CN109886800A - Electronic device, nonstandard creditor's assets estimation method and computer readable storage medium - Google Patents
Electronic device, nonstandard creditor's assets estimation method and computer readable storage medium Download PDFInfo
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- CN109886800A CN109886800A CN201910067843.6A CN201910067843A CN109886800A CN 109886800 A CN109886800 A CN 109886800A CN 201910067843 A CN201910067843 A CN 201910067843A CN 109886800 A CN109886800 A CN 109886800A
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Abstract
The present invention relates to a kind of data analysis technique, a kind of electronic device, nonstandard creditor's assets estimation method and computer readable storage medium are disclosed.The present invention obtains the corresponding risk free rate of an assets each repayment date in preset time section, credit spread and cash flow；The corresponding risk free rate of each repayment date and credit spread are substituting in the discount rate formula pre-established and calculate in again that predetermined fixed point is poor, preset time section, obtain the corresponding discount rate of each repayment date in preset time section；The corresponding cash flow of repayment date each in preset time section and discount rate are finally substituting to the valuation formula pre-established to calculate, obtain this assets in the fair value of valuation day.The present invention realizes the accurate metering to nonstandard creditor's assets fair value.
Description
Technical field
The present invention relates to field of computer technology, in particular to a kind of electronic device, nonstandard creditor's assets estimation method and
Computer readable storage medium.
Background technique
Nonstandard creditor's assets, that is, nonstandardized technique creditor's assets refer to not in Inter-Bank Market and stock exchange's marketing
Credits assets, including but not limited to Credit Assets, trust loans, commission credits, acceptance bill, the letter of credit, accounts receivable,
It is all kinds of by (receipts) benefit power, with redeemable clauses equity financing etc..
Financial institution fixed a price to product, access, monitoring, finance keep accounts etc. in multiple links after throwing, it usually needs
Determine the fair value of nonstandard creditor's assets.But since nonstandard creditor's assets are not in open market operation, fair value is often
It is difficult to measure.
Therefore, the fair value for how measuring nonstandard creditor's assets becomes a urgent problem to be solved.
Summary of the invention
The main object of the present invention is to provide a kind of electronic device, nonstandard creditor's assets estimation method and computer-readable deposits
Storage media, it is intended to realize the metering to nonstandard creditor's assets fair value.
To achieve the above object, the present invention proposes a kind of electronic device, and the electronic device includes memory and processor,
Nonstandard creditor's assets valuation program is stored on the memory, the nonstandard creditor's assets valuation program is held by the processor
Following steps are realized when row:
Obtaining step: the corresponding risk free rate of an assets each repayment date in preset time section, credit are obtained
Profit and cash flow, the preset time section are when terminating with the Expiration Date of this assets using valuation day as initial time
Between；
Calculate step: each repayment date is corresponding calm in predetermined fixed point is poor, described preset time section
Dangerous interest rate and credit spread are substituting in the discount rate formula pre-established and are calculated, and obtain each in the preset time section
The corresponding discount rate of a repayment date；
Valuation step: the corresponding cash flow of repayment date each in the preset time section and discount rate are substituting in advance
The valuation formula of foundation is calculated, and obtains this assets in the fair value of the valuation day.
Preferably, the processor executes the nonstandard creditor's assets valuation program, also real before the calculating step
Existing following steps:
The transaction amount of this assets is obtained, and each repayment date is corresponding calm in the life cycle of this assets
Dangerous interest rate, credit spread, cash flow, the life cycle of this assets, which is by initial time of value date and with the Expiration Date, is
Terminate the time interval of time；
By the transaction amount of this assets, and the corresponding devoid of risk of each repayment date in the life cycle of this assets
Interest rate, credit spread, cash flow are substituting to the fixed point difference calculation formula pre-established and are calculated, and obtain the fixed point
Difference；
The fixed point difference calculation formula includes:
Wherein, S represents transaction amount, and it is poor that Z represents fixed point, CFt1It is a also to represent t1 in the life cycle of this assets
Money day corresponding cash flow, At1Represent the corresponding risk free rate of the t1 repayment date, B in the life cycle of this assetst1Generation
The corresponding credit spread of the t1 repayment date in the life cycle of table this assets, N1 are represented in the life cycle of this assets also
The total quantity of money day, t1, N1 are positive integer.
Preferably, the discount rate formula includes:
rt2=At2+Bt2+Z
The valuation formula includes:
Wherein, rt2Represent the corresponding discount rate of the t2 repayment date, A in the preset time sectiont2It represents described default
The corresponding risk free rate of the t2 repayment date, B in time intervalt1Represent the t2 repayment date pair in the preset time section
The credit spread answered, Z represent that fixed point is poor, and V represents this assets in the fair value of the valuation day, CFt2It represents described pre-
If the corresponding cash flow of the t2 repayment date in time interval, N2 represents the total quantity of repayment date in the preset time section,
T2, N2 are positive integer.
Preferably, in the obtaining step, acquisition one assets each repayment date pair in preset time section
The step of risk free rate answered includes:
This assets are obtained in the first default yield curve of the valuation day；
According to the described first default yield curve, each repayment date corresponding first in the preset time section is determined
Default earning rate, and using the corresponding first default earning rate of repayment date each in the preset time section as devoid of risk benefit
Rate.
Preferably, in the obtaining step, acquisition one assets each repayment date pair in preset time section
The step of credit spread answered includes:
Obtain Asset Type and the inside grading of this assets；
According to the mapping relations between the grading of the inside of this assets and predetermined internal grading and external grading, really
The external grading of fixed this assets；
According to the Asset Type of this assets and external grading, this assets are obtained in the second default receipts of the valuation day
Beneficial rate curve；
According to the described second default yield curve, each repayment date corresponding second in the preset time section is determined
Default earning rate, and using the corresponding second default earning rate of repayment date each in the preset time section as credit spread.
In addition, to achieve the above object, the present invention also proposes a kind of nonstandard creditor's assets estimation method, this method includes step
It is rapid:
Obtaining step: the corresponding risk free rate of an assets each repayment date in preset time section, credit are obtained
Profit and cash flow, the preset time section are when terminating with the Expiration Date of this assets using valuation day as initial time
Between；
Calculate step: each repayment date is corresponding calm in predetermined fixed point is poor, described preset time section
Dangerous interest rate and credit spread are substituting in the discount rate formula pre-established and are calculated, and obtain each in the preset time section
The corresponding discount rate of a repayment date；
Valuation step: the corresponding cash flow of repayment date each in the preset time section and discount rate are substituting in advance
The valuation formula of foundation is calculated, and obtains this assets in the fair value of the valuation day.
Preferably, before the calculating step, this method further include:
The transaction amount of this assets is obtained, and each repayment date is corresponding calm in the life cycle of this assets
Dangerous interest rate, credit spread, cash flow, the life cycle of this assets, which is by initial time of value date and with the Expiration Date, is
Terminate the time interval of time；
By the transaction amount of this assets, and the corresponding devoid of risk of each repayment date in the life cycle of this assets
Interest rate, credit spread, cash flow are substituting to the fixed point difference calculation formula pre-established and are calculated, and obtain the fixed point
Difference；
The fixed point difference calculation formula includes:
Wherein, S represents transaction amount, and it is poor that Z represents fixed point, CFt1It is a also to represent t1 in the life cycle of this assets
Money day corresponding cash flow, At1Represent the corresponding risk free rate of the t1 repayment date, B in the life cycle of this assetst1Generation
The corresponding credit spread of the t1 repayment date in the life cycle of table this assets, N1 are represented in the life cycle of this assets also
The total quantity of money day, t1, N1 are positive integer.
Preferably, the discount rate formula includes:
rt2=At2+Bt2+Z
The valuation formula includes:
Wherein, rt2Represent the corresponding discount rate of the t2 repayment date, A in the preset time sectiont2It represents described default
The corresponding risk free rate of the t2 repayment date, B in time intervalt1Represent the t2 repayment date pair in the preset time section
The credit spread answered, Z represent that fixed point is poor, and V represents this assets in the fair value of the valuation day, CFt2It represents described pre-
If the corresponding cash flow of the t2 repayment date in time interval, N2 represents the total quantity of repayment date in the preset time section,
T2, N2 are positive integer.
Preferably, in the obtaining step, acquisition one assets each repayment date pair in preset time section
The step of risk free rate answered includes:
This assets are obtained in the first default yield curve of the valuation day；
According to the described first default yield curve, each repayment date corresponding first in the preset time section is determined
Default earning rate, and using the corresponding first default earning rate of repayment date each in the preset time section as devoid of risk benefit
Rate.
Preferably, in the obtaining step, acquisition one assets each repayment date pair in preset time section
The step of credit spread answered includes:
Obtain Asset Type and the inside grading of this assets；
According to the mapping relations between the grading of the inside of this assets and predetermined internal grading and external grading, really
The external grading of fixed this assets；
According to the Asset Type of this assets and external grading, this assets are obtained in the second default receipts of the valuation day
Beneficial rate curve；
According to the described second default yield curve, each repayment date corresponding second in the preset time section is determined
Default earning rate, and using the corresponding second default earning rate of repayment date each in the preset time section as credit spread.
In addition, to achieve the above object, the present invention also proposes a kind of computer readable storage medium, described computer-readable
Storage medium is stored with nonstandard creditor's assets valuation program, and the nonstandard creditor's assets valuation program can be by least one processor
It executes, so that the step of at least one described processor executes nonstandard creditor's assets estimation method as described in any one of the above embodiments.
The present invention obtains the corresponding risk free rate of an assets each repayment date in preset time section, credit spread
And cash flow；In predetermined fixed point is poor, described preset time section the corresponding risk free rate of each repayment date and
Credit spread is substituting in the discount rate formula pre-established and is calculated, and obtains each repayment date in the preset time section
Corresponding discount rate；The corresponding cash flow of repayment date each in the preset time section and discount rate are substituting to and are pre-established
Valuation formula calculated, obtain this assets in the fair value of the valuation day.Compared to the prior art, the present invention is first
The corresponding discount rate of each repayment date in preset time section is first calculated, then each repayment date in preset time section is corresponding
Cash flow and discount rate are substituting to the valuation formula pre-established and assets are calculated in the fair value of valuation day, realize pair
The accurate metering of nonstandard creditor's assets fair value.
Detailed description of the invention
In order to more clearly explain the embodiment of the invention or the technical proposal in the existing technology, to embodiment or will show below
There is attached drawing needed in technical description to be briefly described, it should be apparent that, the accompanying drawings in the following description is only this
Some embodiments of invention for those of ordinary skill in the art without creative efforts, can be with
The structure shown according to these attached drawings obtains other attached drawings.
Fig. 1 is the running environment schematic diagram of nonstandard one embodiment of creditor's assets valuation program of the present invention；
Fig. 2 is the Program modual graph of nonstandard one embodiment of creditor's assets valuation program of the present invention；
Fig. 3 is the flow diagram of nonstandard one embodiment of creditor's assets estimation method of the present invention.
The embodiments will be further described with reference to the accompanying drawings for the realization, the function and the advantages of the object of the present invention.
Specific embodiment
The principle and features of the present invention will be described below with reference to the accompanying drawings, and the given examples are served only to explain the present invention, and
It is non-to be used to limit the scope of the invention.
The present invention proposes a kind of nonstandard creditor's assets valuation program.
Referring to Fig. 1, being the running environment schematic diagram of nonstandard 10 1 embodiment of creditor's assets valuation program of the present invention.
In the present embodiment, nonstandard creditor's assets valuation program 10 is installed and is run in electronic device 1.Electronic device 1
It can be desktop PC, notebook, palm PC and server etc. and calculate equipment.The electronic device 1 may include, but not only
It is limited to, memory 11, processor 12 and display 13.Fig. 1 illustrates only the electronic device 1 with component 11-13, but should manage
Solution is, it is not required that implements all components shown, the implementation that can be substituted is more or less component.
Memory 11 can be the internal storage unit of electronic device 1 in some embodiments, such as the electronic device 1
Hard disk or memory.Memory 11 is also possible to the External memory equipment of electronic device 1, such as electronics dress in further embodiments
Set the plug-in type hard disk being equipped on 1, intelligent memory card (Smart Media Card, SMC), secure digital (Secure
Digital, SD) card, flash card (Flash Card) etc..Further, memory 11 can also be both interior including electronic device 1
Portion's storage unit also includes External memory equipment.Memory 11 is for storing the application software for being installed on electronic device 1 and all kinds of
Data, such as the program code etc. of nonstandard creditor's assets valuation program 10.Memory 11 can be also used for temporarily storing
Output or the data that will be exported.
Processor 12 can be in some embodiments a central processing unit (Central Processing Unit,
CPU), microprocessor or other data processing chips, program code or processing data for being stored in run memory 11, example
Such as execute nonstandard creditor's assets valuation program 10.
Display 13 can be in some embodiments light-emitting diode display, liquid crystal display, touch-control liquid crystal display and
OLED (Organic Light-Emitting Diode, Organic Light Emitting Diode) touches device etc..Display 13 is for being shown in
The information that is handled in electronic device 1 and for showing visual user interface.The component 11-13 of electronic device 1 passes through journey
Sequence bus is in communication with each other.
Referring to Fig. 2, being the Program modual graph of nonstandard 10 1 embodiment of creditor's assets valuation program of the present invention.In this implementation
In example, nonstandard creditor's assets valuation program 10 can be divided into one or more modules, one or more module is stored
In memory 11, and it is performed by one or more processors (the present embodiment is processor 12), to complete the present invention.Example
Such as, in Fig. 2, nonstandard creditor's assets valuation program 10, which can be divided into, obtains module 101, computing module 102 and valuation mould
Block 103.The so-called module of the present invention is the series of computation machine program instruction section for referring to complete specific function, more suitable than program
Together in the implementation procedure of the nonstandard creditor's assets valuation program 10 of description in the electronic apparatus 1, in which:
Module 101 is obtained, for obtaining the corresponding devoid of risk benefit of an assets each repayment date in preset time section
Rate, credit spread and cash flow, the preset time section with the Expiration Date of this assets are using valuation day as initial time
Terminate the time.
The valuation day refers to the time that the fair value to this assets is measured.
The step of one assets of the acquisition each repayment date in preset time section corresponding risk free rate includes:
Firstly, obtaining this assets in the first default yield curve of the valuation day.For example, being built with presetting database
Vertical communication connection is looked into from the presetting database (including but not limited to ten thousand moral databases, wealth remittance database, poly- source database)
Ask valuation day corresponding first default yield curve.Alternatively, it is corresponding to crawl valuation day in preset web by web crawlers
The first default yield curve.
Wherein, the described first default yield curve can be loan at call of the same trade or business between yield curve of bond or Bank of Shanghai
Interest rate (Shanghai Interbank Offered Rate, abbreviation Shibor) curve, is also possible to other any applicable receipts
Beneficial rate curve.
Then, according to the described first default yield curve, determine that each repayment date is corresponding in the preset time section
The first default earning rate (for example, if the first default yield curve is yield curve of bond, the first default earning rate is
Yield of public debt), and using the corresponding first default earning rate of repayment date each in the preset time section as devoid of risk benefit
Rate.
The step of one assets of the acquisition each repayment date in preset time section corresponding credit spread includes:
Firstly, obtaining Asset Type and the inside grading of this assets.Wherein, the Asset Type includes that debt, enterprise are thrown in city
Industry debt etc..The internal grading refers to that financial institution uses the assessment system of oneself, the credit rating to the investee of assets.
Then, it is closed according to the mapping between the grading of the inside of this assets and predetermined internal grading and external grading
System determines the external grading of this assets.The external grading refers to investment pair of the social professional credit evaluation company to assets
The credit rating of elephant.
Then, according to the Asset Type of this assets and external grading, this assets are obtained the second of the valuation day
Default yield curve.
Finally, determining that each repayment date is corresponding in the preset time section according to the described second default yield curve
The second default earning rate, and using the corresponding second default earning rate of repayment date each in the preset time section as credit
Profit.
The step of one assets of the acquisition each repayment date in preset time section corresponding cash flow includes:
Obtain the asset data of this assets, the asset data includes the capitals of this assets, interest rate and repays capital with interest
Rule.The rule of repaying capital with interest include: equal principal, equal capital, monthly also breath expire repayments of principal, first also after breath monthly etc.
Volume/wait sheet, credit segmentation refund etc..
According to value date (value date refers to the time for starting to figure interest), Expiration Date and the asset data of this assets,
Determine that (life cycle of this assets is by initial time of value date and with the Expiration Date to this assets in life cycle
Terminate the time time interval) in all repayment dates and the corresponding cash flow of each repayment date.The corresponding cash of one repayment date
Stream refers to the interest that should be gone back in the repayment date and/or capital.
This assets are found out when default in the corresponding cash flow of each repayment date in life cycle in this assets
Between the corresponding cash flow of each repayment date in section.
Computing module 102, for each repayment date to be corresponding in poor, the described preset time section by predetermined fixed point
Risk free rate and credit spread be substituting in the discount rate formula pre-established and calculated, obtain the preset time area
The corresponding discount rate of interior each repayment date.
The fixed point difference is a fixed value, and determination method includes:
Firstly, obtaining the transaction amount of this assets, and each repayment date is corresponding in the life cycle of this assets
Risk free rate, credit spread, cash flow.
Wherein, it is wrapped the step of each repayment date corresponding risk free rate in the life cycle for obtaining this assets
It includes:
This assets are obtained in the first default yield curve on the value date.Further according to the described first default earning rate
Curve, determines the corresponding first default earning rate of each repayment date in the life cycle of this assets, and by the life of this assets
The corresponding first default earning rate of each repayment date is ordered in the period as risk free rate.
The step of each repayment date corresponding credit spread, includes: in the life cycle for obtaining this assets
According to the Asset Type of this assets and external grading, this assets are obtained in the second default receipts on the value date
Beneficial rate curve.Further according to the described second default yield curve, determine that each repayment date is corresponding in the life cycle of this assets
The second default earning rate, and using the corresponding second default earning rate of repayment date each in the life cycle of this assets as letter
Use profit.
Then, by the transaction amount of this assets, and in the life cycle of this assets each repayment date is corresponding
Risk free rate, credit spread, cash flow are substituting to the fixed point difference calculation formula pre-established and are calculated, and obtain described solid
It is poor to pinpoint.
The fixed point difference calculation formula includes:
Wherein, S represents transaction amount, and it is poor that Z represents fixed point, CFt1It is a also to represent t1 in the life cycle of this assets
Money day corresponding cash flow, At1Represent the corresponding risk free rate of the t1 repayment date, B in the life cycle of this assetst1Generation
The corresponding credit spread of the t1 repayment date in the life cycle of table this assets, N1 are represented in the life cycle of this assets also
The total quantity of money day, t1, N1 are positive integer.
In addition, the discount rate formula includes:
rt2=At2+Bt2+Z
Wherein, rt2Represent the corresponding discount rate of the t2 repayment date, A in the preset time sectiont2It represents described default
The corresponding risk free rate of the t2 repayment date, B in time intervalt1Represent the t2 repayment date pair in the preset time section
The credit spread answered, Z represent that fixed point is poor, and t2 is positive integer.
Estimator module 103 was used for the corresponding cash flow of repayment date each in the preset time section and discount rate generation
Enter to the valuation formula pre-established and calculated, obtains this assets in the fair value of the valuation day.
The valuation formula includes:
Wherein, V represents this assets in the fair value of the valuation day, rt2Represent t2 in the preset time section
The corresponding discount rate of a repayment date, CFt2The corresponding cash flow of the t2 repayment date in the preset time section is represented, N2 is represented
The total quantity of repayment date in the preset time section, t2, N2 are positive integer.
The present embodiment obtains the corresponding risk free rate of an assets each repayment date in preset time section, credit benefit
Difference and cash flow；The corresponding risk free rate of each repayment date in predetermined fixed point is poor, described preset time section
It is substituting in the discount rate formula pre-established and is calculated with credit spread, obtain each refund in the preset time section
Day corresponding discount rate；The corresponding cash flow of repayment date each in the preset time section and discount rate are substituting to and are built in advance
Vertical valuation formula is calculated, and obtains this assets in the fair value of the valuation day.Compared to the prior art, this implementation
Example calculates the corresponding discount rate of each repayment date in preset time section first, then by each repayment date pair in preset time section
The cash flow and discount rate answered are substituting to the valuation formula pre-established and assets are calculated in the fair value of valuation day, realize
Accurate metering to nonstandard creditor's assets fair value.
Further it is proposed that a kind of nonstandard creditor's assets estimation method.
As shown in figure 3, Fig. 3 is the flow diagram of nonstandard one embodiment of creditor's assets estimation method of the present invention.
In the present embodiment, this method comprises:
Step S10 obtains the corresponding risk free rate of an assets each repayment date in preset time section, credit benefit
Difference and cash flow, the preset time section are to terminate the time with the Expiration Date of this assets using valuation day as initial time.
The valuation day refers to the time that the fair value to this assets is measured.
The step of one assets of the acquisition each repayment date in preset time section corresponding risk free rate includes:
Firstly, obtaining this assets in the first default yield curve of the valuation day.For example, being built with presetting database
Vertical communication connection is looked into from the presetting database (including but not limited to ten thousand moral databases, wealth remittance database, poly- source database)
Ask valuation day corresponding first default yield curve.Alternatively, it is corresponding to crawl valuation day in preset web by web crawlers
The first default yield curve.
Wherein, the described first default yield curve can be loan at call of the same trade or business between yield curve of bond or Bank of Shanghai
Interest rate (Shanghai Interbank Offered Rate, abbreviation Shibor) curve, is also possible to other any applicable receipts
Beneficial rate curve.
Then, according to the described first default yield curve, determine that each repayment date is corresponding in the preset time section
The first default earning rate (for example, if the first default yield curve is yield curve of bond, the first default earning rate is
Yield of public debt), and using the corresponding first default earning rate of repayment date each in the preset time section as devoid of risk benefit
Rate.
The step of one assets of the acquisition each repayment date in preset time section corresponding credit spread includes:
Firstly, obtaining Asset Type and the inside grading of this assets.Wherein, the Asset Type includes that debt, enterprise are thrown in city
Industry debt etc..The internal grading refers to that financial institution uses the assessment system of oneself, the credit rating to the investee of assets.
Then, it is closed according to the mapping between the grading of the inside of this assets and predetermined internal grading and external grading
System determines the external grading of this assets.The external grading refers to investment pair of the social professional credit evaluation company to assets
The credit rating of elephant.
Then, according to the Asset Type of this assets and external grading, this assets are obtained the second of the valuation day
Default yield curve.
Finally, determining that each repayment date is corresponding in the preset time section according to the described second default yield curve
The second default earning rate, and using the corresponding second default earning rate of repayment date each in the preset time section as credit
Profit.
The step of one assets of the acquisition each repayment date in preset time section corresponding cash flow includes:
Obtain the asset data of this assets, the asset data includes the capitals of this assets, interest rate and repays capital with interest
Rule.The rule of repaying capital with interest include: equal principal, equal capital, monthly also breath expire repayments of principal, first also after breath monthly etc.
Volume/wait sheet, credit segmentation refund etc..
According to value date (value date refers to the time for starting to figure interest), Expiration Date and the asset data of this assets,
Determine that (life cycle of this assets is by initial time of value date and with the Expiration Date to this assets in life cycle
Terminate the time time interval) in all repayment dates and the corresponding cash flow of each repayment date.The corresponding cash of one repayment date
Stream refers to the interest that should be gone back in the repayment date and/or capital.
This assets are found out when default in the corresponding cash flow of each repayment date in life cycle in this assets
Between the corresponding cash flow of each repayment date in section.
Step S20, the corresponding devoid of risk of each repayment date in predetermined fixed point is poor, described preset time section
Interest rate and credit spread are substituting in the discount rate formula pre-established and are calculated, and obtain each in the preset time section
The corresponding discount rate of repayment date.
The fixed point difference is a fixed value, and determination method includes:
Firstly, obtaining the transaction amount of this assets, and each repayment date is corresponding in the life cycle of this assets
Risk free rate, credit spread, cash flow.
Wherein, it is wrapped the step of each repayment date corresponding risk free rate in the life cycle for obtaining this assets
It includes:
This assets are obtained in the first default yield curve on the value date.Further according to the described first default earning rate
Curve, determines the corresponding first default earning rate of each repayment date in the life cycle of this assets, and by the life of this assets
The corresponding first default earning rate of each repayment date is ordered in the period as risk free rate.
The step of each repayment date corresponding credit spread, includes: in the life cycle for obtaining this assets
According to the Asset Type of this assets and external grading, this assets are obtained in the second default receipts on the value date
Beneficial rate curve.Further according to the described second default yield curve, determine that each repayment date is corresponding in the life cycle of this assets
The second default earning rate, and using the corresponding second default earning rate of repayment date each in the life cycle of this assets as letter
Use profit.
Then, by the transaction amount of this assets, and in the life cycle of this assets each repayment date is corresponding
Risk free rate, credit spread, cash flow are substituting to the fixed point difference calculation formula pre-established and are calculated, and obtain described solid
It is poor to pinpoint.
The fixed point difference calculation formula includes:
Wherein, S represents transaction amount, and it is poor that Z represents fixed point, CFt1It is a also to represent t1 in the life cycle of this assets
Money day corresponding cash flow, At1Represent the corresponding risk free rate of the t1 repayment date, B in the life cycle of this assetst1Generation
The corresponding credit spread of the t1 repayment date in the life cycle of table this assets, N1 are represented in the life cycle of this assets also
The total quantity of money day, t1, N1 are positive integer.
In addition, the discount rate formula includes:
rt2=At2+Bt2+Z
Wherein, rt2Represent the corresponding discount rate of the t2 repayment date, A in the preset time sectiont2It represents described default
The corresponding risk free rate of the t2 repayment date, B in time intervalt1Represent the t2 repayment date pair in the preset time section
The credit spread answered, Z represent that fixed point is poor, and t2 is positive integer.
The corresponding cash flow of repayment date each in the preset time section and discount rate are substituting in advance by step S30
The valuation formula of foundation is calculated, and obtains this assets in the fair value of the valuation day.
The valuation formula includes:
Wherein, V represents this assets in the fair value of the valuation day, rt2Represent t2 in the preset time section
The corresponding discount rate of a repayment date, CFt2The corresponding cash flow of the t2 repayment date in the preset time section is represented, N2 is represented
The total quantity of repayment date in the preset time section, t2, N2 are positive integer.
The present embodiment obtains the corresponding risk free rate of an assets each repayment date in preset time section, credit benefit
Difference and cash flow；The corresponding risk free rate of each repayment date in predetermined fixed point is poor, described preset time section
It is substituting in the discount rate formula pre-established and is calculated with credit spread, obtain each refund in the preset time section
Day corresponding discount rate；The corresponding cash flow of repayment date each in the preset time section and discount rate are substituting to and are built in advance
Vertical valuation formula is calculated, and obtains this assets in the fair value of the valuation day.Compared to the prior art, this implementation
Example calculates the corresponding discount rate of each repayment date in preset time section first, then by each repayment date pair in preset time section
The cash flow and discount rate answered are substituting to the valuation formula pre-established and assets are calculated in the fair value of valuation day, realize
Accurate metering to nonstandard creditor's assets fair value.
Further, the present invention also proposes that a kind of computer readable storage medium, the computer readable storage medium are deposited
Nonstandard creditor's assets valuation program is contained, the nonstandard creditor's assets valuation program can be executed by least one processor, so that
At least one described processor executes the nonstandard creditor's assets estimation method in any of the above-described embodiment.
The above description is only a preferred embodiment of the present invention, is not intended to limit the scope of the invention, all at this
Under the inventive concept of invention, using equivalent structure transformation made by description of the invention and accompanying drawing content, or directly/use indirectly
It is included in other related technical areas in scope of patent protection of the invention.
Claims (10)
1. a kind of electronic device, the electronic device includes memory and processor, which is characterized in that is stored on the memory
There is nonstandard creditor's assets valuation program, following step is realized when the nonstandard creditor's assets valuation program is executed by the processor
It is rapid:
Obtaining step: the corresponding risk free rate of an assets each repayment date in preset time section, credit spread are obtained
And cash flow, the preset time section are to terminate the time with the Expiration Date of this assets using valuation day as initial time；
Calculate step: the corresponding devoid of risk of each repayment date is sharp in predetermined fixed point is poor, described preset time section
Rate and credit spread are substituting in the discount rate formula pre-established and are calculated, and obtain each in the preset time section go back
Money day corresponding discount rate；
Valuation step: the corresponding cash flow of repayment date each in the preset time section and discount rate are substituting to and are pre-established
Valuation formula calculated, obtain this assets in the fair value of the valuation day.
2. electronic device as described in claim 1, which is characterized in that the processor executes the nonstandard creditor's assets valuation
Program also performs the steps of before the calculating step
The transaction amount of this assets is obtained, and the corresponding devoid of risk benefit of each repayment date in the life cycle of this assets
Rate, credit spread, cash flow, the life cycle of this assets are by initial time of value date and using the Expiration Date as termination
The time interval of time；
By the transaction amount of this assets, and the corresponding devoid of risk benefit of each repayment date in the life cycle of this assets
Rate, credit spread, cash flow are substituting to the fixed point difference calculation formula pre-established and are calculated, and it is poor to obtain the fixed point；
The fixed point difference calculation formula includes:
Wherein, S represents transaction amount, and it is poor that Z represents fixed point, CFt1Represent the t1 repayment date in the life cycle of this assets
Corresponding cash flow, At1Represent the corresponding risk free rate of the t1 repayment date, B in the life cycle of this assetst1Representing should
The corresponding credit spread of the t1 repayment date in the life cycle of assets, N1 represent repayment date in the life cycle of this assets
Total quantity, t1, N1 be positive integer.
3. electronic device as claimed in claim 1 or 2, which is characterized in that the discount rate formula includes:
rt2=At2+Bt2+Z
The valuation formula includes:
Wherein, rt2Represent the corresponding discount rate of the t2 repayment date, A in the preset time sectiont2Represent the preset time
The corresponding risk free rate of the t2 repayment date, B in sectiont1It is corresponding to represent the t2 repayment date in the preset time section
Credit spread, Z represent that fixed point is poor, and V represents this assets in the fair value of the valuation day, CFt2When representing described default
Between the corresponding cash flow of the t2 repayment date in section, N2 represents the total quantity of repayment date in the preset time section, t2, N2
For positive integer.
4. electronic device as claimed in claim 1 or 2, which is characterized in that in the obtaining step, one reward for writing or painting of the acquisition
The step of producing the corresponding risk free rate of each repayment date in preset time section include:
This assets are obtained in the first default yield curve of the valuation day；
According to the described first default yield curve, determine that each repayment date corresponding first is preset in the preset time section
Earning rate, and using the corresponding first default earning rate of repayment date each in the preset time section as risk free rate.
5. electronic device as claimed in claim 1 or 2, which is characterized in that in the obtaining step, one reward for writing or painting of the acquisition
The step of producing the corresponding credit spread of each repayment date in preset time section include:
Obtain Asset Type and the inside grading of this assets；
According to the mapping relations between the grading of the inside of this assets and predetermined internal grading and external grading, determining should
The external grading of assets；
According to the Asset Type of this assets and external grading, this assets are obtained in the second default earning rate of the valuation day
Curve；
According to the described second default yield curve, determine that each repayment date corresponding second is preset in the preset time section
Earning rate, and using the corresponding second default earning rate of repayment date each in the preset time section as credit spread.
6. a kind of nonstandard creditor's assets estimation method, which is characterized in that the method comprising the steps of:
Obtaining step: the corresponding risk free rate of an assets each repayment date in preset time section, credit spread are obtained
And cash flow, the preset time section are to terminate the time with the Expiration Date of this assets using valuation day as initial time；
Calculate step: the corresponding devoid of risk of each repayment date is sharp in predetermined fixed point is poor, described preset time section
Rate and credit spread are substituting in the discount rate formula pre-established and are calculated, and obtain each in the preset time section go back
Money day corresponding discount rate；
Valuation step: the corresponding cash flow of repayment date each in the preset time section and discount rate are substituting to and are pre-established
Valuation formula calculated, obtain this assets in the fair value of the valuation day.
7. nonstandard creditor's assets estimation method as claimed in claim 6, which is characterized in that, should before the calculating step
Method further include:
The transaction amount of this assets is obtained, and the corresponding devoid of risk benefit of each repayment date in the life cycle of this assets
Rate, credit spread, cash flow, the life cycle of this assets are by initial time of value date and using the Expiration Date as termination
The time interval of time；
By the transaction amount of this assets, and the corresponding devoid of risk benefit of each repayment date in the life cycle of this assets
Rate, credit spread, cash flow are substituting to the fixed point difference calculation formula pre-established and are calculated, and it is poor to obtain the fixed point；
The fixed point difference calculation formula includes:
Wherein, S represents transaction amount, and it is poor that Z represents fixed point, CFt1Represent the t1 repayment date in the life cycle of this assets
Corresponding cash flow, At1Represent the corresponding risk free rate of the t1 repayment date, B in the life cycle of this assetst1Representing should
The corresponding credit spread of the t1 repayment date in the life cycle of assets, N1 represent repayment date in the life cycle of this assets
Total quantity, t1, N1 be positive integer.
8. nonstandard creditor's assets estimation method as claimed in claims 6 or 7, which is characterized in that the discount rate formula includes:
rt2=At2+Bt2+Z
The valuation formula includes:
Wherein, rt2Represent the corresponding discount rate of the t2 repayment date, A in the preset time sectiont2Represent the preset time
The corresponding risk free rate of the t2 repayment date, B in sectiont1It is corresponding to represent the t2 repayment date in the preset time section
Credit spread, Z represent that fixed point is poor, and V represents this assets in the fair value of the valuation day, CFt2When representing described default
Between the corresponding cash flow of the t2 repayment date in section, N2 represents the total quantity of repayment date in the preset time section, t2, N2
For positive integer.
9. nonstandard creditor's assets estimation method as claimed in claims 6 or 7, which is characterized in that in the obtaining step, institute
Stating the step of obtaining an assets each repayment date in preset time section corresponding risk free rate includes:
This assets are obtained in the first default yield curve of the valuation day；
According to the described first default yield curve, determine that each repayment date corresponding first is preset in the preset time section
Earning rate, and using the corresponding first default earning rate of repayment date each in the preset time section as risk free rate；
In the obtaining step, the corresponding credit spread of one assets of the acquisition each repayment date in preset time section
The step of include:
Obtain Asset Type and the inside grading of this assets；
According to the mapping relations between the grading of the inside of this assets and predetermined internal grading and external grading, determining should
The external grading of assets；
According to the Asset Type of this assets and external grading, this assets are obtained in the second default earning rate of the valuation day
Curve；
According to the described second default yield curve, determine that each repayment date corresponding second is preset in the preset time section
Earning rate, and using the corresponding second default earning rate of repayment date each in the preset time section as credit spread.
10. a kind of computer readable storage medium, which is characterized in that the computer-readable recording medium storage has nonstandard credits
Valuation of assets program, the nonstandard creditor's assets valuation program can be executed by least one processor so that it is described at least one
Processor executes the step of nonstandard creditor's assets estimation method as described in any one of claim 6-9.
Priority Applications (1)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| CN201910067843.6A CN109886800A (en) | 2019-01-24 | 2019-01-24 | Electronic device, nonstandard creditor's assets estimation method and computer readable storage medium |
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| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| CN201910067843.6A CN109886800A (en) | 2019-01-24 | 2019-01-24 | Electronic device, nonstandard creditor's assets estimation method and computer readable storage medium |
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| CN109886800A true CN109886800A (en) | 2019-06-14 |
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Cited By (3)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN111161080A (en) * | 2019-12-10 | 2020-05-15 | 中国建设银行股份有限公司 | Information processing method and device |
| CN111369366A (en) * | 2020-03-31 | 2020-07-03 | 中国建设银行股份有限公司 | Financial product cash-on method, device, equipment and storage medium |
| CN115062042A (en) * | 2022-06-15 | 2022-09-16 | 五矿国际信托有限公司 | Intelligent query and supervision method for interest of non-standard trust assets principal |
-
2019
- 2019-01-24 CN CN201910067843.6A patent/CN109886800A/en active Pending
Cited By (3)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN111161080A (en) * | 2019-12-10 | 2020-05-15 | 中国建设银行股份有限公司 | Information processing method and device |
| CN111369366A (en) * | 2020-03-31 | 2020-07-03 | 中国建设银行股份有限公司 | Financial product cash-on method, device, equipment and storage medium |
| CN115062042A (en) * | 2022-06-15 | 2022-09-16 | 五矿国际信托有限公司 | Intelligent query and supervision method for interest of non-standard trust assets principal |
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