government bond yield;

[0231] 卢〇^是对应于附息政府债券的债券收益的债券价格; [0231] ^ Lu billion corresponding to interest-bearing bond prices bond yields of government bonds;

[0232]./W(>〇是的函数逆; [0232] ./ W (> is a function of the inverse square;

[0233] 是对应于附息政府债券的债券收益的时间T时的债券价格; [0233] bond prices corresponding to the interest-bearing bonds yielding government bonds when the time T;

[0234] #;.;(、r)是為(X:)的函数逆; [0234] #;.; (, R) is the inverse function of (X :) of;

[0235]dc(year)是基于用于政府债券的天计数惯例的一年中的天的数量; [0235] dc (year) based on the number of days used in the practice of the government bond counting day of the year;

[0236]dc(Τ-t)是基于用于政府债券的天计数惯例的t和T之间的天的数量; [0236] dc (Τ-t) based on the number of days between the day count for the practice of government bonds and T t;

[0237] 仏)是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的基点收益波动率的政府债券波动率指数的值; [0237] Fo) is in accordance with the government, point earnings volatility at the time of expiration of options calculated at time t T based upon the expiration of the TD due and government bond derivatives in TN when the underlying bond debt VIX value;

[0238]GB_VIbp (t,T,TD,TN)是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的基点价格波动率的政府债券波动率指数的值;以及 [0238] GB_VIbp (t, T, TD, TN) is based on the expiration of the time t according to the TD when government bond derivatives and expires in TN when the underlying bonds in T when the expiration of the option calculated time the value of government bonds VIX volatility of the price point; and

[0239] GB-VI(t,T,TD,TN)是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的百分比价格波动率的政府债券波动率指数的值。 [0239] GB-VI (t, T, TD, TN) is based in accordance with the expiration of the time TD and government bonds derived maturity of the underlying bond at the time TN, the expiration of the time T calculated time option the value of government bonds VIX percentage price volatility at the time of t.

[0240] 在非临时性计算机可读存储介质的一些实施例中,根据下面的等式在时间t时计算出政府债券波动率指数: [0240] In some embodiments, the non-transitory computer-readable storage medium, according to the following equation to calculate the government bond VIX at time t:

[0241] [0241]

Figure CN105339973AD00251

[0248] 其中: [0248] wherein:

[0249] t表示计算政府债券波动率指数的时间; [0249] t represents the calculation of government bonds VIX time;

[0250] T表示政府债券衍生的期权的满期的时间; [0250] T represents the period of time over government bonds derived from options;

[0251] TD表示成为期权的标的的政府债券衍生的到期的时间,其中TD彡T; [0251] TD represents the time expires become the subject of options of government bond derivatives, in which TD Pie T;

[0252] 1;表示政府债券的满期的时间; [0252] 1; represents the time of the expiration of government bonds;

[0253] Z+1表示在指数计算中所使用的期权的总数量; [0253] Z + 1 represents the total number of the index used in the calculation of the options;

[0254] K。 [0254] K. 表示Z+1个期权中的最低履约; Z + 1 Ge option represents the lowest compliance;

[0255] &表示Z+1个期权中的第i个最高履约; [0255] Z + 1 & represents one option in the i-th highest compliance;

[0256] Kz表示Z+1个期权中的最高履约; [0256] Kz Z + 1 th represents the highest performance option;

[0257]对于i彡1, [0257] For i San 1,

Figure CN105339973AD00261

并且Δ K0= (K fK。),Δ Kz= (K Ζ_ΚΖ !); And Δ K0 = (K fK.), Δ Kz = (K Ζ_ΚΖ!);

[0258] 如果价格在时间t时是可观察的,则Ft (TD,ΤΝ)是在政府债券衍生合同成为在TD 时满期的认沽和认购期权的标的的时间t时的价格,其中标的政府债券在1;时到期; [0258] If the price at time t is observable, then Ft (TD, ΤΝ) in government bond derivatives contracts as the price at expiration on the subject of the put and call options t in TD during which the subject government bonds 1; expires;

[0259] 如果价格在时间t时是不可观察的,则Ft (TD,TN)是认沽和认购价格之间的差异最小时的履约; [0259] If the price at time t is not observable, the Ft (TD, TN) is considered the minimum difference in compliance between the subscription price and sell;

[0260] 如果存在以Ft (TD,TN)履约的期权,则K*等于Ft (TD,TN); [0260] If Ft (TD, TN) compliance option exists, it is equal to K * Ft (TD, TN);

[0261] 如果不存在以Ft (TD,TN)履约的期权,则ΐς是低于Ft (TD,TN)的第一可用履约; [0261] If Ft (TD, TN) compliance option does not exist, the first available ΐς compliance below Ft (TD, TN); and

[0262] Pt(T)是在T时到期的零息票不可违约的债券的时间t时的价格; [0262] Pt (T) is the price at the time of expiration T is not zero coupon bonds default time T;

[0263]Putt%,t,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在!;时到期的标的债券的认沽期权的时间t时的价格; [0263] Putt%, t, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the underlying government bond derivatives and when the TD;! Put Option expires when the underlying bond the price at time t;

[0264] Calltd T,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在!;时到期的标的债券的认购期权的时间t时的价格; [0264] Calltd T, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the TD when the subject of government bonds and derivatives in;! Call option expires when the underlying bond at time t when the price;

[0265]N表示政府债券的息票支付的总数量; [0265] N represents the total number of coupon payments on government bonds;

[0266] (^表示政府债券的N个息票之中的第i个息票的量; [0266] (^ denotes the i th coupon amount among the N coupon government bonds;

[0267]η表示政府债券的每年的息票支付的频率; [0267] η represents the frequency of coupon payments each year government bonds;

[0268] X表示政府债券的收益; [0268] X represents government bond yield;

[0269] /丨_(λ')是对应于附息政府债券的债券收益的债券价格; [0269] / Shu _ (λ ') corresponding to the attached coupon bonds government bond yield bond prices;

[0270] 汽知)是Λ(:办的函数逆; [0270] Vapor-known) is Λ (: Inverse run function;

[0271]dc(year)是基于用于政府债券的天计数惯例的一年中的天的数量; [0271] dc (year) is based on the number of days for government bonds count convention days of the year;

[0272]dc(Τ-t)是基于用于政府债券的天计数惯例的t和T之间的天的数量; [0272] dc (Τ-t) based on the number of days between the day count for the practice of government bonds and T t;

[0273] \是在T时或之后的第一息票支付; [0273] \ coupon is paid after the first time or T;

[0274] 是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的基点收益波动率的政府债券波动率指数的值; [0274] volatility of government bonds, return volatility point when the expiration of options calculated at time t T based upon the expiration of the TD due and government bond derivatives in accordance with the underlying bond when TN the value of the index;

[0275]GB_VIbp (t,T,TD,TN)是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的基点价格波动率的政府债券波动率指数的值; [0275] GB_VIbp (t, T, TD, TN) is based on the expiration of the time t according to the TD when government bond derivatives and expires in TN when the underlying bonds in T when the expiration of the option calculated time the value of government bonds VIX volatility of the price point;

[0276]GB-VI(t,T,TD,TN)是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的百分比价格波动率的政府债券波动率指数的值。 [0276] GB-VI (t, T, TD, TN) is based in accordance with the expiration of the time TD and government bonds derived maturity of the underlying bond at the time TN, the expiration of the time T calculated time option the value of government bonds VIX percentage price volatility at the time of t.

[0277] 在非临时性计算机可读存储介质的一些实施例中,至少一个处理器还被使得:基于政府债券波动率指数来创建标准化的交易所交易衍生工具;以及传送关于标准化的交易所交易衍生的数据。 [0277] Some embodiments readable non-transitory storage medium in a computer, the at least one processor is further such that: to create standardized exchange-traded derivatives based on government bond VIX; and transmitting on standardization of exchange traded derived data.

[0278] 在非临时性计算机可读存储介质的一些实施例中,传送关于标准化的交易所交易衍生的数据包括传送关于标准化的交易所交易衍生工具的结算价格、出价价格、报价价格、 或交易价格中的一个或多个的数据。 [0278] Some embodiments readable storage medium in a non-transitory computer, transmitting data on the standardization of exchange traded derivative comprises transmitting settlement price on the standardization of exchange traded derivatives, bid price, bid price, trading or price data of one or more.

[0279] 前述内容是本发明的非限制性概要,其一些实施例由所附的权利要求定义。 [0279] The foregoing is a non- limiting summary of the invention, some embodiments thereof defined by the appended claims.

附图说明 BRIEF DESCRIPTION

[0280]图1是金融交易所的计算机化的交易系统; [0280] FIG. 1 is a computerized financial exchange trading system;

[0281] 图2是金融交易所的后端交易系统; [0281] FIG. 2 is a financial back-end Exchange trading system;

[0282]图3是计算基点GB价格波动率指数的方法的流程图; [0282] FIG. 3 is a flowchart of a method of calculating the price point VIX GB;

[0283] 图4是计算百分比GB价格波动率指数的方法的流程图; [0283] FIG. 4 is a flow chart to calculate the percentage price GB VIX method;

[0284] 图5是可以经由要被定制或专用化的计算机硬件或软件修改以便适合于在金融交易所计算机化的交易系统中使用的通用计算机系统的图表; [0284] FIG. 5 can be modified to customize or via dedicated hardware or software for a computer to fit the chart general purpose computer system for use in financial transactions computerized trading system;

[0285]图6是计算基点GB收益波动率指数的方法的流程图;以及 [0285] FIG. 6 is a flowchart of a method of calculating the base point return VIX GB; and

[0286]图7是计算修改的基于持续时间的基点GB收益波动率指数的方法的流程图。 [0286] FIG. 7 is a flowchart of a base point return VIX GB calculation based on the duration of the modification.

具体实施方式 Detailed ways

[0287] 本发明的一些实施例可以被实现在金融交易系统和/或其他已知的金融产业系统(无论是现在已知还是今后开发的)上。 Some embodiments [0287] The present invention can be implemented in financial trading systems and / or other known financial industry system (whether now known or hereafter developed). 典型地,金融交易系统和其他已知的金融产业系统利用计算机硬件(例如,客户端和服务器计算机,其可以包括计算机处理器、存储器、储存、输入和输出设备以及计算机系统的其他已知组件;电子通信设备,诸如电子通信线路、 路由器、交换机等;电子信息存储系统,诸如附接网络的储存和储存区域网络)和计算机软件(亦即使计算机硬件以特定的方式发挥功能的指令)的组合来实现所期望的系统性能。 Typically, a financial transaction system and other systems known in the financial industry using computer hardware (e.g., the client and server computers, which may comprise a computer processor, memory, storage, input and output devices, and other known components of the computer system; electronic communications device, such as an electronic communication lines, routers, switches and the like; a combination of electronic information storage systems, such as storage and storage area network attached network) and computer software (also even if the computer hardware to play instructions function in a particular manner) to to achieve the desired system performance. 应当注意的是,金融交易系统可以是场内公开叫价系统、纯粹的电子系统或者场内公开叫价系统和纯粹的电子系统的某种组合。 It should be noted that the financial transaction system may be the venue open outcry system, purely electronic system or some combination of open outcry floor price system and purely electronic systems.

[0288] 图1例示可以用于创建和分发基于GB期货期权的指数(诸如GB波动率指数)和/或创建、列出和交易基于GB期货期权指数的衍生合同的电子交易系统100。 [0288] FIG 1 illustrates be used to create and distribute GB-based index futures options (such as GB VIX) and / or create, list, and transaction-based electronic trading system derived index futures and options contracts of 100 GB. 本领域技术人员将容易理解到在下面详细描述的系统100将如在上面的段落中所描述的那样地利用计算机硬件和软件组合来实现。 Those skilled in the art will readily appreciate that the system 100 is described in detail below will be achieved as the use of computer hardware and software combinations in the paragraph above described. 将意识到,所描述的系统可以实现下面描述的方法。 It will be appreciated, the described system may be implemented the method described below.

[0289]系统100包括由交易所操作的组件以及由访问交易所以进行交易的其他人操作的组件。 [0289] System 100 includes a component operated by the Exchange and trading by the access component so other people were trading operations. 在虚线内示出的组件是由交易所操作的那些组件。 Illustrated components are those components within a dashed line by the exchange operation. 在虚线外部的组件由其他人操作,但是行使职责的交易所的操作所需要的。 Operated by other people outside the dotted line components, but the functioning of the exchange operation required. 交易系统100的交易所组件122包括电子交易平台120、成员接口108、匹配引擎110以及后端系统112。 Exchange assembly 122 comprises a trading system 100. The trading platform 120, the interface member 108, the matching engine 110 112 and back-end systems. 不由交易所操作但是处理交易和结算合同所必须的后端系统是结算公司系统114和会员公司后端系统116。 Could not help but deal with exchange trading and clearing operation contracts must be back-end systems are clearing company systems 114 and 116 members of the company's backend system.

[0290] 做市商(marketmaker)可以直接通过与成员接口108通信的个人输入设备104 来访问交易平台120。 [0290] maker (Marketmaker) can directly access the trading platform 120 through the communication interface 108 and the individual members of the input device 104. 做市商可以提出本发明的衍生合同(例如,GB波动率指数衍生合同) 的价格。 Derivative contracts market makers can be made of the invention (e.g., GB derivative contracts VIX) price. 然而,非成员顾客102必须通过会员公司(memberfirm)来访问交易所。 However, the non-member constituencies 102 must be accessed by members of the Exchange Company (memberfirm). 顾客订单通过会员公司路由系统106来路由。 Customer orders routed through 106 member companies routing system. 会员公司路由系统106将订单经由成员接口108转发给交易所。 Member companies via the order routing system 106 will be forwarded to the Exchange member interfaces 108. 成员接口108管理会员公司路由系统106和做市商的个人输入设备104之间的所有通信;确定订单是否可以被交易平台处理;以及确定处理订单的适当的匹配引擎。 Interface member 108 manages the routing system 106 member companies and individual market makers all communications between the input device 104; matching engine and determining the appropriate processing order; determining whether the order can be processed trading platform. 虽然在系统100中仅示出单个匹配引擎110,但是交易平台120可以包括多个匹配引擎。 Although only a single matching engine 100 in the system 110, trading platform 120 may include a plurality of matching engine. 不同的交易所交易的产品可以被分配给不同的匹配引擎以便交易的高效执行。 Different exchange-traded products can be assigned to different matching engine in order to execute transactions efficiently. 当成员接口102 接收到来自会员公司路由系统106的订单时,成员接口108确定适当的匹配引擎110以便处理订单,并且将订单转发给该适当的匹配引擎。 When the interface members 102 to the order received from member companies of the routing system 106, the interface 108 determines the appropriate member of matching engine 110 for processing the order and forwards the order to the appropriate matching engine. 匹配引擎110通过配对对应的可买卖的买入/卖出订单来执行交易。 Matching engine 110 by buying the corresponding pair can be traded / sell orders to execute the transaction. 不可买卖的订单被放置在电子订单薄中。 Trade order is not placed in the electronic order book.

[0291]当执行订单时,匹配引擎110将所执行的交易的细节发送给交易所后端系统112、 结算公司系统114以及会员公司后端系统116。 [0291] When performing the order, the matching engine 110 to send details of the transaction executed by the backend system 112 to the exchange, the clearing house system back-end systems 114 and 116 members of the company. 匹配引擎还更新订单簿以基于所执行的交易来反映市场中的变化。 Matching engine also updates the order book based on transaction executed to reflect changes in the market. 先前不可买卖的订单可能由于市场中的变化而变得可买卖。 Previously unavailable trading orders may be due to changes in the market and become tradable. 如果是这样,则匹配引擎110还执行这些订单。 If so, then the matching engine 110 also execute these orders.

[0292] 交易所后端系统112执行许多不同的功能。 [0292] Exchange backend system 112 performs many different functions. 例如,合同规定和列出数据由交易所后端系统112发起。 For example, the contract and list data initiated by the Exchange back-end systems 112. 本发明的GB期货期权指数(例如在下面描述的GB波动率指数)和与本发明的指数相关联的衍生合同的定价信息从交易所后端系统分发给市场数据供应商118。 GB index futures and options pricing information according to the present invention (e.g. GB VIX described below) associated with the index associated with the present invention are derived from the exchange contract backend system distributed data provider 118 markets. 顾客102、做市商104以及其他人可以例如经由专有网络、在线服务等来访问关于本发明的指数以及基于本发明的指数的衍生合同的市场数据。 Customer 102, makers 104, and others can be accessed, for example, according to the present invention and the index data on the market contract based on an index derived from the present invention via a proprietary network, online services.

[0293] 交易所后端系统还评估本发明的衍生合同所基于的标的资产或多个资产。 [0293] back-end system further exchanges underlying asset evaluation derivative contracts or more assets of the present invention is based. 在满期时,后端系统112确定适当的结算量并且将最终的结算数据提供给结算公司114。 During expiration, the backend system 112 to determine the appropriate amount and the final settlement billing data to the billing company 114. 结算公司114充当交易所的银行,并且基于由会员公司的顾客所取得的头寸对会员公司盈余账户执行最终的按市价调整。 114 Exchange Clearing Corporation acts as a bank, and based on the position by the member company's customers made in the implementation of the member companies account surplus final adjustments at market prices. 最终的按市价调整反映本发明的衍生合同以及相应的结算公司借方/贷方会员公司的帐户的最终结算量。 The final amount of the final settlement price adjusted for derivative contracts reflect the present invention and the corresponding settlement company debit / credit member's account. 这些数据也被转发给会员公司系统116,使得他们也可以更新他们的顾客账户。 These data can also be forwarded to the system 116 member companies, so that they can update their customer account.

[0294] 图2示出用于创建和分发本发明的指数(例如GB波动率指数)和/或创建、列出和交易基于本发明的指数的衍生合同的交易所后端系统112的实施例。 [0294] FIG. 2 shows an index creating and distributing the present invention (e.g. GB VIX) and / or created, the transaction list, and embodiments of the backend system derived exchange contracts based on the index of the present invention 112 . 本发明的衍生合同具有在模块202中存储的、包含与要在交易平台120上交易的衍生合同有关的所有相关数据(例如包括合同符号、与衍生相关联的标的资产或多个资产的规定或者与衍生相关联的计算期的限期)的规定。 Derivative contracts in the present invention has a storage module 202, contains all the relevant data relating to derivative contracts traded on the trading platform 120 (e.g., a predetermined symbol including a contract with a plurality of underlying asset or assets associated with or derived and calculation of a predetermined period derived associated with) a. 定价数据聚集和分发模块204接收来自衍生合同规定模块202的合同信息以及来自匹配引擎110的交易数据。 Distribution and pricing data aggregation module 204 receives contract information from the contract module 202 is derived from the transaction data and matching engine 110. 定价数据聚集和分发模块204将关于公开出价和报价的市场数据以及最近的交易提供给市场数据供应商118。 Pricing data aggregation and distribution module 204 will be on public bid and offer market data and recent transactions available to the market data provider 118. 定价数据聚集和分发模块204还将交易数据转发给结算公司114,使得结算公司114可以在每个交易日的结束时考虑本发明的衍生合同的当前市场价格来按市价调整会员公司的账户。 Forward pricing data aggregation and distribution module 204 also transaction data to clearing houses 114, 114 so that clearing firms may consider the current market price of derivative contracts according to the invention at the end of each trading day to adjust the member's account at market price. 最后,结算计算模块206接收来自衍生监视模块208的输入。 Finally, billing calculation module 206 receives input 208 derived from the monitoring module. 在结算日,结算计算模块206基于与标的资产或多个资产相关联的值(例如GB波动率指数的值)来计算结算量。 Settlement date, settlement amount calculation 206 is calculated based on the settlement value (e.g. value VIX GB) or more of the underlying assets associated with the asset module. 结算计算模块206将结算量转发给结算公司114,结算公司114对会员公司的账户执行最终的按市价调整以结算本发明的衍生合同。 Forwarding billing module 206 calculates an amount of settlement to the settlement company 114, the clearing house 114 performs the member's account in the final mark to market clearing derivative contracts present invention.

[0295] 参照图5,示出可以用于在图1中示出的或者在被配置为执行在下面更详细地描述的方法的任何其他交易系统中的一个或多个组件的通用计算机系统的示例性实施例,并将其标记为500。 [0295] Referring to FIG. 5, may be used is shown in Figure 1 is shown a general purpose computer system or one or more components in any other transaction system is configured to perform the method described in more detail in the exemplary embodiment, and marked as 500. 计算机系统500可以包括一组指令,该组指令可以被执行以使计算机系统500执行基于在本文中描述的功能的方法或计算机中的任何一个或多个。 The computer system 500 may include a set of instructions, the set of instructions may be executed to cause the computer system 500 to perform any one or more of the methods or computer based functions described herein. FIG. 计算机系统500 可以作为单独的设备来操作或者可以例如使用网络连接到其他计算机系统或外围设备。 The computer system 500 may operate as a standalone device or may be, for example, using a network connection to other computer systems or peripheral devices.

[0296] 在连网的布置中,计算机系统可以在服务器-客户端用户网络环境中以服务器的能力或作为客户端用户计算机来操作,或者可以作为端对端(或分布式)网络环境中的对等端计算机系统。 [0296] In a networked arrangement, the computer system may be a server - client user network environment, or ability of the server as a client user computer to operate, or may be used as end to end (or distributed) network environment peer computer system. 计算机系统500还可以被实现为或者被并入到各种设备中,诸如个人计算机("PC")、平板PC、机顶盒("STB")、个人数字助理("PDA")、移动设备、掌上型计算机、桌面计算机、网络路由器、交换机或桥接器或者能够执行指定将由机器执行的动作的一组指令(顺序的或者其他方式)的任何其他机器。 The computer system 500 may also be implemented as or incorporated into various devices, such as personal computers ( "PC"), a tablet PC, a set top box ( "STB"), a personal digital assistant ( "PDA"), a mobile device, a palmtop a set of instructions (sequential or otherwise) of the computer, a desktop computer, a network router, switch or bridge, or can perform the operation specified by the machine to perform any other machine. 在具体实施例中,计算机系统500可以使用提供声音、视频或数据通信的电子设备来实现。 In a particular embodiment, computer system 500 may be used to provide voice, video or data communication the electronic device is achieved. 另外,虽然例示单个计算机系统500,术语"系统"应当被视为包括单独地或者联合地执行一组或多组指令以执行一个或多个计算机功能的系统或子系统的任何集合。 Further, while a single computer system 500 is illustrated, the term "system" should be taken to include individually or jointly execute one or more sets of instructions to perform any collection of systems or subsystems of one or more computer functions.

[0297] 如图5所示,计算机系统500可以包括处理器502,诸如中央处理单元("CPU")、 图形处理单元("GPU")或这两者。 As shown in [0297] FIG. 5, computer system 500 may include a processor 502, such as a central processing unit ( "CPU"), graphics processing unit ( "GPU"), or both. 而且,计算机系统500可以包括可以经由总线508相互通信的主存储器504和静态存储器506。 Moreover, computer system 500 may include a main memory 504 may be a static memory 506, and communicate with each other via a bus 508. 如所示那样,计算机系统500还可以包括视频显示单元510,诸如液晶显示器("IXD")、有机发光二极管("0LED")、平板显示器、固态显示器或阴极射线管("CRT")。 As shown, computer system 500 may further include a video display unit 510, such as a liquid crystal display ( "IXD"), organic light emitting diodes ( "0LED"), a flat panel display, a solid state display, or a cathode ray tube ( "CRT"). 另外,计算机系统500可以包括诸如键盘这样的输入设备512以及诸如鼠标这样的光标控制设备514。 Additionally, computer system 500 may include such input devices such as a keyboard 512 and a mouse 514 such as cursor control device. 计算机系统500还可以包括盘驱动单元516、诸如扬声器或远程控制器这样的信号生成设备518以及网络接口设备520。 The computer system 500 may also include a disk drive unit 516, such as a signal generating device 518 and a network interface device 520 or the speaker of the remote controller.

[0298] 在具体实施例中,如图5所示,盘驱动单元516可以包括计算机可读介质522,其中可以实施例如软件这样的一组或多组指令524。 [0298] In a particular embodiment, shown in Figure 5, the disk drive unit 516 may include a computer-readable medium 522, which may be implemented, for example, such as one or more sets of instructions 524 software. 另外,指令524可以实施如在本文中所描述的一个或多个方法或逻辑。 In addition, instructions 524 may be implemented as one or more of the methods or logic as described herein. 在具体实施例中,指令524可以在由计算机系统500执行的期间完全地或者至少部分地常驻在主存储器504、静态存储器506内和/或处理器502内。 In a particular embodiment, the instructions 524 can be completely or at least partially resident in the main memory 504, static memory 506 and / or processor 502 during execution by the computer system 500. 主存储器504和处理器502也可以包括计算机可读介质。 Main memory 504 and processor 502 may also include computer-readable media.

[0299] 在替代的实施例中,可以构造诸如专用集成电路、可编程逻辑阵列以这样的专用硬件实现方式以及其他硬件设备来实现在本文中描述的一个或多个方法。 [0299] In an alternative embodiment, it may be configured as application specific integrated circuits, programmable logic arrays such dedicated hardware implementations, and other hardware devices to implement one or more of the methods described herein. 可以包括不同实施例的装置和系统的应用可以宽泛地包括各种电子和计算机系统。 Applications that may include the apparatus and systems of various embodiments may broadly include a variety of electronic and computer systems. 在本文中描述的一个或多个实施例可以使用两个或多个特定互连的硬件模块或设备以及可以在模块之间或通过模块通信或作为专用集成电路的一部分的相关控制和数据信号来实现功能。 One or more embodiments described herein, embodiments may use two or more specific interconnected hardware modules or devices and may be between a communication module or modules related control and data signals as part of the application specific integrated circuit or be realized Features. 因此,本系统包含软件、固件和硬件实现方式。 Therefore, the system includes software, firmware, and hardware implementations.

[0300] 根据本公开的不同的实施例,在本文中描述的方法可以通过可由计算机系统执行的软件程序来实现。 [0300] According to various embodiments of the present disclosure, software programs methods described herein may be performed by implemented by a computer system. 另外,在示例性的、非限制性的实施例中,实现方式可以包括分布式处理、组件/对象分布式处理和并行处理。 Further, in an exemplary, non-limiting embodiment, implementations can include distributed processing, component / object distributed processing, and parallel processing. 替代地,可以构造虚拟计算机系统以实现在本文中描述的一个或多个方法或功能。 Alternatively, virtual computer system configured to implement one or more of the methodologies or functions described herein.

[0301] 本公开想到一种计算机可读介质,其包括指令524或者响应于传播的信号来接收和执行指令524,使得连接到网络526的设备可以在网络526上通信声音、视频或数据。 [0301] The present disclosure contemplates a computer-readable medium that includes instructions 524 or in response to a signal propagation to receive and execute instructions 524, so that a device connected to a network 526 may communicate voice, video or data over the network 526. 另外,指令524可以经由网络接口设备520在网络526上传送或接收。 In addition, instructions 524 may be transmitted or received over a network 526 via network device 520 interfaces.

[0302] 虽然将计算机可读介质示为单个介质,但是术语"计算机可读介质"包括单个介质或多个介质,诸如存储一组或多组指令的集中式或分布式数据库和/或相关联的缓存和服务器。 [0302] Although shown as a single computer-readable medium medium, the term "computer readable medium" includes a single medium or multiple media, such as a centralized or distributed database set or sets of instructions and / or associated storage caches and servers. 术语"计算机可读介质"还将包括能够存储、编码或携带用于由处理器执行或者使计算机系统执行在本文中公开的方法或操作的任何一个或多个的一组指令的任何介质。 The term "computer-readable medium" includes also capable of storing, encoding or carrying any medium for any one or more of a set of instructions executed by a processor cause a computer system to perform a method or disclosed herein, or operated.

[0303] 在具体的、非限制性的、示例性的实施例中,计算机可读介质可以包括诸如存储卡这样的固态存储器或者容纳一个或多个非易失性只读存储器的其他包。 [0303] In a specific, non-limiting, exemplary embodiment, a computer-readable medium may include a memory card such as a solid-state memory, or receiving a packet or more other non-volatile read-only memory. 另外,计算机可计介质可以是随机存取存储器或其他易失性可重写存储器。 Additionally, a computer medium may count may be random access memory or other volatile re-writable memory. 另外,计算机可读介质可以包括磁光或光介质,诸如盘或带或其他存储设备,以捕捉通过传送介质通信的信息。 Further, the computer-readable medium can include a magneto-optical or optical medium, such as a disk or tape or other storage device to capture information delivery media through communications. 电子邮件的数字文件附件或其他自包含信息归档或归档的集合可以被视为等同于有形存储介质的分布介质。 Digital file attachment to email or other self-contained information archive or set of archives may be considered a distribution medium equivalent to a tangible storage medium. 因此,本公开被视为包括可以存储数据或指令的计算机可读介质或分布式介质以及其他等效物和后续介质中的任何一个或多个。 Accordingly, the present disclosure is to be considered as any one or more may store data or instructions comprising a computer-readable medium or a distribution medium and other equivalents and successor media.

[0304] 虽然本说明书描述可以参照在投资管理公司中通用的具体标准和协议以具体的实施例来实现的组件和功能,但是本发明不限于这些标准和协议。 [0304] Although the present specification describes in general may refer to the investment management company standards and protocols specific to particular components and functions implemented in the embodiments, but the present invention is not limited to such standards and protocols. 例如,因特网和其他包交换网络传送(例如,11^/1?、1]〇?/1?、!^1^、!111?)的标准表示本领域现有技术的示例。 Standard e.g., the Internet and other packet switched network transmission (e.g., 11 ^ / 1?, 1] square? / 1?,!,! ^ 111 ^ 1?) Represent examples of prior art in this field. 这样的标准由具有基本相同功能的更高效的等效物周期性地代替。 Such standards are periodically replaced by a more efficient equivalents having essentially the same functions. 因此,具有与在本文中所公开的那些相同或相似功能的替换标准和协议被视为其等效物。 Thus, having the same or similar functions to those of replacement standards and protocols disclosed herein are considered equivalents thereof.

[0305] 根据一个实施例,提供用于计算和分发GB波动率指数的系统和方法。 [0305] According to one embodiment, there is provided a system and method for calculating and distributing GB VIX. GB波动率指数("GB-VI")可以使用在图1、2和5中示出并且在上面详细描述的系统来计算和分发。 GB VIX ( "GB-VI") can be used in FIGS. 1, 2 and 5, in the system shown and described in detail above is calculated and distributed. 一般地,GB-VI反映用于交付任意期限的GB期货的已实现波动率的合同的公平价值,并且反映任意投资时限内的GB期货价格的预期波动率。 Generally, GB-VI reflect any deadline for delivery of the fair value of GB futures contract realized volatility, and reflect the expected volatility GB futures prices within the time limit any investment. 所述指数还可以被解释为用于交付GB 远期的已实现波动率的合同的公平价值,并且反映任意投资时限内的GB远期价格的预期波动率,因为期货和远期的已实现和预期波动率在指数设计的框架中是数学等同的。 The index also can be interpreted as the fair value of realized volatility of long-term contracts to deliver GB, GB and reflect the expected long-term price volatility of any investment within the time limit, because futures and forward have been achieved and volatility is expected in the framework of the mathematical equivalent of index design. 根据本发明的一些实施例,可以针对存在债券期货(或远期)和债券期货(或远期)期权市场的任何国家和货币中的GB来计算GB-VI。 According to some embodiments of the present invention, GB-VI may be calculated for the presence of any country and currency bond futures (or forward) and bond futures (or forward) options market in GB. 根据本发明的一些实施例,基于与GB期货或远期的期权的市场有关的数据来计算GB-VI。 According to some embodiments of the present invention, based on the data relating to the futures or options GB forward market calculated GB-VI. 例如,GB-VI当前将特别良好地适合于由美国、德国、英国、日本以及其他的政府发行的债券的GB期货(或远期)期权市场。 For example, GB-VI current will be particularly well suited to the United States, Germany, Britain, Japan and other government bonds issued by the GB futures (or forward) options market.

[0306] 根据本发明的一些实施例,针对"波动率表面"上的每个到期-期限组合(亦即, 期权的到期和成为作为期权的标的的期货或远期的标的的债券的期限),通过聚集债券期货的等现值和虚值认沽和认购期权的价格(亦即,期权"偏离"、"波动率偏离")诸如到可能独立于任何期权定价模型的单个公式中来计算GB-VI。 [0306] According to some embodiments of the present invention, for each maturity on "volatility surface" - a combination of period (i.e., expiration and options options become subject bonds as futures or forward of the subject period), the aggregation of the put and bond futures prices and other current call option and imaginary values ​​(i.e., the option "deviation", "departing volatility"), such as to a single equation may be independent of any option pricing model in calculation GB-VI. 这些GB-VI按照基点价格波动率或百分比价格波动率来匹配利率市场中的开价波动率的优势市场实践。 The GB-VI according to percentage point price volatility or price volatility to match the advantages of market practice asking price volatility of interest rates in the market. (除非以其他方式在本文中指出,否则对波动率的提及应当被解释为价格波动率而不是收益波动率)。 (Unless otherwise indicated herein, or reference to volatility should be interpreted as price volatility rather than return volatility). 另外, GB-VI还按照基于从价格波动率到收益波动率的模型无关转换的基点收益波动率(亦即相对于价格波动率)或者修改的基于持续时间的基点收益波动率来提出。 Further, GB-VI in accordance with further return point from the price volatility model based on the volatility of the return volatility independent conversion (i.e., relative to the price volatility) or based on the modified duration return volatility point to raise. 而且,在本文中描述的GB-VI可以反映在波动率表面的每个点处的(亦即,在任何的任意到期和标的期限上) 的GB波动率的期货交付的合同的公平市场价值。 Moreover, GB-VI described herein may be reflected in (that is, on any subject and any maturity period) the fair market value of the futures GB volatility delivery contracts at each point of the volatility surface .

[0307] 与GB市场有关的不确定情况与利率的结构方面的变化有关。 [0307] changes in the structure of interest rates and the uncertainty related to the GB market related. 在数学上,附息政府债券Bt(TN)的价值是 Mathematically, the value of interest-bearing government bonds Bt (TN) is

[0308] [0308]

Figure CN105339973AD00301

[0309] 其中,t是估价日期;Tjie[it,N])是息票支付日期,其中Ί\是在T。 [0309] wherein, t is the date of valuation; Tjie [it, N]) is a coupon payment date, wherein Ί \ is T. 时的发行之后的第一息票支付,',是第一息票日期t,并且ΤΝ是通过偿还本金来进行的最后的息票支付时的债券的到期Α/Ν是在1\时的息票支付;并且Pt (1\)是时间Ί\时的零息票不可拖欠债券到期的时间t时的价格,并且表示GB价格中的不确定性的主要来源。 The first coupon payment after the release time, 'is the first coupon date t, and ΤΝ is due Α bonds during the last coupon carried out by repayment of principal payments / Ν is 1 \ when coupon payments; and Pt (1 \) is the price at the time of zero-coupon at time Ί \ can not be defaulted bonds maturing time t, and represents a major source of uncertainty in the GB price.

[0310] 在GB的远期协定中,一方同意在将来的日期以固定价格向另一方交付GB。 [0310] In GB of long-term agreements, one party agreed to a fixed price GB delivered to the other party at a future date. 在1; 时到期的债券的T时交付的时间t时的远期的价格^(1\TN)由下式给出 1; long term delivery price at the time when the bond of the time T due t ^ (1 \ TN) is given by the following formula

[0311] [0311]

Figure CN105339973AD00311

[0312] 其可以是合同允许卖方从一组多个"可交付的"GB中选取的,在该情况下,标的债券Bt (TN)可以被解释为跟踪"最便宜交付"GB并且按照交易平价或基于某种标题"转换因子"的调整价格提出的价格。 [0312] It may be more than the contract allows the seller from a set of "deliverables" GB selected, in this case, the underlying bond Bt (TN) can be interpreted as tracking "cheapest to deliver" GB and parity in accordance with the transaction or based on a headline price "conversion factor" of price adjustment presented.

[0313] 远期价格是在由下式定义的"远期概率" 下的鞅 [0313] forward price is a martingale by "long-term probability" as defined under the formula

[0314] [0314]

Figure CN105339973AD00312

[0315] 其中,r(s)是时间s时的短期费率,Ιτ表示直至时间T的信息的集合。 [0315] wherein, r (s) is a short-term rate at time s, Ιτ represents a collection of information until the time T.

[0316] 在远期概率下,GB远期价格动态满足 [0316] In the long-term probability, GB meet the long-term price dynamics

[0317] [0317]

Figure CN105339973AD00313

[0318] 其中,@>_〇〇是下的布朗运动,并且vs (Τ,ΤΝ)是瞬间波动率。 [0318] wherein, @> _ thousand and is under Brownian motion, and vs (Τ, ΤΝ) is instantaneous volatility.

[0319] "政府债券方差互换协议"是Α方在时间t时同意在时间Τ时向Β方支付如下量的合同 [0319] "government bonds variance swap agreement" is Α agree to pay the following amounts to the contract at the time Τ Β party at time t

[0320]Vt(T,TN)_S(t,T,TN),T彡TN [0320] Vt (T, TN) _S (t, T, TN), T San TN

[0321] 其中, [0321] wherein,

Figure CN105339973AD00314

邊并且S(t,T,TN)是在时间t时固定的履约, 其具有如下公平价值 Side and S (t, T, TN) is fixed when the performance time t, and which has a fair value

[0322] [0322]

Figure CN105339973AD00315

[0323] 其中,Et是在风险中性概率Q下的期望,并且是在远期概率下的期望,并 [0323] wherein, Et is the risk-neutral probability Q expectations and is desirable in the long term probability, and

Figure CN105339973AD00316

且两个期望是以直至时间t为止的信息为条件取得的。 And both expect based on information up until the time t conditional achieved. 最后一项由具有如下关系的期权来生成 The last one is generated by the option has the following relationship

[0324] [0324]

[0325] 其中,Putt(t,T,TN)是关于具有到期T和标的债券期限1;的GB远期的具有履约K和到期T的欧式认沽期权的价格,并且Callt (t,T,TN)是关于具有到期T和标的债券期限!;的GB远期的具有履约K和到期T的欧式认购期权的价格,其导致公平履约 [0325] wherein, Putt (t, T, TN) is on the underlying bond and has an expiration period T 1; GB having long-term compliance due K and T, European put option price, and Callt (t, T, TN) is about having a maturity term of the underlying bond and T;! GB of long-term compliance with a K and maturity T European call option price, which results in a fair performance

[0326] [0326]

Figure CN105339973AD00317

[0327] 实际上,存在在任何给定时刻交易的履约率的有限集合,并且因此将由如下离散有限求和替换积分: [0327] In fact, there is a finite set of compliance rate at any given moment of the transaction, and therefore will be replaced by the following discrete finite sum Points:

[0328] [0328]

Figure CN105339973AD00321

[0329] 其中,K。 [0329] where, K. 表示Ζ+l个期权中的最低履约;Ki表示Ζ+l个期权中的第i个最高履约; κζ表示Z+1个期权中的最高履约;并且对于i彡1,厂U并且AKf(Ki-K。), ΔΚζ=(Κζ-Κζ1)〇 Represents Ζ + minimum compliance l one option in; of Ki indicates Ζ + l th option in the i-th highest compliance; κζ represents Z + 1 th option the highest performance; and for i San 1, plant U and AKf (Ki -K.), ΔΚζ = (Κζ-Κζ1) square

[0330] 在一些实施例中,"百分比政府债券价格波动率指数"被表示为: [0330] In some embodiments, the "percentage of government bond price volatility index" is expressed as:

Figure CN105339973AD00322

[0338]Eq. (PCT_GBVI) [0338] Eq. (PCT_GBVI)

[0339] 其中,远期调整处理没有以ATM远期价格履约的期权的情况,并且1是低于当前远期价的第一可用履约。 [0339] wherein the process is not long-term adjustments to forward ATM compliance option price, and a current is lower than the first long-term compliance available price. 如果远期价格在时间t时是不可观察的,则Ft(T,TN) 是认沽和认购价格之间的差异最小时的履约。 If the forward price at time t is not observable, the Ft (T, TN) is put performance difference between the minimum and the subscription price.

[0340] 更一般地,对于任何不变的乘数CM [0340] More generally, for any constant multiplier CM

Figure CN105339973AD00323

[0346] 具有远期调整的离散情况:[0347] [0346] case of a forward discrete adjustment: [0347]

Figure CN105339973AD00324

其为 It is

[0341] [0341]

[0342] [0342]

[0343] [0343]

[0344] [0344]

[0345] GB方差交换协定的缩放的公平价值。 [0345] GB variance swap agreements at fair value scaling.

[0348] 以上合同做设计,并且还针对具有比期权稍后的满期的GB远期的期权扩展指数公式,例如: [0348] the above contract to do the design, and also extended index options have long-term formula for GB expire later than the option of, for example:

[0349] [0349]

Figure CN105339973AD00331

[0350] 其中,TD表示成为在T时到期的期权的标的的政府债券远期的到期的时间,其中TD彡T。 [0350] where, TD represents the time expires become the subject of long-term government bond expiring at time T option, which TD San ​​T. 是低于当前远期价格Ft(TD,TN)的第一可用履约。 Is lower than the current forward price Ft (TD, TN) is the first available performance. 如果远期价格在时间t时是不可观察的,则Ft(TD,TN)是认沽和认购价格之间的差异最小时的履约。 If the forward price at time t is unobservable, then Ft (TD, TN) is put performance difference between the minimum and the subscription price.

[0351] "政府债券基点方差交换协议"是A方在时间t时同意在时间T时向B方支付如下量的合同 [0351] "government bonds point variance swap agreement" is as follows A agree to pay the amount of the contract to Party B at time T at time t

[0352] [0352]

Figure CN105339973AD00332

[0353] 其中 [0353] in which

Figure CN105339973AD00333

洳并且Sbp(t,T,TN)是具有如下公平价值的在时间t时固定的履约 Chiu and Sbp (t, T, TN) having the fair value is at a fixed time t compliance

[0354] [0354]

Figure CN105339973AD00334

[0355] 其中,E,'是在以直至时间t为止的信息为条件的在概率下的期望。 [0355] wherein, E, 'is the information until time t until the conditional probability at the desired. 最后一项由具有如下关系的期权来生成 The last one is generated by the option has the following relationship

[0356] [0356]

Figure CN105339973AD00335

[0357] 其中,Putt(t,T,TN)是关于具有到期T和标的债券期限1;的GB远期的具有履约K和到期T的欧式认沽期权的价格,并且Callt (t,T,TN)是关于具有到期T和标的债券期限!;的GB远期的具有履约K和到期T的欧式认购期权的价格,其导致公平履约 [0357] wherein, Putt (t, T, TN) is on the underlying bond and has an expiration period T 1; GB having long-term compliance due K and T, European put option price, and Callt (t, T, TN) is about having a maturity term of the underlying bond and T;! GB of long-term compliance with a K and maturity T European call option price, which results in a fair performance

[0358] [0358]

Figure CN105339973AD00336

[0359] 实际上,存在在任何给定时刻交易的履约率的有限集合,并且因此将由如下离散有限求和替换积分: [0359] In fact, there is a finite set of compliance rate at any given moment of the transaction, and therefore will be replaced by the following discrete finite sum Points:

[0360] [0360]

Figure CN105339973AD00337

[0361] 在一些实施例中,"基点政府债券价格波动率指数"被表示为: [0361] In some embodiments, the "point government bond price volatility index" is expressed as:

[0362] [0362]

Figure CN105339973AD00338

[0363] 连续情况: [0363] Continuous case:

[0364] [0364]

Figure CN105339973AD00339

[0365] 离散情况: [0365] Discrete case:

[0366] [0366]

Figure CN105339973AD00341

[0367] 具有远期调整的离散情况: [0367] the case with forward discrete adjustment:

[0368] [0368]

Figure CN105339973AD00342

[0369] 其为BP GB方差交换协议的缩放的公平价值。 [0369] its exchange agreement for BP GB variance fair value scaling.

[0370] 更一般地,对于任何不变的乘数CM [0370] More generally, for any constant multiplier CM

[0371] [0371]

Figure CN105339973AD00343

[0372] 连续情况: [0372] Continuous case:

Figure CN105339973AD00344

[0373] [0373]

[0374] [0374]

[0375] [0375]

[0376] 具有远期调整的离散情况: [0376] the case with forward discrete adjustment:

[0377] [0377]

Figure CN105339973AD00345

[0378] 以上合同做设计,并且还针对具有比期权稍后的满期的GB远期的期权扩散指数公式,例如: [0378] the above contract to do the design, and also options for GB diffusion index formula has a long-term option later than the expiration of, for example:

[0379] [0379]

Figure CN105339973AD00346

[0380] 其中,TD表示成为在T时到期的期权的标的的政府债券远期的到期的时间,其中TD彡T。 [0380] where, TD represents the time expires become the subject of long-term government bond expiring at time T option, which TD San ​​T. 是低于当前远期价格Ft(TD,TN)的第一可用履约。 Is lower than the current forward price Ft (TD, TN) is the first available performance. 如果远期价格在时间t时是不可观察的,则Ft(TD,TN)是认沽和认购价格之间的差异最小时的履约。 If the forward price at time t is unobservable, then Ft (TD, TN) is put performance difference between the minimum and the subscription price.

[0381] 虽然GB市场中的波动率是通常最多按照价格波动率来测量和交易,但是也可以考虑GB债券期货波动率的另外的公式,即基点收益波动率。 [0381] In addition, although the volatility of formula GB market is the most commonly measured by price volatility and trade, but also consider the GB bond futures volatility that point earnings volatility.

[0382] 定义内在债券价格B* (TN),使得 [0382] defines the inner bond prices B * (TN), such that

[0383]GB_VIbp(t,T,TN) =B*(TN)XGB-VI(t,T,TN) [0383] GB_VIbp (t, T, TN) = B * (TN) XGB-VI (t, T, TN)

[0384] 以及其对应的收益yB>N (TN),使得 [0384] and their corresponding benefits yB> N (TN), such that

[0385] [0385]

Figure CN105339973AD00347

[0386] 并且 [0386] and

[0387] [0387]

Figure CN105339973AD00351

[0388] 或者当存在时间T时的应计息票和在时间t,时应付的下一个息票时, [0388] or when the accrued coupon at present time T and the time t, when the time to cope with a coupon,

[0389] Π. [0389] Π.

Figure CN105339973AD00352

[0390] 其中,dc(year)是基于用于政府债券的天计数惯例的一年中的天的数量,并且dc(Tt)是基于用于政府债券的天计数惯例的t和T之间的天的数量。 [0390] where, dc (year) is based on the number of days of the year government bond for counting day practices, and dc (Tt) is between the count of days for the practice based on government bonds and T t the number of days.

[0391] 然后,在一些实施例中,"基点政府债券收益波动率指数"可以表示为 [0391] Then, in some embodiments, the "point government bond yield volatility index" can be expressed as

[0392] [0392]

Figure CN105339973AD00353

[0393] 或者在存在时间T时的应计息票和在时间\时应付的下一个息票时, [0393] or accrued coupon in the presence of time T and the time payable \ time when a coupon,

[0394] [0394]

Figure CN105339973AD00354

[0395] Eq. (BPY_GBVI) [0395] Eq. (BPY_GBVI)

[0396] 其中,#、)是的函数逆,并且卢;知)是為4>)的函数逆。 [0396] wherein, #,) is the inverse function, and Lu; known) is the inverse function of 4>) of.

[0397] 针对具有比期权稍后的满期的GB远期的期权扩展以上指数公式,例如: [0397] For the expiration of options than later GB long-term extension options above index formula, for example:

Figure CN105339973AD00355

[0398] [0398]

[0399] [0399]

[0400] [0400]

[0401] 其中,TD表示成为在T时到期的期权的标的的政府债券远期的到期的时间,其中TD^T〇 [0401] where, TD represents the time expires become the subject of long-term government bond expiring at time T option, which TD ^ T〇

[0402] 在一些实施例中,"修改的基于持续时间的基点政府债券收益波动率指数"可以定义为: [0402] In some embodiments, "based on the modified duration government bond yield point Volatility Index" can be defined as:

[0403] [0403]

Figure CN105339973AD00356

[0404] Eq. (MDBPY_GBVI) [0404] Eq. (MDBPY_GBVI)

[0405] 其具有在上面的段落中定义的表示。 [0405] which has a passage defined in the above FIG.

[0406] 对于PCT_GBVI、BP_GBVI、BPY_GBV和MDBPY_GBVI,当期权的到期短于标的GB远期时,即T<TD时,可以计算调整限期以考虑到期的差异的影响。 [0406] For PCT_GBVI, BP_GBVI, BPY_GBV and MDBPY_GBVI, when the subject is shorter than the option expires GB forwards, i.e. T <TD, the time limit may be adjusted to account for calculating the influence due to the difference. 四个调整的指数公式如下: Four-adjusted index formula is as follows:

Figure CN105339973AD00361

[0421] 并且Clt、C2t可以基于利率动态的规定来计算。 [0421] and Clt, C2t can be calculated based on a predetermined rate dynamics. ,

[0422] 在不存在以实值履约的期权的价格时,还可以通过将C(t,T,TD,TN)替换为并且用指数公式中的所有的积分(或者在离散情况下的求和)限制中的ΐς替换Ft(TD,TN)来调整GB-viadj,其中ις是低于Ft(TD,TN)的第一履约。 [0422] In the absence of compliance prices in real option, it can also be C (t, T, TD, TN) and is replaced with all integral indices in the formula (or summed in the discrete case ) limits the ΐς replaced Ft (TD, TN) is adjusted GB-viadj, wherein the first performance is below ις Ft (TD, TN) is. 类似地,还可以通过将Cbp(t,T,TD,TN)替换为Cbp(t,T,TD,TN)-(Ft(TD,TN)-KJ2并且用指数公式中的所有的积分(或者在离散情况下的求和)限制中的ις替换Ft(TD,TN)来调整,其中ΐς是低于Ft(TD,TN)的第一履约。反过来,在不存在ATM期权价格时,可以使用GB-VIadj和^ ¾的履约调整的版本来计算 Similarly, through the Cbp (t, T, TD, TN) is replaced Cbp (t, T, TD, TN) - (-KJ2 and integral with all the index formula Ft (TD, TN) (or summing the discrete case) limits the ις replaced Ft (TD, TN) is adjusted, which is a first compliance less than ΐς Ft (TD, TN) in turn, when the ATM option prices does not exist, can be GB-VIadj used to adjust the performance and the version ^ ¾ calculated

[0423] [0423]

Figure CN105339973AD00371

[0424] 针对政府债券波动率指数在上面给出的数学阐述和公式采用GB远期的欧式期权的价格。 [0424] GB using price European options for long-term government bond math and formulas set forth VIX given above. 然而,具有其他行使类型的期权或者具有其他标的GB衍生的期权在确定这些期权的价格与GB远期的欧式期权的等效价格实质上并非不同的情况下可以直接在上述公式中使用。 However, with other types of exercise options options or other subject having GB derivative can be directly used in the above formula at a price equivalent European options options determine the price and is not substantially forward GB different situations. 例如,政府债券期货的虚值美式期权的价格可能与政府债券远期的其他方式等效的欧式期权实质上并非不同,这可以根据Flesaker,B的1993年的"Testing theHeath-Jarrow-Morton/Ho-LeeModelofInterestRateContingentClaims Pricing',(JournalofFinancialandQuantitativeAnalysis28)以及Bikbov,R 和M.Chernov的2011 年的"YieldCurveandVolatility:LessonsFromEurodollar FuturesandOptions',(JournalofFinancialEconometrics9)的工作得出结论。 For example, the price of the American option of government bond futures dummy value may otherwise long-term government bonds equivalent European option is not essentially different, which can Flesaker, B of the year 1993 "Testing theHeath-Jarrow-Morton / Ho -LeeModelofInterestRateContingentClaims Pricing ', (JournalofFinancialandQuantitativeAnalysis28) and 2011 Bikbov, R and M.Chernov of "YieldCurveandVolatility: LessonsFromEurodollar FuturesandOptions', (JournalofFinancialEconometrics9) work concluded.

[0425] 一些交易所的当前实践是列出GB期货的美式期权。 Current Practice [0425] some exchanges that list futures GB of American options. 在引起GB期货的美式期权的价格实质上不同于GB远期的欧式期权的情形的情况下,发明人开发出将美国债券期货期权价格转换成对应的欧洲债券远期期权价格的技术,其可能通过如下方式来执行:(1)选取利率动态的模型,并且使用历史数据来估计它的参数;(2)定义并校准风险价格,使得所观察到的期权价格与由(1)中的模型所暗示的期权价格之间的差异最小化;以及使用(2) 中的校准的风险价格来计算政府债券远期的模型暗示的欧式期权。 In the case of the case differs substantially from the price of European options GB GB due to long-term futures of the American option, the inventors developed to convert the US bond futures option prices to the corresponding European option price of long-term bond technology, which may be performed by: (1) select the rate dynamic model using historical data to estimate its parameters; (2) defining and calibrating the risk of price, so that the option price by the observed model (1) the difference between the implied option prices is minimized; and the use of calibration (2) the risk of price to calculate the model implies long-term government bonds of European options.

[0426] 在一个示例技术中,政府债券期货的美式期权的价格可以被变换成政府债券远期的欧式期权的价格。 [0426] In one example technique, the American option price of government bond futures can be transformed into a European option price of long-term government bonds. 该示例技术执行如下: The exemplary technique performed as follows:

[0427] 步骤1.选取利率的Vasicek(1977)模型 [0427] Step 1. Select rate Vasicek (1977) model

[0428] [0428]

Figure CN105339973AD00372

[0429] 其中,rt是时间t时的瞬间利率,并且取,是在物理概率测量P下的布朗运动。 [0429] where, rt is the instantaneous rate at time t, and takes, Brownian motion is measured in a physical probability P. 将使用历史利率数据来估计参数(κ,μ,〇)。 The use of historical data to estimate the rate parameters (κ, μ, square).

[0430] 步骤2.将短期费率的风险中性动态定义如下: [0430] Step 2. The short-term risk-neutral dynamic rate is defined as follows:

[0431] [0431]

Figure CN105339973AD00373

[0432] 其中,1,是在风险中性概率测量下的布朗运动,并且λ是风险价格。 [0432] where 1, is under the risk-neutral probability measure of Brownian motion, and λ is the price of risk. 通过找到j 或者求解最小化问题2A或2B来校准风险价格: J by finding or solving the problem of minimizing the risk to calibrate 2A or 2B Price:

[0433] 最小化问题2A: [0433] Minimization 2A:

[0434] [0434]

Figure CN105339973AD00381

[0435] 其中,Λ是紧致集;K是期权履约;〇m°del(KJ)是关于履约K和风险价格λ的模型暗示期权价格;〇m°del (Κ)是关于履约Κ的所观察到的期权价格;并且w(K)是加权函数;Μ 表示可观察的期权价格的数量。 [0435] wherein, Λ is a compact set; K is the compliance option; 〇m ° del (KJ) is a model of compliance and the risk of price K λ implied option price; 〇m ° del (Κ) is on the compliance of K0 observed option price; and w (K) is a weighting function; [mu] represents the number of the option price can be observed.

[0436] 最小化问题2Β: [0436] minimization problem 2Β:

[0437] 对于每个履约Κ,找到$使得模型暗示的期权价格恰好匹配所观察到的期权价格〇m°deloo,导致由函数所定义的风险保证金的偏离,使得对于每个κ, [0437] For each compliance K0, found $ option price model implies that match exactly the option price observed 〇m ° deloo, causing a departure risk margin defined by function, such that for each of the [kappa],

Figure CN105339973AD00382

[0438] 在2A和2B这两者中,政府债券期货的美式期权的模型价格0m°del(K;λ)是 [0438] In both 2A and 2B, the American option price model of government bond futures 0m ° del (K; λ) is

Figure CN105339973AD00383

其中Cs(rs;K)是(决;幻1應说:)與〇吟九的递归解,其中对于认购期权,盈利力|Κ.ί)=巧~人'并且对于认沽期权,盈利为As是在可以行使期权的时间的时间S之后的递增时间;Ε是在风险中性概率测量下的期望;并且根据下面的公式来计算出期货价格: Where Cs (rs; K) is (decided; I should say :) and Magic 1 billion Yin nine recursive solution, which for call options, profit force | Κ.ί) = ~ clever people 'and for the put option, profit As is the incremental time after time can exercise the option of time S; Ε is expected in the risk-neutral probability measure; and is calculated according to the following formula the futures price:

Figure CN105339973AD00384

[0445] 步骤3.在2A的情况下使用i^并且在2B的情况下使用以使用Jamshidian(1989)公式来计算政府债券远期的欧洲期权的价格 [0445] Step 3. i ^. 2A in the case of using using Jamshidian (1989) formula to calculate long-term government bonds in the case of European option price. 2B

Figure CN105339973AD00385

[0452] [0452]

Figure CN105339973AD00391

[0453] [0453]

[0454]并且r* (K)使得BT(r* (K),TN) =K。 [0454] and r * (K) such that BT (r * (K), TN) = K.

[0455] 在2B的情况下,为了使用在远期的期权的公式中被校准到期货期权的风险保证金,通过如下变换将风险保证金偏离倾斜成禽農; 4) [0455] In the case of 2B, the formula for use in long-term option futures options are calibrated to the risk margin, by conversion into the risk margin tilted from poultry farming; 4)

[0456] [0456]

Figure CN105339973AD00392

[0457] 其中,Ft(rt;T,ΤΝ)是基于模型的远期价格,并且If(2¾)是市场期货价格。 [0457] where, Ft (rt; T, ΤΝ) is based on the forward price model, and If (2¾) is the futures market price.

[0458]使用来计算远期价格Ft (rt; T,TN),其中通过如下固定点问题来找到 [0458] Price is calculated using forward Ft (rt; T, TN), wherein the fixed point to find the problem by

Figure CN105339973AD00393

[0460] 并且#丨:|>^ 是通过在风险保证金等于时的模型预测出的远期价格。 [0460] and # Shu: |> ^ by the model in the risk margin equal to the predicted long-term price.

[0461] 对于在基于标准化的循环日期(rolldate)(例如,按季度地在三月、六月、九月、 十二月中循环)的周期内交易的GB远期和远期期权市场,可以结合地使用具有不同到期的两个或多个远期期权来计算具有与在所使用的最短和最长到期之间的任何到期相对应的到期的指数。 [0461] GB for the long-term and long-term options market trading in the cycle based on a standardized cycle date (rolldate) (eg, quarterly in March, June, September and mid-December cycle), you can in conjunction with any calculated indices have expired between the shortest and longest used due to expiration of the corresponding two or more options with different forward expired.

[0462] 在GB远期和远期期权在到期周期的情况下交易的情况下,作为第一非限制性的示例,指数可以使用"夹心结构组合"通过最近和下一个循环日期来计算,使得具有m月时限的波动率指数被计算为 [0462] In the case of long-term and long-term option transactions GB in the case of the expiration period, a first non-limiting example, the index may be used "sandwich combination" recently calculated by the date and the next cycle, such VIX having m-month time limit is calculated as

[0463] [0463]

Figure CN105339973AD00394

[0464] 其中HTw-TfmXd,并且Twt2mXd;d是一个月中的天的数量; VtCrj等于百分比政府债券价格波动率指数情况下的sa,!^!;)以及基点政府债券价格波动率指教愔况下的Sbp(t,T__,TJ日L县叔重,伸得 [0464] in which HTw-TfmXd, and Twt2mXd; d is the number of days in a month; VtCrj equal to the percentage of government bond prices VIX situation sa, ^ !;) basis points and government bond prices volatility advise serene conditions! under Sbp (t, T __, TJ L County tert weight daily, stretched too

[0465] [0465]

Figure CN105339973AD00395

[0466] 其导致如下表达式 [0466] which leads to the following expression

[0467] [0467]

Figure CN105339973AD00396

[0468] 对于基点收益政府债券波动率指数的情况,在时间t时的夹心结构组合可以表示为 [0468] In the case of point government bond yield volatility index, sandwich combinations at time t can be expressed as

[0469] [0469]

Figure CN105339973AD00401

[0470] 并且对于修改的基于持续时间的基点收益政府债券波动率指数的情况,在时间t 时间的夹心结构组合可以表示为 [0470] In the case based on the base point and duration government bond yield volatility index changes at time t sandwich structure can be expressed as a combination of time

[0471] [0471]

Figure CN105339973AD00402

i、、 i ,,

[0472] 其中,/厂是基点政府债券价格波动率指数的夹心结构组合,/厂;是百分比政府债券价格波动率指数的夹心结构组合。 [0472] where / sandwich factory is a combination of government bond price point VIX, / plant; sandwich structure is a combination of the percentage of government bond prices VIX.

[0473] 在GB远期和远期期权在具有到期循环的情况下交易的情况下,作为第二非限制性的示例,可以基于具体的期货期权合同与到期的收缩时间的偏离来计算波动率指数。 [0473] In the case of long-term and long-term option GB in case of a transaction expiration cycle, the second non-limiting example, may be calculated based on the deviation from the particular systolic time to maturity of the futures and options contracts VIX. 例如,如果指数基于十年债券的三个月内满期的期权,则第一天的指数将反映接下来的三个月的预期波动率,在下一天将反映接下来的三个月减一天的预期波动率,以此类推,直至指数在三个月中的期权满期时自然的满期为止。 For example, if the index is based on a decade of bonds within three months of the expiration of the option, the first day of the index will reflect the expected volatility of the next three months, the following day will reflect the next three months minus one day expected volatility, and so on, until the index in three months when options expire natural expiration date. 在GB期货和期货期权的情况下可以使用相同的方法。 You can use the same method as in the case of GB futures and options.

[0474] 图3是概述根据本发明的用于计算和分发基点政府债券价格波动率指数的步骤的实施例的流程图。 [0474] FIG. 3 is a flowchart outlining an embodiment of the invention for the step of calculating the distribution point and government bond prices VIX embodiment. 在步骤302,从电子数据源电子地接收数据。 In step 302, data is received from the electron source data electronically. 在所接收的数据中所包括的是关于GB期权的数据。 In the received data it is included data regarding GB options. 在步骤304,根据已知技术对数据进行清理和规格化,并且创建GB期权价格数据作为针对所有可用到期/期限/履约组合的指数公式的输入。 In step 304, according to known techniques for data cleansing and normalization, and create GB option price data as an index formula for all available maturity / duration / performance combination of input. 在步骤306,如果期权价格不是欧式债券期货期权的价格,则可选地,可以将它们转换成对应的欧式债券期货期权的价格。 In step 306, if the option price is not European bond futures price of the call, then alternatively, they can be converted into the price of European bond futures options corresponding. 在步骤308,将针对所有可用履约的每个到期和期限组合的价格输入到在上面示出的等式BP_GBVI中以计算基点GB波动率指数。 At step 308, the input to the above equation shown BP_GBVI point to calculate GB VIX for compliance, and combinations of all the available price for each maturity.

[0475] 图4是概述根据本发明的用于计算和分发百分比政府债券价格波动率指数的步骤的实施例的流程图。 [0475] FIG. 4 is a flowchart outlining an embodiment of the invention for the step of calculating the percentage of government bond prices and distributing VIX embodiment. 在步骤402,从电子数据源电子地接收数据。 At step 402, receiving data from the electronic data source electronically. 所接收的数据中所包含的是关于GB期权的数据。 Data included in the received data about GB options. 在步骤404,根据已知技术对数据进行清理和规格化,并且创建GB期权价格数据作为针对所有可用到期/期限/履约组合的指数公式的输入。 In step 404, according to known techniques for data cleansing and normalization, and create GB option price data as an index formula for all available maturity / duration / performance combination of input. 在步骤406,如果期权价格不是欧式债券期货期权的价格,则可选地,可以将它们转换成对应的欧式期货期权的价格。 In step 406, if the option price is not a European bond futures price of an option, then optionally, you can convert them into a European-style options on futures prices corresponding. 在步骤408,将针对所有可用履约的每个到期和期限组合的价格输入到上面所示的等式PCT_GBVI中以计算百分比政府债券价格波动率指数。 In step 408, the input and for the combination of all the available performance to price each maturity PCT_GBVI equation shown above to calculate the percentage price VIX government bond.

[0476] 图6是概述根据本发明的用于计算和分发基点政府债券收益波动率指数的步骤的实施例的流程图。 [0476] FIG. 6 is a flowchart outlining an embodiment of the invention for the step of calculating and distributing government yield point VIX embodiment. 在步骤602,从电子数据源电子地接收数据。 At step 602, receiving data from the electronic data source electronically. 所接收的数据中所包含的是关于GB期权的数据。 Data included in the received data about GB options. 在步骤604,根据已知技术对数据进行清理和规格化,并且创建GB 期权价格数据作为针对所有可用到期/期限/履约组合的指数公式的输入。 In step 604, according to known techniques for data cleansing and normalization, and create GB option price data as an index formula for all available maturity / duration / performance combination of input. 在步骤606,如果期权价格不是欧式债券期货期权的价格,则可选地,可以将它们转换成对应的欧式期货期权的价格。 In step 606, if the option price is not European bond futures price of the call, then alternatively, they can be converted into the price of the corresponding European futures options. 在步骤608,将针对所有可用履约的每个到期和期限组合的价格输入到上面所示的等式BPY_GBVI中以计算基点政府债券收益波动率指数。 In step 608, the input and for the combination of all the available performance of the price of each maturity to BPY_GBVI equation shown above to calculate the return on government bonds basis points VIX.

[0477] 图7是概述根据本发明的用于计算和分发修改的基于持续时间的基点政府债券收益波动率指数的步骤的实施例的流程图。 [0477] FIG. 7 is a flowchart outlining an embodiment of the present invention for calculating the step and the distribution based on the modified duration government yield point VIX embodiment. 在步骤702,从电子数据源电子地接收数据。 At step 702, receiving data from the electronic data source electronically. 所接收的数据中所包含的是关于GB期权的数据。 Data included in the received data about GB options. 在步骤704,根据已知技术对数据进行清理和规格化,并且创建GB期权价格数据作为针对所有可用到期/期限/履约组合的指数公式的输入。 In step 704, according to known techniques for data cleansing and normalization, and create GB option price data as an index formula for all available maturity / duration / performance combination of input. 在步骤706,如果期权价格不是欧式债券期货期权的价格,则可选地,可以将它们转换成对应的欧式期货期权的价格。 In step 706, if the option price is not a European bond futures price of an option, then optionally, you can convert them into a European-style options on futures prices corresponding. 在步骤708,将针对所有可用履约的每个到期和期限组合的价格输入到上面所示的等式MDBPY_GBVI中以计算修改的基于持续时间的基点政府债券收益波动率指数。 In step 708, the time limit for each maturity and performance of all the available combinations of input prices into the equation MDBPY_GBVI shown above to calculate based on the modified duration government bond yield point VIX.

[0478] 在图3、4、6和7中示出的步骤可以使用在图1、2和5中例示的系统来执行。 [0478] and may be used in system 5 illustrated in Figures 1 and 2 is performed in step 7 is shown in FIG. 4, 6 and.

[0479] 实现方式示例 [0479] Example implementations

[0480] 下面是如何可以将本发明的方法用于构造政府债券波动率指数的三个公式的非限制性的示例。 [0480] Here is how the methods of the invention may be used in non-limiting exemplary configuration of three formulas government bond VIX. 如上所述,基点政府债券价格波动率指数、百分比政府债券价格波动率指数、基点政府债券收益波动率指数和修改的基于持续时间的基点政府债券收益波动率指数的实际计算和分发通过计算和分发系统来执行,该系统的示例在图3中例示。 As mentioned above, government bond prices point Volatility Index, the percentage of government bond price volatility indices, government bond yields point VIX and modified based on the actual duration of the calculation basis points government bond yield and the VIX is calculated and distributed by distribution system is performed, the exemplary embodiment of the system illustrated in FIG.

[0481] 本示例利用反映假设市场条件的数据。 [0481] This example uses the data reflect assumptions market conditions. 所提供的数据是以十进制表示的、在一个月中到期的十年GB远期的欧式远期认沽和认购期权的保证金。 The data provided is based on the decimal representation, due in one month decade GB long-term European call options and put forward margin. 下面在表格1中提供该示例的数据: The following example provides data in Table 1:

[0482] 表格1 [0482] Table 1

[0483] [0483]

Figure CN105339973AD00421

[0484] 如上所示,表格1的前两列报告履约价格K以及每个履约价格的百分比内在波动率IV(Κ)。 As shown in [0484] above, the first two columns of Table 1 reports the percentage of compliance and inherent K price volatility of each exercise price of IV (Κ). 第三和第四列提供认购和认沽期权保证金。 The third call and put options provided the margin and the fourth column.

[0485] 如下所示,表格2提供分别根据等式(BP_GBVI)和(PCT_GBVI)的关于基点政府债券价格波动率指数和百分比政府债券价格波动率指数的本示例计算的信息。 [0485] As shown below, Table 2 provides information respectively according to equations (BP_GBVI) and (PCT_GBVI) the point on the present exemplary government bond price and the percentage VIX VIX government bond prices calculated.

[0486]表格2 [0486] Table 2

[0487] [0487]

Figure CN105339973AD00431

[0488] 表格2的第二列显示加入在GB波动率指数的实施例的计算中的等现值和虚值GB 远期期权的类型。 The second column [0488] Table 2 shows that the addition of the type of current and imaginary values ​​calculated in GB forward option GB embodiment in the VIX. 第三列显示加入到计算中的期权保证金;第四和第五列报告针对指数的最终计算的每个期权保证金附息的权重;并且最后,第六和第七列报告乘以适当的权重的每个虚值期权保证金。 The third column shows the options added to the margin calculation; fourth and fifth columns report options for each index margin finally calculated weights Coupon weight; and finally, multiplying appropriate weights sixth and seventh columns report weight each deposit money options. 将第三列中的每个价格乘以第四列中的对应的权重,作为"基点贡献",并且将第三列中的每个价格乘以第五列中的对应的权重,作为"百分比贡献"。 The third column of each price multiplied by the corresponding fourth column of the weight, as "point contribution", and the third column of each price multiplied by the corresponding weight in the fifth column of weight, as "Percent contribution".

[0489] 因此,根据在该示例中提供的数据,基点政府债券价格波动率指数和百分比政府债券价格波动率指数的实施例分别计算如下: [0489] Thus, according to the data provided in this example, embodiments government bond price point and percentages VIX VIX government bond prices are calculated as follows:

Figure CN105339973AD00432

[0490] [0490]

[0491] [0491]

[0492] [0492]

[0493] 在平方根内部的缩放因子(1/0. 9980)是在一个月内满期的零息票债券的逆。 Inverse [0493] scaling factor (1/0. 9980) is inside the square root within a month full of zero-coupon bonds. 然后可以通过如下方式来计算基点收益政府债券波动率指数值:求解 Then it can be calculated as follows bps government bond yield volatility index value: Solving

[0494] [0494]

Figure CN105339973AD00433

[0495]然后获得假设η= 1、N= 10 并且C1= 4r的办=声.1131<5121)二7>2226x的内在收益,其导致 [0495] is then obtained assuming η = 1, N = 10 and C1 = 4r do the acoustic = .1131 <5121 two 7)> The intrinsic value of 2226x, which results in

[0496] [0496]

[0497]开Μ [0497] open Μ

Figure CN105339973AD00434

[0498] [0498]

Figure CN105339973AD00441

[0499] 为了比较的目的,等现值内在基点和百分比波动率是IVBP (ATM) = 597. 96和IV(ATM) = 4· 53 % 〇 [0499] For comparison purposes, the present value of the intrinsic base point, and other percentages volatility is IVBP (ATM) = 597. 96 and IV (ATM) = 4 · 53% square

[0500] 在该非限制性的示例中,基点指数按照1002来重新调节,以模拟市场实践,从而将基点内在波动率表示为费率乘以对数波动率的乘积,其中将费率和对数波动率两者乘以100〇 [0500] In this non-limiting example, the index point 1002 readjusted according to simulate market practice, so that the point is expressed as implied volatility rates multiplied by the logarithm of volatility, and in which the rates of both volatility multiplied by the number of 100〇

[0501] 根据本发明的一些实施例,根据本发明的实施例计算出的指数可以用作诸如期权和期货合同这样的衍生合同的标的值。 [0501] According to some embodiments of the present invention, calculated according to embodiments of the present invention may be used as the target value such as index derivative contracts such options and futures contracts. 更具体地,根据本发明的实施例,政府债券波动率指数(GB-VI)可以用作针对交易各种到期和标的期限的GB期货价格的波动率而设计的衍生合同的标的参考。 More specifically, according to an embodiment of the present invention, the government bond VIX (GB-VI) may be used as the subject of GB futures price volatility for the various maturity and duration of subject-derived contract transactions designed reference. 具体地,基于指数的具有不同到期的期货和期权合同可以0TC地交易和/或在交易所列出。 Specifically, based on futures and options contracts with different expiration of index can 0TC to trade and / or listed on an exchange.

[0502] 基于以上公开的政府债券波动率指数的衍生工具可以被创建为标准化的交易所交易的合同以及场外合同。 [0502] can be created outside the contract and the contract for the standardized exchange-traded derivatives based on government bonds VIX disclosed above. 当计算出基于政府期货/远期期权的政府债券波动率指数(GB-VI)时,可以访问该指数以便在创建衍生合同时使用,并且衍生合同可以被分配唯一符号。 When government is calculated based on futures / options of long-term government bonds Volatility Index (GB-VI), you can access the index to use when you create derivative contracts and derivative contracts can be assigned a unique symbol. 一般地,GB-VI衍生合同可以被分配任何唯一符号,其用作标准化的GB-VI衍生合同的类型的标准化的标识符。 Generally, GB-VI derivative contracts may be assigned any unique symbol, which serves as standardization GB-VI derived standardized type of contract identifier. 与GB-VI和/或GB-VI衍生合同相关联的信息可以传送以便显示,诸如传送信息以在交易平台上列出GB-VI指数和/或GB-VI衍生。 Contract information associated with GB-VI and / or derived GB-VI may be transmitted for display, such as transmitting information to list index GB-VI and / or GB-VI derived in the trading platform. 可以传送用于显示的信息的类型的示例包括GB-VI衍生的结算价格、与GB-VI衍生相关联的出价或报价和/ 或GB-VI关联的标的期权的价值。 Examples of types of information may be transmitted for display comprising GB-VI derived settlement price, subject associated with GB-VI derived bid or offer and / or GB-VI value associated with options.

[0503] -般地,GB-VI衍生合同可以列在电子平台、公开叫价平台、结合电子平台和公开叫价平台的混合环境或者在本领域中已知的任何其他类型的平台上。 [0503] - camel, GB-VI derivative contracts can be listed in an electronic platform, open outcry internet, electronic platform binding and mixing environment open outcry on the internet or any other type of platform known in the art. 混合交易环境的一个示例在于2003年4月24日提交的美国专利第7,613,650号中公开,通过引用将其全部内容并入本文。 An example of a mixed trading environment that US Patent No. 7,613,650 April 24, 2003 submitted disclosed by reference in its entirety herein. 另外,诸如交易所这样的交易平台可以通过分发网络将流动性提供商的GB-VI 衍生合同报价传送给其他市场参与者。 In addition, such as Exchange trading platform through the distribution network of liquidity providers GB-VI derivative contract offer delivered to other market participants. 流动性提供商可以包括指定主做市商("DPM")、做市商、当地居民、专家、交易特权持有者、注册交易商、成员或者可以向交易平台提供方差衍生的报价的任何其他实体。 Liquidity provider may include a designated primary market maker ( "DPM"), market makers, local residents, experts, transaction privilege holder, registered dealers, members of the variance derived or may provide an offer to any other trading platform entity. 分发网络可以包括诸如期权价格报告机构("〇PRA")、CBOE期货网络、因特网网站或经由电子邮件通信网络的电子邮件提醒的网络。 Distribution network may include information such as option price reporting agencies ( "〇PRA"), CBOE Futures network, the Internet site or e-mail reminders via e-mail communication network of networks. 市场参与者可以包括流动性提供商、经济人公司、正常投资者或者可以预定分发网络的任何其他实体。 Market participants may include any entity other liquidity providers, brokers firm, normal or investor can book distribution network.

[0504] 交易平台可以执行GB-VI衍生的买入和卖出订单,并且可以重复如下步骤:计算标的期权的GB-VI、访问GB-VI指数、传送GB-VI指数和/或GB-VI衍生的信息以便显示(在交易平台上列出GB-VI和/或GB-VI衍生)、通过分发网络分发GB-VI和/或GB-VI衍生以及执行GB-VI衍生的买入和卖出订单直至GB-VI衍生合同结算为止。 [0504] trading platform can perform GB-VI buy and sell orders derived, and may repeat the steps of: calculating the underlying option GB-VI, GB-VI access index, index transmission GB-VI and / or GB-VI derived information to display (listed in GB-VI and / or GB-VI derivatives in the trading platform), the distribution GB-VI and / or GB-VI derived GB-VI and performing buy and sell derived by distribution network orders until the GB-VI derivative contract settlement date.

[0505] 在一些实现方式中,GB-VI衍生合同可以通过基于标的权益的对数获利的GB-VI 指数的交易所操作的折价拍卖和现金结算来交易。 [0505] In some implementations, GB-VI discount auction and derivative contracts can be cash-settled transactions by GB-VI index based on the number of underlying earnings equity exchange operations. 电子拍卖或者Dutch拍卖系统进行周期性的拍卖,其中实值结算的所有合同由针对虚值结算的那些收集的保证金来资助。 Electronic auctions or Dutch auction system for periodic auctions, in which all contracts settled in real terms to those funded by the margin collected for the settlement of the dummy value.

[0506] 如所提到的那样,在折价拍卖中,实值结算的所有合同由虚值结算的那些来资助。 [0506] As mentioned above, in distressed auction, all contracts settled by the real-valued imaginary value of those to fund settlement. 因此,系统的净持仓额(netexposure)在拍卖过程完成时为零,并且没有随时间的未结清权益(openinterest)的累积。 Therefore, the amount of net position system (netexposure) at the time of completion of the auction process is zero, and there is no open interest accumulated over time (openinterest) of. 另外,折价拍卖中的合同的定价取决于相对需求;履约更流行,其价值就越高。 In addition, the discount auction contract pricing depends on the relative demand; performance more popular, the higher its value. 换言之,折价拍卖不取决于设置价格的做市者;而是价格持续地调整以反映进入到拍卖中的订单流。 In other words, the discount does not depend on the auction market makers set prices; but prices continue to be adjusted to reflect into the auction in order flow. 典型地,当每个订单进入系统时,其不仅影响找寻到的履约的价格,还影响在该拍卖中可用的所有其他履约。 Typically, when each order entry system, which affects not only to find the price performance, but also affects all other performance available in the auction. 在这样的情况下,因为价格对于多个找寻到的履约上升,所以系统针对不太流行的履约向下调整价格。 In this case, because the price rise for more to find the performance, so the system down to adjust the price for the less popular performance. 另外,该过程不需要如在很多传统的市场中那样的特定买入订单与特定卖出订单的匹配。 In addition, the process does not require as many traditional markets to buy as specific orders and sell matching specific orders. 替代地,所有买入和卖出订单进入流动性的单个池中,并且每个订单可以提供不同的履约价格的其他订单的流动性,并且维持流动性使得系统持仓额保持为零。 Alternatively, all buy and sell orders into the flowability single pool, and each may provide a different order of liquidity price performance of other orders, and to maintain flowability of the system such that the amount is kept at zero position. 该格式最大化流动性,这是在没有可交易的标的工具时的关键特征。 The format to maximize liquidity, which is a key feature in the underlying instrument is not tradeable.

[0507] 期货合同的下面的特征例示具有本发明的指数作为标的资产的期货合同的一个示例。 The following features [0507] index futures contracts with the present invention illustrating one example of a futures contract as the underlying asset. 该特征不旨在限制本发明,而是阐述期货的通用特征: The features are not intended to limit the invention, but common features set forth Futures:

[0508] 合同大小:合同的一个单位的暂定款项可以被定义为多个指数级别,其可以取决于标的指数的货币。 [0508] Contract size: a provisional payment unit contract can be defined as a multiple index levels, it may depend on the currency of the underlying index. 当0TC地交易时,在所涉及的各方之间逐个交易地商议乘数。 When 0TC to trade, negotiate multiplier-by-transaction between the parties involved.

[0509] 合同月数:交易所可以列出具有多个日期的预先确定的序列的合同,例如,接下来的6个月中的每个月的第三个星期五。 [0509] contract for several months: the exchange can list a contract with a pre-determined sequence of multiple dates, for example, the next six months the third Friday of each month. 类似地,0TC交易商可以以到期日期的预先确定的序列来做市,而且也可以逐个交易地针对在其他日期到期的合同做市。 Similarly, 0TC City traders can do a sequence of predetermined expiration date, but also for other days due to transaction-by-contract-making.

[0510] 报价和最小价格间隔:基于指数的期货可以以表示每个合同的一些暂定款项的点和十进制数或分数来报价,并且可以存在合同的定价可以据以变化的最小增量,两者可以取决于标的指数的货币。 [0510] and the minimum offer price interval: index-based futures can represent some fraction or decimal point and the provisional amount of each contract to offer, and there may be priced contracts may vary according to the minimum increment, two currency may depend on the underlying index. 0TC市场可以采用不同的约定用于报价和最小赊帐。 0TC market can use different conventions for pricing and minimum credit.

[0511] 最后交易日期:对于每个合同,将规定最后交易日期。 [0511] Last Trading Date: For each contract, the provisions of the last trading date.

[0512] 最终结算日期:对于每个合同,将规定最终结算日期。 [0512] Final Settlement Date: For each contract, the provisions of the final settlement date.

[0513] 最终结算价值:最终结算价值将基于在结算日期的预先指定的时间计算的指数的级别。 [0513] Final Settlement Value: The final settlement value will be based on the level of the index at the settlement date of the pre-specified time calculations.

[0514] 交付:基于指数的期货的结算将采取现金结算量的交付的形式,并且将与最终结算日期相关地规定支付日期。 [0514] Delivery: Based on the settlement of index futures will take the form of cash settlement amount delivered, and will provide for the payment date in relation to the final settlement date.

[0515] 交易所交易时的附加规定:当在交易所交易时,可以指定交易平台、盈余需求、交易小时、订单划线规则、批量交易规则、报告规则以及其他细节。 [0515] additional requirements when exchange-traded: When trading on an exchange, you can specify the trading platform, surplus demand, trading hours, orders crossed rules, the bulk trading rules, reporting rules and other details.

[0516] 期权合同的下面的特征例示具有本发明的指数作为标的资产的期权合同的一个示例。 The following features [0516] index option contract with the present invention illustrated as an example of an option contract underlying asset. 所述特征不旨在限制本发明,而是阐述期权的通用特征: The features are not intended to limit the invention, but common features set forth options:

[0517] 合同大小:合同的一个单位的暂定款项可以被定义为多个指数级别,其可以取决于标的指数的货币。 [0517] Contract size: a provisional payment unit contract can be defined as a multiple index levels, it may depend on the currency of the underlying index. 当0TC地交易时,在所涉及的各方之间逐个交易地商议乘数。 When 0TC to trade, negotiate multiplier-by-transaction between the parties involved.

[0518] 合同月数:交易所可以列出具有满期日期的预先确定的序列的合同,例如,接下来的6个月中的每个月的第三个星期五。 [0518] contract for several months: the exchange can list a contract with a sequence of predetermined expiration date, for example, on the third Friday of each month in the next six months. 类似地,0TC交易商可以以到期日期的预先确定的序列来做市,而且也可以逐个交易地针对在其他日期满期的合同做市。 Similarly, 0TC City traders can do to a predetermined sequence expiration date, but also for the expiration date of the contract in the other city-by-deal to do.

[0519] 履约价格:对于每个货币,作为实值、等现值和虚值的履约价格可以由交易所列出或者由0TC交易商报价,并且新的履约价格可以随着期货价格增加或减少来交易。 [0519] strike price: for each currency, as the real value, such as present value and the imaginary value of the strike price may be listed by the Exchange or by the 0TC dealer quotes, and the new strike price may increase or decrease the futures price to trade. 交易所或0TC交易商团体可以根据标的指数的货币来固定履约价格之间的最小增量。 Exchange or 0TC dealer groups can be fixed minimal performance delta between the price of the currency underlying index.

[0520] 报价和最小价格间隔:基于指数的期货可以以表示每个合同的一些暂定款项的点和十进制数或分数来报价,并且可以存在合同的定价可以据以变化的最小增量,两者可以取决于标的指数的货币。 [0520] and the minimum offer price interval: index-based futures can represent some fraction or decimal point and the provisional amount of each contract to offer, and there may be priced contracts may vary according to the minimum increment, two currency may depend on the underlying index. OTC市场可以采用不同的约定用于报价和最小赊帐。 OTC market may use different conventions for pricing and minimum credit.

[0521] 行使类型:在GB-VI上书写的期权可能是但不限于欧式。 [0521] Exercise Type: written in GB-VI options may be, but not limited to European. 预想到美式合同也可以具有本发明的指数作为标的资产。 American contract may also envisioned that the present invention having the index as the underlying asset.

[0522] 满期日期:对于每个合同,将规定满期日期。 [0522] expiration date: for each contract, a predetermined expiration date.

[0523] 最后交易日期:对于每个合同,将规定最后交易日期。 [0523] Last Trading Date: For each contract, the provisions of the last trading date.

[0524] 行使的结算:最终结算价值将基于在结算日期的预先指定的时间计算的指数的级另IJ。 [0524] the exercise of settlement: the final settlement value of the index level will be based on the settlement date of the pre-specified time calculation of another IJ. 现金结算量将是指数级别和履约价格之间的差异,其可能通过某个乘数调整,并且将与满期日期相关地规定支付日期。 Cash settlement amount will be the difference between the strike price and the index level, which may be adjusted by a multiplier, and will provide for the payment date in relation to the expiration date.

[0525] 交易所交易时的附加规定:当在交易所交易时,可以指定交易平台、盈余需求、交易小时、报告规则以及其他细节。 [0525] additional requirements when trading exchange: When trading on an exchange, you can specify the trading platform, surplus demand, trading hours, reporting rules and other details.

[0526] 根据本发明的其他实施例,可以创建跟踪或参考本发明的指数的其他金融产品。 [0526] According to other embodiments of the present invention may be created to track a reference index or other financial products of the present invention. 这样的产品包括但不限于在交易所列出的交易所交易的基金和交易所交易的票据以及由金融机构卖出的结构化产品。 Such products include, but are not limited to exchange-traded funds and exchange-listed exchange traded notes and structured products sold by financial institutions.

[0527] 前面的描述针对本发明的具体实施例。 The foregoing description [0527] specific embodiments of the present invention. 然而,显然地,可以对所描述的实施例做出其他变型和修改,其达到它们的优点中的一些或全部。 However, obviously, it can make other variations and modifications of the described embodiments, which achieve some or all of their advantages.

Claims (18)

1. 一种用于计算政府债券波动率指数的计算机系统,其包含: 被配置为存储至少一个程序的存储器;以及通信地耦合到存储器的至少一个处理器,其中所述至少一个程序在被所述至少一个处理器执行时使所述至少一个处理器: 接收关于政府债券衍生的期权的数据; 使用关于政府债券衍生的期权的数据来计算政府债券波动率指数;以及传送关于政府债券波动率指数的数据。 A computer system calculates the government bond VIX, comprising: a memory configured to store at least one program; and a memory coupled to the at least one processor communicatively, wherein said at least one program being when said at least one processor to perform at least one processor: receives data on government bonds derived option; government bonds derived using data on the option to calculate government bond VIX; and transmitting on government bond VIX The data.
2. 根据权利要求1所述的计算机系统,其中关于政府债券衍生的期权的数据包括关于政府债券衍生的期权的价格的数据。 2. The computer system of claim 1, wherein the data derived on government bonds options include data regarding government bonds derived option price.
3. 根据权利要求2所述的计算机系统,其中关于政府债券衍生的期权的价格的数据包括关于政府债券期货或政府债券远期的期权的价格的数据。 3. The computer system of claim 2, wherein the data on prices of government bonds derived options include data regarding long-term government bonds or bond futures price option government.
4. 根据权利要求3所述的计算机系统,其中根据下面的等式在时间t时计算出政府债券波动率指数: 4. The computer system of claim 3, wherein calculating at time t the government bond VIX according to the following equation:
Figure CN105339973AC00021
其中: t表示计算政府债券波动率指数的时间; T表示政府债券衍生的期权的满期的时间; TD表示成为期权的标的的政府债券衍生的到期的时间,其中TD多T ; !;表示政府债券的满期的时间; Z+1表示在指数计算中所使用的期权的总数量; K。 Where: t represents the computation time government bonds VIX; T represents the period of time over government bonds derived from options; TD represents the time derivative of the maturity of government bonds has become the subject of options, which the TD multi-T;; represent! expiration time government bonds; Z + 1 represents the total number of index used in the calculation of the option; K. 表示Z+1个期权中的最低履约; I表示Z+1个期权中的第i个最高履约; κζ表示Z+1个期权中的最高履约; 对于i 彡L Z + 1 represents one option lowest compliance; I means Z + 1 in the i th option highest compliance; κζ Z + 1 th represents the highest performance option; for i San L
Figure CN105339973AC00022
并且Δ KQ= (K fig,Δ Kz= (K Z-KZ D ; 如果价格在时间t时是可观察的,则Ft(TD,ΤΝ)是在政府债券衍生合同成为在TD时满期的认沽和认购期权的标的的时间t时的价格,其中标的政府债券在1;时到期; 如果价格在时间t时是不可观察的,则Ft (TD,TN)是认沽和认购价格之间的差异最小时的履约; 如果存在以Ft(TD,TN)履约的期权,则ΐς等于F t(TD,TN); 如果不存在以Ft(TD,TN)履约的期权,则ΐς是低于F t(TD,TN)的第一可用履约; pt(T)是在T时到期的零息票不可违约的债券的时间t时的价格; Putt (Kp T,TD,TN)是以I履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在1;时到期的标的债券的认沽期权的时间t时的价格; Calltd T,TD,TN)是以I履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在1;时到期的标的债券的认购期权的时间t时的价格;以及GB-V And Δ KQ = (K fig, Δ Kz = (K Z-KZ D; if the price at time t is observable, then Ft (TD, ΤΝ) in government bond derivatives contracts to become full period recognized in TD when expires;; put the price at time t and the subject of the call option, where the subject of government bonds at 1:00 if the price at time t is unobservable, then Ft (TD, TN) is recognized between the put and the subscription price compliance of the minimum difference; if Ft (TD, TN) compliance option exists, ΐς equal to F t (TD, TN); if Ft (TD, TN) compliance option does not exist, it is lower than ΐς F t (TD, TN) of a first available compliance; Pt price at the time (T) at T is due not zero coupon bonds default t; Putt (Kp T, TD, TN) is I compliance, at the expiration of the time T and with the expiration of the TD when the subject of government bonds and derivatives at 1; the price at the time of expiration of the put option when the underlying bonds t; Calltd T, TD, TN) is compliance with I, at the expiration of the time T and with the expiration of the TD when the subject of government bonds and derivatives at 1; the price of a call option at the time of the underlying bond due at the time of t; and GB-V I(t,T,TD,TN)是基于在TD时满期的政府债券衍生和在1\时到期的标的债券的、 在T时满期的期权所计算出的时间t时的政府债券波动率指数的值。 I (t, T, TD, TN) is based on the expiration of the TD when government bond derivatives and expires in 1 \ when the underlying bond, when the expiration of options calculated at time t T Government Bonds VIX value.
5. 根据权利要求3所述的计算机系统,其中根据下面的等式在时间t时计算出政府债券波动率指数: The computer system according to claim 3, wherein calculating at time t the government bond VIX according to the following equation:
Figure CN105339973AC00031
其中: t表示计算政府债券波动率指数的时间; T表示政府债券衍生的期权的满期的时间; TD表示成为期权的标的的政府债券衍生的到期的时间,其中TD彡T ; !;表示政府债券的满期的时间; Z+1表示在指数计算中所使用的期权的总数量; K。 Where: t represents the computation time government bonds VIX; T represents the period of time over government bonds derived from options; TD represents the time derivative of the maturity of government bonds has become the subject of options, which TD Pie T;; represent! expiration time government bonds; Z + 1 represents the total number of index used in the calculation of the option; K. 表示Z+1个期权中的最低履约; I表示Z+1个期权中的第i个最高履约; κζ表示Z+1个期权中的最高履约; 对于 Z + 1 represents one option lowest compliance; I means Z + 1 in the i th option highest compliance; κζ Z + 1 th represents the highest performance option; for
Figure CN105339973AC00032
并且Δ KQ= (K rK。),Δ κζ= (K Z-KZ i); 如果价格在时间t时是可观察的,则Ft(TD,ΤΝ)是在政府债券衍生合同成为在TD时满期的认沽和认购期权的标的的时间t时的价格,其中标的政府债券在1;时到期; 如果价格在时间t时是不可观察的,则Ft (TD,TN)是认沽和认购价格之间的差异最小时的履约; 如果存在以Ft(TD,TN)履约的期权,则I等于F t(TD,TN); 如果不存在以Ft(TD,TN)履约的期权,则1是低于F t(TD,TN)的第一可用履约; Pt(T)是在T时到期的零息票不可违约的债券的时间t时的价格; Putt (Kp T,TD,TN)是以I履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在1;时到期的标的债券的认沽期权的时间t时的价格; CalltO^,T,TD,TN)是以&履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在1;时到期的标的债券的认购期权的时间t时的价格;以及 And Δ KQ = (K rK.), Δ κζ = (K Z-KZ i); if the price at time t is observable, then Ft (TD, ΤΝ) in government bonds derived contract to become full in the TD time time the subject of the put and call options on the price at time t, where the subject of government bonds in 1; expires; if the price at time t is unobservable, then Ft (TD, TN) is put and subscribe the performance difference between the minimum price; if Ft (TD, TN) compliance option exists, I = F t (TD, TN); if Ft (TD, TN) compliance option does not exist, 1 is less than the first available compliance F t (TD, TN) is; of Pt (T) is the price at the time of expiration T is not zero coupon bonds default time t; Putt (Kp T, TD, TN) compliance is I, T expire at the expiration of the time and with the TD when the subject of government bonds and derivatives at 1; the price of the put option when time expires when the underlying bonds t; calltO ^, T, TD, TN) is & compliance, at the expiration of the time T and with the expiration of the TD when the subject of government bonds and derivatives at 1; the price of a call option at the time of the underlying bond due at the time of t; and GB-VIbp(t,T,TD,TN)是基于在TD时满期的政府债券衍生和在T #寸到期的标的债券的、 在T时满期的期权所计算出的时间t时的政府债券波动率指数的值。 GB-VIbp (t, T, TD, TN) is based on the expiration of the TD when government bonds and derivatives at T #-inch maturity of the underlying bond, when the expiration of options calculated at time t when T the value of government bonds VIX.
6. 根据权利要求3所述的计算机系统, 其中当不存在时间τ时的应计息票时,根据下面的等式在时间t时计算出政府债券波动率指数: 6. The computer system according to claim 3, wherein when the accrued coupon does not exist at time τ, the following equation is calculated according to the government bond VIX at time t:
Figure CN105339973AC00033
Figure CN105339973AC00041
并且,其中,当存在时间T时的应计息票和在时间\时应付的下一个息票时,根据下面的等式在时间t时计算出政府债券波动率指数: And, wherein, when the accrued coupon at time T and the presence of the next coupon payable at time \, the following equation is calculated according to the government bond VIX at time t:
Figure CN105339973AC00042
其中: t表示计算政府债券波动率指数的时间; T表示政府债券衍生的期权的满期的时间; tj是在T时或之后的第一息票支付; TD表示成为期权的标的的政府债券衍生的到期的时间,其中TD多T ; !;表示政府债券的满期的时间; Z+1表示在指数计算中所使用的期权的总数量; K。 Where: t represents the computation time government bonds VIX; T represents the period of time over government bonds derived from options; tj is paid at the time of the first coupon T or later; TD said the government bond derivatives become the subject of options time expired, in which multi-TD T;!; represents the expiration of the government bonds of time; Z + 1 represents the total number of index used in the calculation of the option; K. 表示Z+1个期权中的最低履约; I表示Z+1个期权中的第i个最高履约; κζ表示Z+1个期权中的最高履约; Z + 1 represents one option lowest compliance; I means Z + 1 in the i th option highest compliance; κζ Z + 1 th represents the highest performance option;
Figure CN105339973AC00043
并且Δ KQ= (K fig,Δ Kz= (K Z-KZ D ; 如果价格在时间t时是可观察的,则Ft(TD,ΤΝ)是在政府债券衍生合同成为在TD时满期的认沽和认购期权的标的的时间t时的价格,其中标的政府债券在1;时到期; 如果价格在时间t时是不可观察的,则Ft (TD,TN)是认沽和认购价格之间的差异最小时的履约; 如果存在以Ft(TD,TN)履约的期权,则ΐς等于F t(TD,TN); 如果不存在以Ft(TD,TN)履约的期权,则ΐς是低于F t(TD,TN)的第一可用履约; pt(T)是在T时到期的零息票不可违约的债券的时间t时的价格; Putt (Kp T,TD,TN)是以I履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在1;时到期的标的债券的认沽期权的时间t时的价格; Calltd T,TD,TN)是以I履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在1;时到期的标的债券的认购期权的时间t时的价格; N表示 And Δ KQ = (K fig, Δ Kz = (K Z-KZ D; if the price at time t is observable, then Ft (TD, ΤΝ) in government bond derivatives contracts to become full period recognized in TD when expires;; put the price at time t and the subject of the call option, where the subject of government bonds at 1:00 if the price at time t is unobservable, then Ft (TD, TN) is recognized between the put and the subscription price compliance of the minimum difference; if Ft (TD, TN) compliance option exists, ΐς equal to F t (TD, TN); if Ft (TD, TN) compliance option does not exist, it is lower than ΐς F t (TD, TN) of a first available compliance; Pt price at the time (T) at T is due not zero coupon bonds default t; Putt (Kp T, TD, TN) is I compliance, at the expiration of the time T and with the expiration of the TD when the subject of government bonds and derivatives at 1; the price at the time of expiration of the put option when the underlying bonds t; Calltd T, TD, TN) is compliance with I, at the expiration of the time T and with the expiration of the TD when the subject of government bonds and derivatives at 1; the price of a call option at the time of the underlying bond due at the time of t; N represents 府债券的息票支付的总数量; (^表示政府债券的N个息票之中的第i个息票的量; η表示政府债券的每年的息票支付的频率; y表示政府债券的收益; X表示政府债券的收益; /丫>·、、丨足对应于附息政府债券的债券收益的债券价格; 产%)是的函数逆; /HO是对应于附息政府债券的债券收益的时间τ时的债券价格; />;»是4⑷的函数逆; dc (year)是基于用于政府债券的天计数惯例的一年中的天的数量; dc(Tt)是基于用于政府债券的天计数惯例的t和T之间的天的数量; The total number of government bond coupon payments; (^ denotes the i-th coupon amount among the N-coupon government bonds; η represents the frequency of coupon payments each year government bonds; y represents government bond yield ; X represents government bond yield; / Ah> * ,, Shu foot corresponds to the bond prices of interest-bearing government bond yield bonds; inverse function% yield) Yes; / HO is the bond yield corresponding to the interest-bearing government bonds of bond prices at time τ; />; »is a function of the inverse 4⑷; dc (year) is based on the number of days counting practice day of the year for government bonds; dc (Tt) is based on government bonds the number of days between the day and counted practice t T;
Figure CN105339973AC00051
是按照基于在TD时满期的政府债券衍生和在T #寸到期的标的债券的、在T时满期的期权所计算出的时间t时的基点收益波动率的政府债券波动率指数的值; GB-VIbp(t,T,TD,TN)是按照基于在TD时满期的政府债券衍生和在1\时到期的标的债券的、在T时满期的期权所计算出的时间t时的基点价格波动率的政府债券波动率指数的值;以及GB-VI (t,T,TD,TN)是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的百分比价格波动率的政府债券波动率指数的值。 According to government bonds is the VIX, return volatility point when the expiration of options calculated at time t T based upon the expiration of the TD government bond derivatives and the underlying bond maturing in T # inch of value; GB-VIbp (t, T, TD, TN) is based in accordance with the expiration of the time TD bonds derived in the government and expiration 1 \ when the underlying bond, at the expiration of the time T calculated time option price volatility point value of government bonds at t VIX; and GB-VI (t, T, TD, TN) is based in accordance with the expiration of the TD when government bond derivatives and expires when the underlying bond in TN the value of government bonds VIX percentage price volatility at the time of expiration of options calculated at time t T time.
7.根据权利要求3所述的计算机系统,其中根据下面的等式在时间t时计算出政府债券波动率指数: 7. The computer system according to claim 3, wherein calculating at time t the government bond VIX according to the following equation:
Figure CN105339973AC00052
Figure CN105339973AC00061
其中: t表示计算政府债券波动率指数的时间; T表示政府债券衍生的期权的满期的时间; TD表示成为期权的标的的政府债券衍生的到期的时间,其中TD多T ; !;表示政府债券的满期的时间; Z+1表示在指数计算中所使用的期权的总数量; K。 Where: t represents the computation time government bonds VIX; T represents the period of time over government bonds derived from options; TD represents the time derivative of the maturity of government bonds has become the subject of options, which the TD multi-T;; represent! expiration time government bonds; Z + 1 represents the total number of index used in the calculation of the option; K. 表示Z+1个期权中的最低履约; I表示Z+1个期权中的第i个最高履约; κζ表示Z+1个期权中的最高履约; Z + 1 represents one option lowest compliance; I means Z + 1 in the i th option highest compliance; κζ Z + 1 th represents the highest performance option;
Figure CN105339973AC00062
如果价格在时间t时是可观察的,则Ft(TD,ΤΝ)是在政府债券衍生合同成为在TD时满期的认沽和认购期权的标的的时间t时的价格,其中标的政府债券在1;时到期; 如果价格在时间,时是不可观察的,则F t (TD,TN)是认沽和认购价格之间的差异最小时的履约; 如果存在以Ft(TD,TN)履约的期权,则ΐς等于F t(TD,TN); 如果不存在以Ft(TD,TN)履约的期权,则ΐς是低于F t(TD,TN)的第一可用履约; pt(T)是在T时到期的零息票不可违约的债券的时间t时的价格; Putt (Kp T,TD,TN)是以I履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在1;时到期的标的债券的认沽期权的时间t时的价格; Calltd T,TD,TN)是以I履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在1;时到期的标的债券的认购期权的时间t时的价格; N表示政府债券的息票支付的总数量 If the price at time t is observable, then Ft (TD, ΤΝ) in government bond derivatives contracts as the price at expiration on the subject of the put and call options t in TD during which the subject of government bonds expires;; if the price at time 1, time is not observed, the F t (TD, TN) is put performance difference between the minimum price and the subscription; if present in Ft (TD, TN) compliance option, the ΐς equal to F t (TD, TN); if Ft (TD, TN) compliance option does not exist, then the first available ΐς compliance is less than F t (TD, TN) is; pt (T) T is due at the time when the price of zero-coupon ticket will not bond default time t; Putt (Kp T, TD, TN) is I-compliance, at the expiration of the time T and TD has the expiration of the time the subject of government bonds and derivatives at 1; the price at the time when the put option expires underlying bond of t; Calltd T, TD, TN) is I-compliance, at the expiration of the time T and has a full time at TD government bond derivatives of the subject and at 1; the price of a call option at the time of maturity of the underlying bond of t; N represents a coupon government bonds to pay the total amount (^表示政府债券的N个息票之中的第i个息票的量; η表示政府债券的每年的息票支付的频率; X表示政府债券的收益; iK-v)是对应于附息政府债券的债券收益的债券价格; />;%)是的函数逆; dc (year)是基于用于政府债券的天计数惯例的一年中的天的数量; dc(Tt)是基于用于政府债券的天计数惯例的t和T之间的天的数量; tj是在T时或之后的第一息票支付; (^ Denotes the i th coupon amount among the N coupon government bonds; [eta] represents the frequency of coupon payments per year government bond; X is represented by government bond yield; iK-v) corresponding to the interest-bearing bond yields of government bonds bond prices; />;%) is a function of the inverse; dc (year) is based on the number of days in the year-day count convention for government bonds; dc (Tt) is based on a the number of days between t and T government bonds day count convention; TJ coupon is paid after the first time or T;
Figure CN105339973AC00071
是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的基点收益波动率的政府债券波动率指数的值; GB-VIbp(t,T,TD,TN)是按照基于在TD时满期的政府债券衍生和在1\时到期的标的债券的、在T时满期的期权所计算出的时间t时的基点价格波动率的政府债券波动率指数的值; GB-VI (t,T,TD,TN)是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的百分比价格波动率的政府债券波动率指数的值。 According to government bonds is the VIX, the volatility of earnings basis points when the expiration of options calculated at time t T based upon the expiration of the TD due and government bond derivatives in TN when the value of the underlying bond ; GB-VIbp (t, T, TD, TN) t is based in accordance with the expiration of the TD when government bond derivatives and expires in 1 \ when the underlying bonds in T when the expiration of the option calculated time price volatility point value of government bonds when the VIX; GB-VI (t, T, TD, TN) is based in accordance with the expiration of the TD when government bond derivatives and maturity of the underlying bond when in TN, the value of government bonds VIX percentage price volatility at the time of expiration of options calculated at time t T time.
8. 根据权利要求1所述的计算机系统,其中至少一个处理器还被使得: 基于政府债券波动率指数来创建标准化的交易所交易衍生工具;以及传送关于标准化的交易所交易衍生的数据。 8. The computer system of claim 1, wherein the at least one processor is further such that: to create standardized exchange-traded derivatives based on government bond VIX; exchange and transmitting transaction data derived on standardization.
9. 根据权利要求8所述的计算机系统,其中传送关于标准化的交易所交易衍生工具的数据包括传送关于标准化的交易所交易衍生工具的结算价格、出价价格、报价价格、或交易价格中的一个或多个的数据。 9. The computer system of claim 8, wherein the transfer of data on the standardization of exchange traded derivatives comprising transmitting settlement price on the standardization of exchange traded derivatives, bid price, bid price, the price of the transaction, or a or more of data.
10. -种非临时性计算机可读存储介质,在其上记录有计算机可执行的指令,当所述指令在计算机上执行时配置计算机以执行计算政府债券波动率指数的方法,所述方法包含: 接收关于政府债券衍生的期权的数据; 使用关于政府债券衍生的期权的数据来计算政府债券波动率指数;以及传送关于政府债券波动率指数的数据。 10. - kind of non-transitory computer-readable storage medium having recorded thereon a computer-executable instructions, the instructions configure the computer when executed on a computer to perform the calculation of VIX government bond, the method comprising : receive data regarding government bonds derived option; government bonds derived using data on the option to calculate government bond VIX; and transmitting data on the government bond VIX.
11. 根据权利要求10所述的非临时性计算机可读存储介质,其中关于政府债券衍生的期权的数据包括关于政府债券衍生的期权的价格的数据。 11. The readable storage medium, wherein the data derived on government bonds options include data regarding prices of government bonds derived options according to a non-transitory computer according to claim 10.
12. 根据权利要求11所述的非临时性计算机可读存储介质,其中关于政府债券衍生的期权的价格的数据包括关于政府债券期货或政府债券远期的期权的价格的数据。 12. The readable storage medium, wherein the data on prices of government bonds derived options include data regarding long-term government bonds or bond futures price option governmental non-transitory computer according to claim 11.
13. 根据权利要求12所述的非临时性计算机可读存储介质,其中根据下面的等式在时间t时计算出政府债券波动率指数: 13. The non-transitory computer according to claim 12 readable storage medium, wherein the time t calculated at the government bond VIX according to the following equation:
Figure CN105339973AC00072
其中: t表示计算政府债券波动率指数的时间; T表示政府债券衍生的期权的满期的时间; TD表示成为期权的标的的政府债券衍生的到期的时间,其中TD多T ; !;表示政府债券的满期的时间; Z+1表示在指数计算中所使用的期权的总数量; K。 Where: t represents the computation time government bonds VIX; T represents the period of time over government bonds derived from options; TD represents the time derivative of the maturity of government bonds has become the subject of options, which the TD multi-T;; represent! expiration time government bonds; Z + 1 represents the total number of index used in the calculation of the option; K. 表示Ζ+l个期权中的最低履约; I表示Z+1个期权中的第i个最高履约; κζ表示Ζ+l个期权中的最高履约; + L [zeta] represents a minimum compliance of options; I means Z + 1 in the i th option highest compliance; κζ Ζ + l th represents the highest performance option;
Figure CN105339973AC00081
如果价格在时间t时是可观察的,则Ft(TD,ΤΝ)是在政府债券衍生合同成为在TD时满期的认沽和认购期权的标的的时间t时的价格,其中标的政府债券在1;时到期; 如果价格在时间t时是不可观察的,则Ft (TD,TN)是认沽和认购价格之间的差异最小时的履约; 如果存在以Ft(TD,TN)履约的期权,则ΐς等于F t(TD,TN); 如果不存在以Ft(TD,TN)履约的期权,则ΐς是低于F t(TD,TN)的第一可用履约; pt(T)是在T时到期的零息票不可违约的债券的时间t时的价格; Putt (Kp T,TD,TN)是以I履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在1;时到期的标的债券的认沽期权的时间t时的价格; Calltd T,TD,TN)是以I履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在1;时到期的标的债券的认购期权的时间t时的价格;以及GB-VI(t,T,TD,TN)是基于在TD时满期 If the price at time t is observable, then Ft (TD, ΤΝ) in government bond derivatives contracts as the price at expiration on the subject of the put and call options t in TD during which the subject of government bonds 1; expires; if the price is not observed at time t, then the Ft (TD, TN) is put at the minimum difference between the performance and the price of the subscription; if present in Ft (TD, TN) compliance option, the ΐς equal to F t (TD, TN); if Ft (TD, TN) compliance option does not exist, then the first available ΐς compliance is less than F t (TD, TN) is; pt (T) is price at maturity at T zero-coupon bonds can not default time t; Putt (Kp T, TD, TN) is I-compliance, at the expiration of the time T and with the expiration of the time scale TD the price of the put option when the underlying bond maturing time when t;; government bonds and derivatives at 1 Calltd T, TD, TN) is I-compliance, the expiration of the time T and TD has the expiration of the time the subject of government bonds and derivatives at 1; the price of a call option at the time of maturity of the underlying bond of t; and GB-VI (t, T, TD, TN) is based on the expiration of the time TD 的政府债券衍生和在1\时到期的标的债券的、 在T时满期的期权所计算出的时间t时的政府债券波动率指数的值。 The value of government bonds when the VIX expiration of options calculated at time t T at maturity government bonds and derivatives in the 1 \ when the underlying bonds.
14.根据权利要求12所述的非临时性计算机可读存储介质,其中根据下面的等式在时间t时计算出政府债券波动率指数: 14. A non-transitory computer according to claim 12 readable storage medium, wherein the time t calculated at the government bond VIX according to the following equation:
Figure CN105339973AC00082
其中: t表示计算政府债券波动率指数的时间; T表示政府债券衍生的期权的满期的时间; TD表示成为期权的标的的政府债券衍生的到期的时间,其中TD多T ; !;表示政府债券的满期的时间; Ζ+l表示在指数计算中所使用的期权的总数量; K。 Where: t represents the computation time government bonds VIX; T represents the period of time over government bonds derived from options; TD represents the time derivative of the maturity of government bonds has become the subject of options, which the TD multi-T;; represent! expiration time government bonds; Ζ + l represents the total number of index used in the calculation of the option; K. 表示Ζ+l个期权中的最低履约; I表示Ζ+l个期权中的第i个最高履约; κζ表示Ζ+l个期权中的最高履约; + L [zeta] represents a minimum compliance of options; I means Ζ + l i-th option of highest compliance; κζ Ζ + l th represents the highest performance option;
Figure CN105339973AC00083
如果价格在时间t时是可观察的,则Ft(TD,ΤΝ)是在政府债券衍生合同成为在TD时满期的认沽和认购期权的标的的时间t时的价格,其中标的政府债券在1;时到期; 如果价格在时间t时是不可观察的,则Ft (TD,TN)是认沽和认购价格之间的差异最小时的履约; 如果存在以Ft(TD,TN)履约的期权,则ΐς等于F t(TD,TN); 如果不存在以Ft(TD,TN)履约的期权,则ΐς是低于F t(TD,TN)的第一可用履约; pt(T)是在T时到期的零息票不可违约的债券的时间t时的价格; Putt (Kp T,TD,TN)是以I履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在1;时到期的标的债券的认沽期权的时间t时的价格; Calltd T,TD,TN)是以I履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在1;时到期的标的债券的认购期权的时间t时的价格;以及GB-VIbp(t,T,TD,TN)是基于在TD时满 If the price at time t is observable, then Ft (TD, ΤΝ) in government bond derivatives contracts as the price at expiration on the subject of the put and call options t in TD during which the subject of government bonds 1; expires; if the price is not observed at time t, then the Ft (TD, TN) is put at the minimum difference between the performance and the price of the subscription; if present in Ft (TD, TN) compliance option, the ΐς equal to F t (TD, TN); if Ft (TD, TN) compliance option does not exist, then the first available ΐς compliance is less than F t (TD, TN) is; pt (T) is price at maturity at T zero-coupon bonds can not default time t; Putt (Kp T, TD, TN) is I-compliance, at the expiration of the time T and with the expiration of the time scale TD the price of the put option when the underlying bond maturing time when t;; government bonds and derivatives at 1 Calltd T, TD, TN) is I-compliance, the expiration of the time T and TD has the expiration of the time the subject of government bonds and derivatives at 1; the price of a call option at the time of the underlying bond due at the time of t; and GB-VIbp (t, T, TD, TN) is based full time in TD 的政府债券衍生和在T #寸到期的标的债券的、 在T时满期的期权所计算出的时间t时的政府债券波动率指数的值。 The value of government bonds when the VIX expiration of options calculated at time t T when government bonds and derivatives at T #-inch maturity of the underlying bond.
15.根据权利要求12所述的非临时性计算机可读存储介质, 其中,当不存在时间T时的应计息票时,根据下面的等式在时间t时计算出政府债券波动率指数: 15. The readable storage medium, wherein, when the accrued coupon does not exist at time T, the time t calculated at the government bond VIX according to the following equation non-transitory computer according to claim 12, wherein:
Figure CN105339973AC00091
并且,其中,当存在在时间T时的应计息票和在时间t,时应付的下一个息票时,根据下面的等式在时间t时计算出政府债券波动率指数: And, wherein, when there is time T and accrued coupon at time t, at the time of a coupon deal, the following equation is calculated according to the government bond VIX at time t:
Figure CN105339973AC00092
其中: t表示计算政府债券波动率指数的时间; T表示政府债券衍生的期权的满期的时间; tj是在Τ时或之后的第一息票支付; TD表示成为期权的标的的政府债券衍生的到期的时间,其中TD多T ; !;表示政府债券的满期的时间; Z+1表示在指数计算中所使用的期权的总数量; K。 Where: t represents the computation time government bonds VIX; T represents the period of time over government bonds derived from options; tj is the first coupon is payable on or after Τ; TD said the government bond derivatives become the subject of options time expired, in which multi-TD T;!; represents the expiration of the government bonds of time; Z + 1 represents the total number of index used in the calculation of the option; K. 表示Z+1个期权中的最低履约; I表示Z+1个期权中的第i个最高履约; κζ表示Z+1个期权中的最高履约; Z + 1 represents one option lowest compliance; I means Z + 1 in the i th option highest compliance; κζ Z + 1 th represents the highest performance option;
Figure CN105339973AC00101
如果价格在时间t时是可观察的,则Ft(TD,ΤΝ)是在政府债券衍生合同成为在TD时满期的认沽和认购期权的标的的时间t时的价格,其中标的政府债券在1;时到期; 如果价格在时间t时是不可观察的,则Ft (TD,TN)是认沽和认购价格之间的差异最小时的履约; 如果存在以Ft(TD,TN)履约的期权,则ΐς等于F t(TD,TN); 如果不存在以Ft(TD,TN)履约的期权,则ΐς是低于F t(TD,TN)的第一可用履约; pt(T)是在T时到期的零息票不可违约的债券的时间t时的价格; Putt (Kp T,TD,TN)是以I履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在1;时到期的标的债券的认沽期权的时间t时的价格; Calltd T,TD,TN)是以I履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在1;时到期的标的债券的认购期权的时间t时的价格; N表示政府债券的息票支付的总数量; If the price at time t is observable, then Ft (TD, ΤΝ) in government bond derivatives contracts as the price at expiration on the subject of the put and call options t in TD during which the subject of government bonds 1; expires; if the price is not observed at time t, then the Ft (TD, TN) is put at the minimum difference between the performance and the price of the subscription; if present in Ft (TD, TN) compliance option, the ΐς equal to F t (TD, TN); if Ft (TD, TN) compliance option does not exist, then the first available ΐς compliance is less than F t (TD, TN) is; pt (T) is price at maturity at T zero-coupon bonds can not default time t; Putt (Kp T, TD, TN) is I-compliance, at the expiration of the time T and with the expiration of the time scale TD the price of the put option when the underlying bond maturing time when t;; government bonds and derivatives at 1 Calltd T, TD, TN) is I-compliance, the expiration of the time T and TD has the expiration of the time the subject of government bonds and derivatives at 1; the price of a call option at the time of maturity of the underlying bond of t; N is the total number of coupon payments on government bonds; (^表示政府债券的N个息票之中的第i个息票的量; η表示政府债券的每年的息票支付的频率; y表示政府债券的收益; X表示政府债券的收益; 足对应于附息政府债券的债券收益的债券价格; 卢\>.·'.)是/tF>的函数逆; 是对应于附息政府债券的债券收益的时间T时的债券价格; .卢;知)是的函数逆; dc (year)是基于用于政府债券的天计数惯例的一年中的天的数量; dc(Tt)是基于用于政府债券的天计数惯例的t和T之间的天的数量; (^ Represents the i-th coupon amount among the N-coupon government bonds; η represents the frequency of coupon payments each year government bonds; y represents government bond yield; X represents government bond yield; the corresponding foot in interest-bearing bond prices bond yields of government bonds;.. Lou \> · ') is / tF> function inverse; bond prices corresponding to the interest-bearing bonds yielding government bonds of time T of; Lu; know ) is a function of the inverse; dc (year) is based on counting the number of days of practice for the government bonds of days in a year; dc (Tt) is between t for government bonds and T-day count convention based the number of days;
Figure CN105339973AC00102
是按照基于在TD时满期的政府债券衍生和在1^时到期的标的债券的、在T时满期的期权所计算出的时间t时的基点收益波动率的政府债券波动率指数的值; GB-VIbp(t,T,TD,TN)是按照基于在TD时满期的政府债券衍生和在1\时到期的标的债券的、在T时满期的期权所计算出的时间t时的基点价格波动率的政府债券波动率指数的值;以及GB-VI (t,T,TD,TN)是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的百分比价格波动率的政府债券波动率指数的值。 According to government bonds is the VIX, return volatility point when the expiration of options calculated at time t T based upon the expiration of the TD and government bond derivatives expire in 1 ^ when the underlying bond value; GB-VIbp (t, T, TD, TN) is based in accordance with the expiration of the time TD bonds derived in the government and expiration 1 \ when the underlying bond, at the expiration of the time T calculated time option price volatility point value of government bonds at t VIX; and GB-VI (t, T, TD, TN) is based in accordance with the expiration of the TD when government bond derivatives and expires when the underlying bond in TN the value of government bonds VIX percentage price volatility at the time of expiration of options calculated at time t T time.
16.根据权利要求12所述的非临时性计算机可读存储介质,其中根据下面的等式在时间t时计算出政府债券波动率指数: 16. A non-transitory computer according to claim 12 readable storage medium, wherein the time t calculated at the government bond VIX according to the following equation:
Figure CN105339973AC00111
其中: t表示计算政府债券波动率指数的时间; T表示政府债券衍生的期权的满期的时间; TD表示成为期权的标的的政府债券衍生的到期的时间,其中TD多T ; !;表示政府债券的满期的时间; Z+1表示在指数计算中所使用的期权的总数量; K。 Where: t represents the computation time government bonds VIX; T represents the period of time over government bonds derived from options; TD represents the time derivative of the maturity of government bonds has become the subject of options, which the TD multi-T;; represent! expiration time government bonds; Z + 1 represents the total number of index used in the calculation of the option; K. 表示Z+1个期权中的最低履约; I表示Z+1个期权中的第i个最高履约; κζ表示Z+1个期权中的最高履约; Z + 1 represents one option lowest compliance; I means Z + 1 in the i th option highest compliance; κζ Z + 1 th represents the highest performance option;
Figure CN105339973AC00112
如果价格在时间t时是可观察的,则Ft(TD,ΤΝ)是在政府债券衍生合同成为在TD时满期的认沽和认购期权的标的的时间t时的价格,其中标的政府债券在1;时到期; 如果价格在时间t时是不可观察的,则Ft (TD,TN)是认沽和认购价格之间的差异最小时的履约; 如果存在以Ft(TD,TN)履约的期权,则ΐς等于F t(TD,TN); 如果不存在以Ft(TD,TN)履约的期权,则ΐς是低于F t(TD,TN)的第一可用履约; pt(T)是在T时到期的零息票不可违约的债券的时间t时的价格; Putt (Kp T,TD,TN)是以I履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在1;时到期的标的债券的认沽期权的时间t时的价格; Calltd T,TD,TN)是以I履约的、在T时满期的并且具有在TD时满期的标的政府债券衍生和在1;时到期的标的债券的认购期权的时间t时的价格; N表示政府债券的息票支付的总数量; If the price at time t is observable, then Ft (TD, ΤΝ) in government bond derivatives contracts as the price at expiration on the subject of the put and call options t in TD during which the subject of government bonds 1; expires; if the price is not observed at time t, then the Ft (TD, TN) is put at the minimum difference between the performance and the price of the subscription; if present in Ft (TD, TN) compliance option, the ΐς equal to F t (TD, TN); if Ft (TD, TN) compliance option does not exist, then the first available ΐς compliance is less than F t (TD, TN) is; pt (T) is price at maturity at T zero-coupon bonds can not default time t; Putt (Kp T, TD, TN) is I-compliance, at the expiration of the time T and with the expiration of the time scale TD the price of the put option when the underlying bond maturing time when t;; government bonds and derivatives at 1 Calltd T, TD, TN) is I-compliance, the expiration of the time T and TD has the expiration of the time the subject of government bonds and derivatives at 1; the price of a call option at the time of maturity of the underlying bond of t; N is the total number of coupon payments on government bonds; (^表示政府债券的N个息票之中的第i个息票的量; η表示政府债券的每年的息票支付的频率; X表示政府债券的收益; $、〇:)是对应于附息政府债券的债券收益的债券价格; 卢办:)是Α(Χ),的函数逆; dc (year)是基于用于政府债券的天计数惯例的一年中的天的数量; dc(Tt)是基于用于政府债券的天计数惯例的t和T之间的天的数量; tj是在T时或之后的第一息票支付; (^ Represents the i-th coupon amount among the N-coupon government bonds; η represents the frequency of coupon payments each year government bonds; X represents government bond yield; $, corresponding to the attached square :) interest rates bond yields on government bonds bond prices; Lu do :) is Α (Χ), the inverse function; dc (year) is based on the number of days in the year-day count convention for government bonds; dc (Tt ) it is based on the number of days between the day count for government bonds and T t practice; TJ coupon is paid after the first time or T;
Figure CN105339973AC00121
是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的基点收益波动率的政府债券波动率指数的值; GB-VIbp(t,T,TD,TN)是按照基于在TD时满期的政府债券衍生和在1\时到期的标的债券的、在T时满期的期权所计算出的时间t时的基点价格波动率的政府债券波动率指数的值; GB-VI (t,T,TD,TN)是按照基于在TD时满期的政府债券衍生和在TN时到期的标的债券的、在T时满期的期权所计算出的时间t时的百分比价格波动率的政府债券波动率指数的值。 According to government bonds is the VIX, the volatility of earnings basis points when the expiration of options calculated at time t T based upon the expiration of the TD due and government bond derivatives in TN when the value of the underlying bond ; GB-VIbp (t, T, TD, TN) t is based in accordance with the expiration of the TD when government bond derivatives and expires in 1 \ when the underlying bonds in T when the expiration of the option calculated time price volatility point value of government bonds when the VIX; GB-VI (t, T, TD, TN) is based in accordance with the expiration of the TD when government bond derivatives and maturity of the underlying bond when in TN, the value of government bonds VIX percentage price volatility at the time of expiration of options calculated at time t T time.
17. 根据权利要求10所述的非临时性计算机可读存储介质,其中至少一个处理器还被使得: 基于政府债券波动率指数来创建标准化的交易所交易衍生工具;以及传送关于标准化的交易所交易衍生的数据。 17. The non-transitory computer-readable storage medium according to claim 10, wherein the at least one processor is further such that: to create standardized exchange-traded derivatives based on government bond VIX; and transmitting on standardization of exchange derivative transactions data.
18. 根据权利要求17所述的非临时性计算机可读存储介质,其中传送关于标准化的交易所交易衍生工具的数据包括传送关于标准化的交易所交易衍生工具的结算价格、出价价格、报价价格、或交易价格中的一个或多个的数据。 18. A non-transitory computer according to claim 17 readable storage medium, wherein the data transmitted on the standardization of exchange traded derivatives comprising transmitting settlement price on the standardization of exchange traded derivatives, bid price, bid price, or data transaction price of one or more of them.
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