CN108960611A - A kind of novel risk quantification analytical model based on option Greek alphabet - Google Patents
A kind of novel risk quantification analytical model based on option Greek alphabet Download PDFInfo
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- CN108960611A CN108960611A CN201810680101.6A CN201810680101A CN108960611A CN 108960611 A CN108960611 A CN 108960611A CN 201810680101 A CN201810680101 A CN 201810680101A CN 108960611 A CN108960611 A CN 108960611A
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q10/00—Administration; Management
- G06Q10/06—Resources, workflows, human or project management; Enterprise or organisation planning; Enterprise or organisation modelling
- G06Q10/063—Operations research, analysis or management
- G06Q10/0635—Risk analysis of enterprise or organisation activities
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
Abstract
The invention discloses a kind of novel risk quantification analytical models based on option Greek alphabet, including option position risk quantification analysis module, option position risk quantification analysis module includes option market module, target market module, account is held position, and module, listing contract information library module, option quantify risk indicator computing module, index comprehensive check and correction adjusts module, hold position air control index scenario analysis module, Yield To Maturity analysis module, situation test module of holding position, the risk analysis module that expires, user's custom parameter transmission module and showing interface module.By holding position to account, risky situation analysis is independent to set up the interface UI and calculating function DLL to the present invention, this mode is implanted into option air control system, real-time option disk risk analysis is provided for client, as a result it is shown with numerical value and form, it can be with client's built-in system seamless interfacing, it will quantify Risk Concept and option nonlinear organization perfect combination, user is allow to grasp account overall risk in real time.
Description
Technical field
The present invention relates to a kind of risk quantification analytical model, in particular to a kind of novel risk based on option Greek alphabet
Quantitative analysis mode.
Background technique
From first financial option listing in 2015, the enthusiasm and harmavoidance need of professional institution in the market have been given full play to,
Options market liveness rapid growth, but since option kind property is more special, benefit distribution is asymmetric, price it is complicated and with
Various dimensions variables is related, therefore the linear products such as opposite stock and commodity compare, and the threshold of option investment introduction is higher, transaction
Tactful dimension is complicated and changeable, and non-linear risk is difficult to monitor.
Based on the above feature, it is badly in need of the profession transaction developed specifically for option and Analysis of risk management system in the market,
Our company is directed to market pain spot, has put into a large amount of resource, has developed the quantization risk analysis based on the non-linear spin-off such as option
System, wherein the option position risk for client has carried out quantization scenario analysis, and customized with the form offer of user's interaction
Parameter setting, meets client to the personal view and expection of fluctuation of price, the management of dimension and monitors the wind of account in all directions, entirely
Danger is open.
Summary of the invention
The technical problem to be solved by the present invention is to overcome the defects of the prior art, provide a kind of novel based on option Greece word
Female risk quantification analytical model, can accomplish that user is allow to grasp account overall risk in real time.
In order to solve the above-mentioned technical problems, the present invention provides first following technical solutions:
The present invention relates to a kind of novel risk quantification analytical models based on option Greek alphabet, including option position risk quantification
Analysis module, the option position risk quantification analysis module include that option market module, target market module, account are held position mould
Block, listing contract information library module, option quantization risk indicator computing module, index comprehensive check and correction adjustment module, air control of holding position
Index scenario analysis module, Yield To Maturity analysis module, situation test module of holding position, the risk analysis module that expires, user make by oneself
Adopted parameter transmission module and showing interface module.
The present invention provides second following technical solutions:
The present invention also provides the application methods of this risk quantification analytical model based on option Greek alphabet, and steps are as follows:
A: by receiving exchange basis quotations data, pass through two market numbers of option market module and target market module
According to processing module, the integration of exchange's initial data is adjusted to system universal data format, then log in by user account, obtained
From the information of holding position for the acquired account of trading after authorization；
B: treated data can be input to option quantization risk indicator computing module, which can be according to Black-
Scholes formula carries out the various Risk of Option indexs of tentative calculation, index comprehensive check and correction adjustment module again to all kinds of special circumstances and
Critical value does detailed processing, and risk indicator calculated result is made to reflect real market situation；
C: after obtaining the various risk indicators that account is held position, the present invention is calculated by Financial Engineering and is analyzed, combined data and figure
The demonstration of type, and allow user by way of interface operation, input customized market variables；
D: it is held position risk analysis data by the available real-time account of above-mentioned process；
E: while the market data of proxima luce (prox. luc) are also passed to system, finally when connecting exchange's present quotation data by the present invention
Result is shown with the pattern intuition of figure and table by the UI showing interface module of system.
Compared with prior art, beneficial effects of the present invention are as follows:
By holding position to account, risky situation analysis is independent to set up the interface UI and calculating function DLL to the present invention, and this mode is planted
Enter in option air control system, provides real-time option disk risk analysis for client, the risk exposure comprising all kinds of Greeks values,
The scenario analysis of VaR various risks opening is tested, and account, which holds position to expire to go, weighs financial pressure test, and market sentiment variation leads to wave
The situation test etc. of dynamic rate mutation, is as a result shown with numerical value and form, supports real-time operation operation in disk, can be with visitor
Quantization Risk Concept and option nonlinear organization perfect combination grasp user in real time by family built-in system seamless interfacing
Account overall risk.
Detailed description of the invention
Attached drawing is used to provide further understanding of the present invention, and constitutes part of specification, with reality of the invention
It applies example to be used to explain the present invention together, not be construed as limiting the invention.
In addition, if the detailed description of known technology is then omitted it for showing the invention is characterized in that unnecessary.
In the accompanying drawings:
Fig. 1 is integral module schematic diagram of the invention；
In figure: 1, option position risk quantification analysis module；2, option market module；3, target market module；4, account is held position
Module；5, contract information library module is listed；6, option quantifies risk indicator computing module；7, index comprehensive check and correction adjustment module；
8, it holds position air control index scenario analysis module；9, Yield To Maturity analysis module；10, it holds position situation test module；11, expire risk
Analysis module；12, user's custom parameter transmission module；13, showing interface module.
Specific embodiment
Hereinafter, preferred embodiments of the present invention will be described with reference to the accompanying drawings, it should be understood that preferred reality described herein
Apply example only for the purpose of illustrating and explaining the present invention and is not intended to limit the present invention.
Embodiment 1
As shown in Figure 1, the present invention provides a kind of novel risk quantification analytical model based on option Greek alphabet, including option is held
Storehouse risk quantification analysis module 1, option position risk quantification analysis module 1 include option market module 2, target market module 3,
Account is held position, and module 4, listing contract information library module 5, option quantify risk indicator computing module 6, index comprehensive check and correction adjusts
Module 7, air control index scenario analysis module 8 of holding position, Yield To Maturity analysis module 9, situation test module 10 of holding position, expire risk
Analysis module 11, user's custom parameter transmission module 12 and showing interface module 13.
The present invention provides a kind of application method of novel risk quantification analytical model based on option Greek alphabet, specific to walk
It is rapid as follows:
A: by receiving exchange basis quotations data, pass through 3 two market of option market module 2 and target market module
The integration of exchange's initial data is adjusted to system universal data format, then is logged in by user account by data processing module, is obtained
From the information of holding position for the acquired account of trading after must authorizing；
B: treated data can be input to option quantization risk indicator computing module 6, which can be according to Black-
Scholes formula carries out the various Risk of Option indexs of tentative calculation, and index comprehensive check and correction adjustment module 7 to all kinds of special circumstances and is faced again
Dividing value does detailed processing, and risk indicator calculated result is made to reflect real market situation；
C: after obtaining the various risk indicators that account is held position, the present invention is calculated by Financial Engineering and is analyzed, combined data and figure
The demonstration of type, and allow user by way of interface operation, input customized market variables；
D: it is held position risk analysis data by the available real-time account of above-mentioned process；
E: while the market data of proxima luce (prox. luc) are also passed to system, finally when connecting exchange's present quotation data by the present invention
Result is shown with the pattern intuition of figure and table by the UI showing interface module 13 of system.
Specifically, the present invention passes through option market module 2 and target row by receiving exchange basis quotations data
The integration of exchange's initial data is adjusted to system universal data format, then passed through by 3 two market data processing modules of feelings module
User account logs in, and from the information of holding position for the acquired account of trading after being authorized, treated data can be inputted later
Quantify risk indicator computing module 6 to option, which can carry out the various Risk of Option of tentative calculation according to Black-Scholes formula
Index, but often there are the special circumstances such as price deviation in market, so that Vehicles Collected from Market quotation has exceeded theory and can solve range,
It therefore is that can not obtain the value-at-risk of all option contracts in market completely with theoretical formula, since inventor has more than before this
Vicennial option trade experience, therefore we have done detailed processing to all kinds of special circumstances and critical value, increase index
Comprehensive check and correction adjustment module 7, risk indicator calculated result after treatment, which compares, can reflect real market situation,
After the various risk indicators held position to account, we are calculated by Financial Engineering and are analyzed, the demonstration of combined data and pattern, and are permitted
Family allowable inputs customized market variables by way of interface operation, such as we are in air control index scenario analysis of holding position
The parameter of the customized market implied volatility amplitude of fluctuation of the user being added in module 8, is added in Yield To Maturity analysis module 9
The parameter of target price level when the expected account of user expires is held position risk by above-mentioned process available real-time account
Data are analyzed, furthermore the market data of proxima luce (prox. luc) are also passed to system while connecting exchange's present quotation data by us,
Result is shown with the pattern intuition of figure and table finally by the UI showing interface module 13 of system.
By holding position to account, risky situation analysis is independent to set up the interface UI and calculating function DLL to the present invention, by this mould
Formula is implanted into option air control system, provides real-time option disk risk analysis for client, and the risk comprising all kinds of Greeks values is spacious
The scenario analysis test of mouth, VaR various risks opening, account, which holds position to expire to go, weighs financial pressure test, and market sentiment, which changes, to be led
The situation test etc. of stability bandwidth mutation is caused, is as a result shown with numerical value and form, supports real-time operation operation in disk, it can be with
Keep user real-time quantization Risk Concept and option nonlinear organization perfect combination with client's built-in system seamless interfacing
Grasp account overall risk.
Finally, it should be noted that these are only the preferred embodiment of the present invention, it is not intended to restrict the invention, although
Present invention has been described in detail with reference to the aforementioned embodiments, for those skilled in the art, still can be right
Technical solution documented by foregoing embodiments is modified or equivalent replacement of some of the technical features.It is all
Within the spirit and principles in the present invention, any modification, equivalent replacement, improvement and so on should be included in protection of the invention
Within the scope of.
Claims (2)
1. a kind of novel risk quantification analytical model based on option Greek alphabet, including option position risk quantification analysis module
(1), which is characterized in that the option position risk quantification analysis module (1) includes option market module (2), target market mould
Block (3), account hold position module (4), listing contract information library module (5), option quantization risk indicator computing module (6), index
Comprehensive check and correction adjustment module (7), air control index scenario analysis module (8) of holding position, Yield To Maturity analysis module (9), scene of holding position
Test module (10), the risk analysis module that expires (11), user's custom parameter transmission module (12) and showing interface module
(13).
2. a kind of application method of the novel risk quantification analytical model based on option Greek alphabet, which is characterized in that specific step
It is rapid as follows:
A: by receiving exchange basis quotations data, pass through option market module (2) and target market module (3) two
The integration of exchange's initial data is adjusted to system universal data format, then is stepped on by user account by market data processing module
Record, from the information of holding position for the acquired account of trading after being authorized；
B: treated data can be input to option quantization risk indicator computing module (6), which can be according to Black-
Scholes formula carries out the various Risk of Option indexs of tentative calculation, index comprehensive check and correction adjustment module (7) again to all kinds of special circumstances and
Critical value does detailed processing, and risk indicator calculated result is made to reflect real market situation；
C: after obtaining the various risk indicators that account is held position, the present invention is calculated by Financial Engineering and is analyzed, combined data and figure
The demonstration of type, and allow user by way of interface operation, input customized market variables；
D: it is held position risk analysis data by the available real-time account of above-mentioned process；
E: while the market data of proxima luce (prox. luc) are also passed to system, finally when connecting exchange's present quotation data by the present invention
Result is shown with the pattern intuition of figure and table by the UI showing interface module (13) of system.
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| Application Number | Priority Date | Filing Date | Title |
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| CN201810680101.6A CN108960611A (en) | 2018-06-27 | 2018-06-27 | A kind of novel risk quantification analytical model based on option Greek alphabet |
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| Application Number | Priority Date | Filing Date | Title |
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| CN201810680101.6A CN108960611A (en) | 2018-06-27 | 2018-06-27 | A kind of novel risk quantification analytical model based on option Greek alphabet |
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Citations (3)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| US20110022539A1 (en) * | 2009-07-22 | 2011-01-27 | Joenk Steven M | Computerized method and system for managing a financial portfolio relative to market volatility |
| CN105956914A (en) * | 2016-05-18 | 2016-09-21 | 上海艺赢数字科技有限公司 | Option type auction data processing method and system |
| CN106127576A (en) * | 2016-07-01 | 2016-11-16 | 武汉泰迪智慧科技有限公司 | A kind of bank risk based on user behavior assessment system |
-
2018
- 2018-06-27 CN CN201810680101.6A patent/CN108960611A/en active Pending
Patent Citations (3)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| US20110022539A1 (en) * | 2009-07-22 | 2011-01-27 | Joenk Steven M | Computerized method and system for managing a financial portfolio relative to market volatility |
| CN105956914A (en) * | 2016-05-18 | 2016-09-21 | 上海艺赢数字科技有限公司 | Option type auction data processing method and system |
| CN106127576A (en) * | 2016-07-01 | 2016-11-16 | 武汉泰迪智慧科技有限公司 | A kind of bank risk based on user behavior assessment system |
Non-Patent Citations (3)
| Title |
|---|
| 宋军 等: "基于逼仓动机的期市逼仓风险及其预警", 《系统管理学报》, vol. 20, no. 5, 15 October 2011 (2011-10-15), pages 614 - 618 * |
| 杨东晓: "股指期货、期权功能的动态研究", 《中国博士学位论文全文数据库》, no. 8, 15 August 2017 (2017-08-15), pages 29 - 115 * |
| 王珊珊 等: "基于CEP技术的金融期货风险监控平台研究", 《中国管理信息化》, vol. 18, no. 1, 1 January 2015 (2015-01-01), pages 164 - 166 * |
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Application publication date: 20181207 |