CN108256925A - Broad sense swapping - Google Patents
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Abstract
The present invention provides the template of a broad sense swapping to design, exploitation, price and the management of the complicated structural derived product of bank's progress, wherein for conventional transaction attribute, such as capital (Notional), start day (Start Date), etc., the bookkeeping page layout of broad sense swapping is as regular trading.But for Interval rate (including Coupon Coupon, it converges and ceases Quanto and accumulation factor Range), broad sense is mutually changed commanders to be inputted using the Writing method of broad sense interest rate, make foreground that directly various Complex Product Designs be come out by simple formula on the bookkeeping page, background computer system accurately understands the related product attribute of identification by inputting formula, and it is parsed into code object and is calculated, so as to solve the problems, such as that the quantity of structural product market benchmark and combination are uncertain, the data that complex transaction is carried out using traditional method are shown, transmission and storage, shorten product design and development cycle, meet the fast-developing market demand.
Description
First, technical field
The present invention relates to the pricing system that bank and financial institution carry out financial derivative product transaction, especially to complexity
Structural derived product is developed, the technology of price and trade management.
2nd, background technology
Financial derivative product is the transaction frequently carried out on Inter-Bank Market, and transaction value is by some market benchmark
The price decision of (or target assets).The income of simple derived product will link up with a market benchmark, such as dollar interest rate is mutual
Change the transaction that (IRS) is three months dollar LIBOR interest rates of a hook.Complicated derived product can link up with multiple market bases
Standard for example, following dual section adds up the structural interest rate swap of type, will link up with the benchmark interest rate and a benchmark of 4 dollars
The exchange rate, i.e., the exchange interest rate S30Y of 30 years, the exchange interest rate S2Y of 2 years, 6 months LIBOR interest rates L6M, the LIBOR interest rates of 3 months
The dollar RMB exchange rate X that L3M and the Chinese Administration of Foreign Exchange announce：
Notional principal：100,000,000 RMB
It merchandises the time limit：It 10 years, quarterly pays the bill
Pay interest rate：7% × n/N, the rule that bears interest are 30/360, wherein,
N is the number of days of (S30Y-S2Y ＞ 0) and (L6M ＜ 5%) in payment section,
N is the payment total number of days in section
Collect interest rate：L3M+0.2%, the rule that bears interest is ACT/360, front end resetting
Complete a business transaction currency type：Dollar, it is exchanged by the exchange rate X on pay day.
There is structural derived product in market various demands, but can bank and financial institution a derivative
Product is released market and is traded, and can a principal element be to establish pricing model to this derived product to count with system
Calculate its price.According to traditional System design technology, one typically is introduced to each market benchmark or interest rate coefficient
Word domain is described, to adding between them, subtract, multiplication and division, be less than, more than etc. syntagmatics, also make corresponding design it is fixed under
Come.For structural product, the market benchmark linked up with has very big randomness, their quantity is to determine, their group
Conjunction mode is also ever-changing, it is difficult to just design fixed masterplate in advance to carry out system development.In this way, whenever market proposes one
During a new complex transaction variety requirement, bank will spend very big human and material resources to go exploitation pricing model and system,
As a result, often delaying the time, best transaction opportunity is missed.
The transaction bookkeeping system of some system developments quotient exploitation, such as NumeriX and Summit, attempts to compile using a kind of script
The problem of this market benchmark word domain of some tool for processing of journey language development is excessive.However, their a programming language often piece
It is excessive to be directly inputted on the transaction bookkeeping page, it is also necessary to which that deal maker passes through more advanced mathematics and computer science language
Training could use, many by being limited, and can not promote.
3rd, invention content
The present invention proposes a kind of new technical solution for the designing and developing for structural derived product of above this complexity.
The structural derived product of one major class is summarized as a kind of " broad sense swapping " by the present invention, the complex combination of multiple market benchmarks
It is constructed by simple " broad sense interest rate ", designs a kind of simple and rigorous formula computational methods to write broad sense interest rate,
So as to which deal maker can be inputted it by a character type-word domain on the transaction bookkeeping page so that structural derived product
It designs and develops and reaches standardization.
The swapping of one structural derived product is generally collected leg and (is referred to as exchanging by a payment leg and one
Leg) it forms.Each leg that exchanges includes several payment sections.If the payment amount Payment in each section can be expressed as
Payment=Notional × PerdRate × YearFraction (1)
Wherein, Notional is notional principal, and PerdRate is Interval rate, and YearFraction is the year factor, then
This transaction is referred to as broad sense swapping.The complexity of structural derived product is the construction of PerdRate.The core of the present invention
The heart is that Interval rate PerdRate is decomposed into several broad sense interest rate genIndex, formulates methodology to write broad sense interest rate.
On the one hand, this Writing method will be easily understood, according to business demand in the word domain of the bookkeeping page that can merchandise on foreground
It directly inputs, does not need to use high-level programming language so that the deal maker that advanced mathematical training has not been received in bank also can be easy
It grasps and uses, on the other hand, this Writing method wants rigorous complete, and background computer system is allowed to be easily understood that identification calculates
Expression formula, and be parsed into code object and carry out numerical computations.
According to the situation of various labyrinth derived products merchandised currently on the market, handed over present invention provide that broad sense is exchanged
Element and rule are as follows used by writing broad sense interest rate in easily：
1. number, but do not include percentage colon " % ", such as 0.0314 is written as by 3.14%.
2. all market benchmarks are all identified using a market name+bottom horizontal line+time limit.For example, the Shanghai same trade is torn open
By means of three months RMB SHIBOR benchmark interest rates that center is announced, it is denoted as CNYSH_3M, dollar LIBOR interest rate swaps in the market 30
The exchange benchmark interest rate in year is denoted as USDLB_S30Y or USDLB_S30Y.F.In this way, computer system is easy to through bottom horizontal line
It is a market benchmark to recognize some character string.
3. basic operations accord with：Plus sige "+", minus sign "-", multiplication sign " * ", division sign "/", less than " ＜ ", less than or equal to " ＜=".
4. structure arithmetic accords with：Max, Min, And, Or, Mul, Div, If.
5. round parentheses (...) and comma, ".At most only allow a round parentheses occur in one formula, it is wherein included
Content is the object of structure arithmetic symbol effect.
6. for the identifier that specific use defines, such as LastCpn, LastCpnRng represent the Interval rate in previous section
(calculating when snowball type exchanges needs).
7. square brackets [...].At most only allow a square brackets occur in one formula, wherein containing up to a structure
Operator and a specific use identifier.
The construction of broad sense interest rate is since most basic base interest rate baseIdx.Base interest rate is by most two numbers, most
More two market benchmarks, are bonded by multiplication sign and the division sign, are typically expressed as：
baseIdx：cFront(op1)index1(op2)index2/cBack (2)
Here, cFront and cBack for former and later two number, (op1) and (op2) be multiplication sign " * " or division sign "/",
Index1 and index2 is some market benchmark.Here is some examples of base interest rate：
0.025
3*USDLB_S30
3*USDLB_3M*USDCNY_0D/6.236
Several base interest rates are added together by plus-minus method, and one lower limit of front and rear imparting and upper limit (
Can there is no bound or only one of which), obtain a compound rate comIndex：
comIndex：Low ＜ baseIdx1+baseIdx2+...+baseIdxN ＜ high (3)
Wherein less-than operation symbol " ＜ " can be become less than equal to " ＜=" oeprator, and plus sige "+" can become to subtract
Number "-".For example, following expression formula is a compound rate：
0.012 ＜=- 0.025+3*USDLB_S30-3*USDLB_3M*USDCNY_0D/6.236 ＜=0.03234
In the price of derived product, there are two types of purposes for the Interval rate of product：First, it figures interest, at this moment, above
ComIndex will calculate a numerical value, be equal to following expression less than (or less than or equal to) operator
ComIndex=min (max (low, baseIdx1+baseIdx2+...+baseIdxN), high) is patrolled second is that calculating
Value (1 or 0) is collected, at this moment formula (3) is equal to
ComIndex=1, iflow ＜ baseIdx1+baseIdx2+...+baseIdxN ＜ high；
=0, otherwise
Several compound rates with comma are separated, and are combined by structure arithmetic symbol, a structure profit will be obtained
Rate.Such as
Max (comIndex1, comIndex2 ..., comIndexN)
It represents to take out numerical value maximum from all comIndex items, similar Min is from all comIndex items
Take out numerical value minimum.
And (comIndex1, comIndex2 ..., comIndexN)
It represents that when all comIndex are 11 will be taken, otherwise takes 0.
Or (comIndex1, comIndex2 ..., comIndexN)
As long as 1 will be taken when comIndex is 1 there are one representing, 0 is otherwise taken.
Mul (comIndex1, comIndex2 ..., comIndexN)
It represents the numerical value of all comIndex items being multiplied.
Div (comIndex1, comIndex2 ..., comIndexN)
Represent all item by first item divided by below, i.e. comIndex1/comIndex2/.../comIndexN.
If (comIndex1, comIndex2, comIndex3)
It represents
If (comIndex1, a, b)=a, if comIndex1==1；
=b, otherwise
From example above as it can be seen that only If fixes three variables, the variable number that other structures operator is acted on
It is arbitrary.Structure interest rate can also only there are one compound rate comIndex compositions, at this moment do not need to structure arithmetic symbol.
One broad sense interest rate genIndex can be structural interest rate above or on the basis of structural interest rate,
It is added/subtracted from one containing specific use identifier, such as LastCpn and the product of number 3
genIndex：Max (comIndex1, comIndex2 ..., comIndexN)+3*LastCpn (4)
If desired, square brackets can be used to assign a upper and lower bound to them.Such as
genIndex：Floor ＜ [If (comIndex1, comIndex2, comIndex3) -2*LastCpn] ＜ cap
(5)
Here less than sign " ＜ " can also make into be less than or equal to number " ＜=", and operation mode is similar with formula (3), can be with
It is (result is 1 or 0) of numeric type (result is Any Digit) or logical type.
According to the characteristics of structural derived product, genIndex points by broad sense interest rate of broad sense swapping is two types,
A kind of is scalar type, is denoted as cpnIndex, and for calculating Coupon Coupon, by Max, Min, Mul, Div, If is (outside square brackets
＜ and ＜=be also min, max calculate) carry out operation and obtain arbitrary numerical value.Another is logical type, is denoted as
RanIndex, for computation interval accumulation factor Range, by And and Or (＜ and ＜ outside square brackets=also do logical calculated)
Carry out operation.If it is 0 or 1 to calculate the primary result that obtains, if calculated repeatedly, averagely it is situated between to multiple result
A number between 0 and 1.So an Interval rate can be generally expressed as
PerdRate=cpnIndex1*ranIndex1+...+cpnIndexN*ranIndexN (6)
Wherein each cpnIndex and ranIndex is independent input.If the currency type and branch of notional principal of merchandising
The currency type for paying the amount of money is different, can also be write as Interval rate
PerdRate=(cpnIndex1*ranIndex1+...) * quoIndex (7)
Here quaIndex (qua derives from quanto) is also the broad sense interest rate of a scalar type, for calculating two coin
The exchange rate and independent input between kind.
4th, specific embodiment
The broad sense interest rate formula Writing method that broad sense swapping is formulated was not only rigorous but also simple, not by advanced mathematical
Trained people can be easy to learn, and not need to using high-level programming language, easily direct on the foreground transaction bookkeeping page
Input calculation expression.In the design of structure derived product, using the formula Writing method of broad sense interest rate, foreground deal maker can
To be easy to input Coupon Coupon, accumulation factor Range and exchange rate Quanto according to the market demand, passed to by interface document
Background computer is parsed.In this way, the market benchmark linked up with of structural product uncertainty quantitatively and combining
The problem of arbitrariness in mode, just solves.
The logic rules of formula Writing method formulated above are rigorous, and computer program easy to use is parsed.
After computer reads in genIndex, that is, formula (4) or (5), function decomposition into analytic function can be carried out according to following program：
1. it checks in the formula of genIndex either with or without specific use identifier LastCpn, LastCpnRng.If so,
They are separated and writes down the coefficient before them；Then it checks in formula either with or without square brackets [...].If there is side
Bracket separates floor and cap；
2. remaining formula is exactly a structure interest rate.It checks in this structure interest rate formula and is accorded with either with or without structure arithmetic：
Max, Min, And, Or, Mul, Div, If.If so, structure interest rate will be made of several compound rates, such as：And
(comIndex1, comIndex2 ..., comIndexN), using comma, " can be by these compound rates point as separator
It opens.
3. if accorded with without structure arithmetic, only there are one compound rate comIndex in itself for structure interest rate.
4. compound rate comIndex is recycled below.First check in comIndex either with or without less than sign " ＜ " and
Less than or equal to number " ＜=".If any, low and high are first separated deposit, low and high is only to count here
Word, without market benchmark (not having bottom horizontal line " _ "), program can be easy to recognize.Remaining formula is exactly several bases
Interest rate is combined with, such as
baseIdx1+baseIdx2+...+baseIdxN
5. remaining formula is decoupled using plus sige "+" or minus sign "-", obtain single base interest rate baseIdx：
baseIdx：cFront(op1)index1(op2)index2/cBack
Base interest rate baseIdx is decoupled using multiplication sign " * " and division sign "/", isolate two coefficient cFront and
CBack, two market benchmarks index1 and index2, and record two oeprators op1 and op2.
In this way, entire broad sense interest rate is just decomposed and is finished.It with C++ programming languages is above wide that the annex at this specification end, which is,
The code that the resolving of adopted interest rate is write.
It, can be by the bookkeeping page and data of traditional simple transaction using the formula Writing method of broad sense interest rate genIndex
Transfer mode is directly extended on complicated structural derived product.For the bookkeeping space of a whole page of a broad sense swapping, remove
Other than the word domain for representing income interest rate, other word domains, for example, notional principal (Notional), the rule of bearing interest (Day
Count), working day regular (BusDay) etc. word domain, all provides in advance, all with simple interest rate swap phase
Together.And those represent the word domain of income interest rates, such as these word domains of Coupon Coupon, accumulation factor Range and exchange rate Quanto, but
It is to be manually entered by deal maker according to the rule of genIndex, the number and combined method thousand of the market benchmark contained by the inside become ten thousand
Change, but be all included in a word domain as a character string, the transmission of data and storing mode can be determined clearly.This
Many convenience are brought to the design of transaction system.
It is structural product to have significant portion in financial derivative product.Design and develop the main of this structural derived product
Difficulty, the quantity for being the market benchmark linked up with is uncertain, and combination thereof mode is also uncertain.The present invention proposes
" broad sense swapping " introduces broad sense interest rate and carrys out the complicated Interval rate of the structural derived product of Unify legislation, and define
A set of simple, rigorous and complete formula computational methods so that foreground deal maker can easily input according to the market demand
Interest rate element, background computer program can correctly parse these elements, and the price to be traded provides the foundation, transaction
The transmission of data and storage problem are also resolved.
5th, it illustrates
Various application cases are provided to broad sense swapping with reference to the accompanying drawings of the specification, the displaying present invention is tying
The advance of the design of structure derived product, bookkeeping of merchandising, data transmission storage and system pricing calculating etc..
Fig. 1：Broad sense swapping is in the displaying of simple transaction.The transaction exchange leg Interval rate only there are one
The broad sense interest rate of scalar type, wherein containing only a market benchmark：The dollar LIBOR interest rates USDLB_6M of 6 months.This simple
In the case of, the bookkeeping page of broad sense swapping is identical with conventional interest rate swap.
Fig. 2：The displaying of the data format of XML transmission file of the broad sense swapping in simple transaction situation (Fig. 1),
It is identical with simple interest rate swap.
Fig. 3：Broad sense swapping adds up the displaying that type exchanges leg in section.The Interval rate of leg is exchanged in the transaction
There are one the broad sense interest rate (Coupon) of scalar type and the broad sense interest rate (Range) of a logical type, containing a market benchmark：6
The dollar LIBOR interest rates USDLB_6M of a month.For others transaction attribute, such as capital (Notional), start day (Start
Date), etc., as the bookkeeping page layout of broad sense swapping with conventional interest rate swap is.But in Interval rate (packet
Include Coupon Coupon and accumulation factor Range) description in terms of, broad sense mutually change commanders using broad sense interest rate Writing method come it is defeated
Enter, wherein multiple market benchmarks and some mathematical operators can be included.
Fig. 4：Broad sense swapping adds up the data format for the XML transmission files that type is exchanged in leg situation (Fig. 3) in section
Displaying.
Fig. 5：Broad sense swapping adds up the displaying that type exchanges leg between snowball/two-region.Leg is exchanged in the transaction
Interval rate have the broad sense interest rate (Coupon) of two scalar types and the broad sense interest rate (Range) of two logical type, containing multiple
Market benchmark and the specific use identifier LastCpnRng for representing snowball.
Fig. 6：Broad sense swapping adds up the XML transmission files that type is exchanged in leg situation (Fig. 5) between snowball type/two-region
Data format displaying.
Fig. 7：Broad sense swapping adds up type in the payment amount currency type section different from capital currency type and exchanges leg
Displaying.Broad sense interest rate (Coupon, Quanto) and a logic of the Interval rate there are two scalar type of leg are exchanged in the transaction
The broad sense interest rate (Range) of type, contains multiple market benchmarks.
Fig. 8：Broad sense swapping adds up type in the payment amount currency type section different from capital currency type and exchanges leg situation (figure
7) displaying of the data format of the XML transmission files under.
Fig. 9：The broad sense swapping accorded with using If (...) structure arithmetic, the wherein market benchmark in Coupon (Coupon)
It is one Euro/dollar of exchange rate reference.
Figure 10：Use triple Coupons (Coupon) and the broad sense interest rate swap leg of triple accumulation factors (Range).The transaction
Similar cake-shaped structure derived product also uses Div (...) structure arithmetic symbol.Upper in application, the number of broad sense interest rate can be with
It is arbitrary more.
Figure 11：The broad sense swapping constructed using the ＆ p 500 stock index in the U.S..Construction broad sense interest rate not only limits
In the market benchmark for using interest rate and the exchange rate, the market benchmark of stock and commodity can also be used.
Figure 12：Using broad sense exchange merchandise using the foreign exchange trading of having ready conditions of Hongkong dollar purchase dollar.
Figure 13：The result displaying case valuated using the technology of broad sense swapping to a structural derived product
Example.The notional principal of the transaction is 500,000,000 RMB, is terminated since 2012-03-03 to 2020-03-03, quarterly pays the bill one
It is secondary.The interest rate of payment is the reversed floating interest rate that a dual section adds up type：
Max (5.2%-3 × USDLB_6M) × n/N, the rule that bears interest are ACT/360, wherein,
N is the number of days of USDLB_S30Y-USDLB_S10Y ＞ 0 and USDLB_3M ＜ 4% in payment section,
N is the payment total number of days in section
Because payment amount is dollar, calculating bear interest after, will also divided by dollar RMB spot rate USDCNY_
ST.The Interval rate that end is exchanged in this transaction is more complicated, but by broad sense swapping, can be more convenient Interval rate
Input allows computer that all market benchmarks are all accurately obtained and comes out, completes price.Following attached drawing is that the transaction is exchanged
The detailed valuation result of leg.
Figure 14：The payment sequence pricing table (whole figure) of (Figure 13) is moved back in the exchange of broad sense swapping.
Figure 15：The payment sequence pricing table (part) of (Figure 14) is moved back in the exchange of broad sense swapping.
Figure 16：The payment sequence pricing table (part) of (Figure 14) is moved back in the exchange of broad sense swapping, what is read in from Figure 13
The Coupon (Coupon) and accumulation factor (Range) exchanged on the leg page comes out again.
Figure 17：The payment sequence pricing table (part) of (Figure 14) is moved back in the exchange of broad sense swapping, shows the profit in each section
Rate (Rate), the result of calculation of conversion rate (Quanto) and payment amount (Payment), discount factors (Zcdf) and
The detailed results of present worth (Pv).
Figure 18：In the exchange leg sequence (Figure 14) of broad sense swapping, the 20th phase payment sequence Coupon (Coupon) and
The resetting sequence (whole figure) of the market benchmark of accumulation factor (Range).Using computer program to broad sense interest rate pricing formula into
Row partition, obtains each market benchmark：USDLB_6M, USDLB_S30Y, USDLB_S10Y, USDLB_3M, pricing by it
Time series taking-up calculated.
Figure 19：The partition figure of the resetting sequence (Figure 18) of the 20th phase of broad sense swapping payment sequence.
Figure 20：The partition figure of the resetting sequence (Figure 18) of the 20th phase of broad sense swapping payment sequence.
Figure 21：The partition figure of the resetting sequence (Figure 18) of the 20th phase of broad sense swapping payment sequence.
Figure 22：In the exchange leg sequence (Figure 14) of broad sense swapping, the resetting of exchange rate reference in the 20th phase payment sequence.
6th, annex
The program write with the resolving that C++ programming languages are broad sense interest rate.
Claims (2)
1. the bookkeeping Page Template of a broad sense swapping, include conventional transaction attribute (1), such as capital (Notional),
Start day (Start Date), etc., it is characterised in that：The attribute of Interval rate, including (2) Coupon (Coupon), (3) converge breath
(Quanto) and (4) accumulation factor (Range), the Writing method for using broad sense interest rate is inputted, directly various complicated derivative
The earnings structure of product is designed by simple formula.
2. a kind of formula for broad sense interest rate described in claim 1 design writes technology, foreground deal maker can directly write
Input, background computer system can accurately understand identification various products attribute by the formula of input, resolve to program generation
Code object carries out price calculating, and the transmission and storage of complicated structural derived product transaction data are carried out using traditional method
It deposits.
Priority Applications (1)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| CN201810217514.0A CN108256925B (en) | 2018-03-16 | 2018-03-16 | Generalized interchange transactions |
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| CN201810217514.0A CN108256925B (en) | 2018-03-16 | 2018-03-16 | Generalized interchange transactions |
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| Publication number | Priority date | Publication date | Assignee | Title |
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| CN111292186B (en) * | 2020-01-17 | 2023-08-29 | 中国建设银行股份有限公司 | Data analysis method and data analysis device |
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