CN112232615A - System for calculating valuation and index of authorized bond - Google Patents
System for calculating valuation and index of authorized bond Download PDFInfo
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Abstract
The invention belongs to the technical field of financial information and data processing, and particularly relates to a method and a system for calculating valuation and indexes of an authorized bond. The method solves the technical problems that the existing estimation technology is not fit to the actual conditions of the market and the like. The system provided by the invention comprises a data collection module, a data cleaning module and a calculation module, wherein the calculation module comprises sub-modules of bond classification, valuation calculation, recommendation direction calculation and bond index calculation. Compared with other methods for calculating the authorized bonds, the method has the advantages of simpler calculation process, low complexity and better fit with the trading practice of the authorized bonds in the Chinese bond market.
Description
Technical Field
The invention relates to a method and a system for calculating valuation and index of an authorized bond, belonging to the technical field of financial information and data processing.
Background
The right-bearing bond is a bond with the prior agreement right of both the issuer and the investor, and the agreement right generally comprises the issuer redemption right, the investor redemption right and the issuer adjustment face interest rate right, wherein the issuer redemption right refers to the right of the issuer to redeem the bond at the appointed time according to the appointed price, the investor redemption right refers to the right of the investor to sell the bond at the appointed time according to the appointed price, and the issuer adjustment face interest rate right refers to the right of the issuer to adjust the subsequent face interest rate of the bond at the appointed time. Currently, the types of authorized bonds in the market mainly include bonds with only investor resale right, bonds with only issuer redemption right, bonds with investor resale right and adjusted defined margin interest rate terms, bonds with issuer redemption right and adjusted defined margin interest rate terms, and bonds with investor resale right and issuer adjusted margin interest rate option.
For evaluation of the weighted bonds, the evaluation is mainly calculated by a fork tree method (binary tree or ternary tree) and a Monte Carlo simulation method because the right-of-way situation needs to be processed. The two methods are widely adopted in the financial field, and the main idea is to construct an interest rate path, determine future cash flow according to the interest rate path, carry out cash subsidence and finally obtain the price of the authorized bond. However, the cross-tree method and the monte carlo simulation method involve node-by-node calculation, and the calculation amount and the complexity are high in the analysis processing process. Meanwhile, the value of the authorized bond is evaluated by adopting a fork tree method and a Monte Carlo simulation method, the evaluation form is a bond price, and when the authorized bond is traded in the current domestic bond market, the bond is generally evaluated and priced directly according to the right-of-go condition and the right-of-no-go condition, namely, the bond price under the two conditions needs to be discussed and is different from the current bond market practice.
Disclosure of Invention
The invention aims to solve the technical problem of providing a quick and direct evaluation method and a quick and direct evaluation system aiming at the current situation that the calculation of the treeing method and the Monte Carlo simulation method is complex and does not conform to the current convention of processing the authorized bonds in the bond market.
In order to solve the technical problems, the invention adopts the following technical scheme and constructs a system:
the invention provides a system for calculating valuation and indexes of a weighted bond, which comprises the following modules:
(1) the data collection module is used for establishing a database and storing the basic information of the authorized bonds, market price data and the yield required by valuation;
(2) the data cleaning module is used for comparing and checking information of various data sources, eliminating abnormal data in the basic information of the right-bearing bond and the market price data and correcting;
(3) the calculation module is used for calculating the evaluation value of the authorized bond and the bond index;
further, the invention provides a system for calculating valuation and index of the authorized bond, wherein the calculation module comprises the following sub-modules:
(301) the bond classification submodule is used for classifying the bond with the right into a common bond with the right or a special bond with the right;
(302) the evaluation calculation submodule is used for calculating the long evaluation and the short evaluation of the authorized bond;
(303) the recommendation direction calculation submodule is used for judging recommendation evaluation values of the authorized bonds;
(304) and the bond index calculation submodule is used for calculating bond indexes corresponding to the long evaluation value and the short evaluation value of the weighted bonds.
Further, the invention provides a system for calculating valuation and index of the right-bearing bond, the bond classification submodule is used for classifying the common right-bearing bond, and the common right-bearing bond comprises a bond only containing the return-selling right of the investor, a bond only containing the redemption-right of the issuer, a bond containing the return-selling right of the investor and adjusting the face interest rate term of the determined amplitude, and a bond containing the redemption-right of the issuer and adjusting the face interest rate term of the determined amplitude;
furthermore, the system for calculating the valuation and the index of the authorized bond, provided by the invention, is characterized in that the bond classification submodule is used for classifying the special authorized bond to adjust the face interest rate selection authorized bond for the reselling right of the investor and the issuer;
furthermore, the evaluation value calculating submodule of the system for calculating the evaluation value and the index of the authorized bond provided by the invention is used for calculating the evaluation value of the bond length, namely, the evaluation value of the bond considering the adjustment factor of the face interest rate by taking the last repayment principal date as the due date under the condition that an issuer containing the bond with the redemption right does not exercise the redemption right and an investor containing the investor bond with the redemption right does not exercise the redemption right;
furthermore, the evaluation value calculation submodule of the system for calculating the evaluation value and the index of the authorized bond, which is provided by the invention, is used for calculating the short evaluation value of the bond, namely the evaluation value of the bond, which takes the redemption date of the bond containing the right to be redeemed by the issuer as the due date and the resale date of the bond containing the right to be resale by the investor as the due date, and considers the factors of the redemption price and the resale price;
further, the system for calculating the evaluation value and the index of the weighted bond is provided by the invention, the bond index calculation submodule comprises an evaluation yield, an evaluation correction duration, an evaluation convexity and a base point value;
further, according to the system for calculating the evaluation value and the index of the weighted bond, the recommendation direction calculation sub-module calculates the recommendation evaluation value of the bond as one of the long evaluation value and the short evaluation value of the bond which is most likely to be judged to meet the value of the weighted bond by the system.
Further, the invention provides a system for calculating the valuation and index of the right-bearing bond, in the calculation module, the long valuation, the short valuation and the recommended valuation of the bond can be calculated at the same time only before the redemption date or the back-sale date, if the bond is completely redeemed or back-sold on the redemption date or the back-sale date, the valuation of the bond can not be calculated, if the bond is not completely redeemed or back-sold on the redemption date or the back-sale date, only one bond valuation can be calculated after the redemption date or the back-sale date.
Furthermore, in the system for calculating the valuation and the index of the authorized bond, in the valuation calculation submodule, for the common authorized bond, the long valuation is obtained by discounting the adjusted cash flow after the definite right of the bond in the bond term, and the short valuation is obtained by discounting the cash flow before the right of the bond; for a special entitled bond, the long estimate determines the cash flow after the right of way based on the estimated face interest rate after the right of way, and is calculated by the cash flow discount method, for example, for a bond with interest-counting period rule and no installments and payback clauses, the long estimate is calculated by the following formula
Wherein, ytThe payback rate corresponding to the period to be compensated, t is the period from the calculation date to the expiration date, n is the total number of paying times of the bond from the calculation date to the right of the bank, k is the total number of paying times of the bond from the right of the bank to the expiration date, M is the face value of the bond, CmThe estimated nominal interest rate after the right of way. Short valuations are obtained according to cash flow discount before the right of the bank; for example, for bonds with a rule of interest cycle of bonds, and no recurring counter terms, the short estimate is calculated by,
wherein, ytN is the total paying times of the bond from the calculation day to the right of the bank, t is the period from the calculation day to the right of the bank, M is the face value of the bond, P is the return rate due to the period to be compensated0Is the agreed right price. Bond valuation is calculated as a non-entitled bond for a general entitled bond that is still present after the redemption date or the resale date and a special entitled bond that is still present after the resale date.
Further, before the issuer exercises the option of adjusting the face interest rate, the estimated face interest rate after the right of execution is determined by comparing the expected equilibrium face interest rate with the face interest rate range which can be adjusted by the issuer specified in the bond clause, and after the issuer exercises the option of adjusting the face interest rate, the estimated face interest rate after the right of execution is not calculated;
further, the expected equitable rate may be solved by using the following formula, C, for the adjusted nominal interest rate level of the bond, which is obtained by adjusting the nominal interest rate of the cash flow to be equivalent to the selling price of the bond for the expected issuer, for example, for the bond with the interest period rule and without the term of the installments payback, CxTo anticipate the equalization row entitlement rate:
wherein, yN，kThe return rate due of the future with the term of k years after N years is taken as the return rate due curve of the future of the middle bond, M is the residual amount of the right-of-way date, and N is the remaining total payment times of the bond after the right-of-way date. It is contemplated that the equity rate need not be in the nominal interest rate range that the issuer can adjust to as specified in the terms of the bond.
In the recommendation direction calculation submodule, for the common authorized bonds, firstly, the balanced authorized price of the common authorized bonds is calculated, and the calculation method is that for the authorized bonds with the issuer, the cash flow after the redemption date is converted to the redemption date by the forward interest rate, and for the authorized bonds with the investor, the cash flow after the redemption date is converted to the redemption date by the forward interest rate; secondly, comparing and judging the recommended valuation, wherein the judging method comprises the steps of comparing the redemption price with the bond value under the condition that the issuer does not exercise the redemption right on the redemption day for the bond with the redemption right of the issuer, and comparing the resale price with the bond value under the condition that the investor does not exercise the resale right on the resale day for the bond with the resale right of the investor;
further, in the system for calculating the evaluation value and index of the authorized bond, in the recommendation direction calculation sub-module, for the special authorized bond, firstly, the expected equilibrium right rate is calculated, and secondly, the expected equilibrium right rate is compared with the nominal right rate range which can be adjusted by the issuer specified in the bond terms, so that the nominal right rate and the recommendation evaluation value of the bond after the authorization of the special authorized bond are simultaneously obtained.
Further, in the system for calculating the evaluation value and index of the authorized bond proposed by the present invention, in the recommendation direction calculation sub-module, for the special authorized bond, the nominal interest rate range that the issuer can adjust to is [ the nominal interest rate at issue + the lower limit of the nominal interest rate adjustment range, the nominal interest rate at issue + the upper limit of the nominal interest rate adjustment range ], when comparing with the expected equilibrium right rate, 7 cases need to be considered, including:
4 cases to consider when the range of nominal interest rates to which the issuer can adjust has double bounds:
firstly, the lower limit of the adjustment range of the nominal interest rate is more than or equal to 0 and less than the upper limit of the adjustment range of the nominal interest rate;
the lower limit of the adjustment range of the nominal interest rate is less than the upper limit of the adjustment range of the nominal interest rate and is less than or equal to 0;
thirdly, the lower limit of the adjustment range of the nominal interest rate is less than 0 and is more than the upper limit of the adjustment range of the nominal interest rate;
fourthly, the lower limit of the adjustment range of the nominal interest rate is equal to the upper limit of the adjustment range of the nominal interest rate is equal to 0;
there are 3 cases to consider when the range of nominal interest rates to which the issuer can adjust is only single bounded:
firstly, the lower limit of the adjustment range of the nominal interest rate is empty;
secondly, the upper limit of the adjustment range of the nominal interest rate is empty;
thirdly, the lower limit of the adjustment range of the nominal interest rate and the upper limit of the adjustment range of the nominal interest rate are both null.
Further, in the system for calculating the valuation and the index of the right-bearing bond, in the bond index calculation submodule, for the common right-bearing bond, before the redemption date or the resale date, corresponding to the long valuation and the short valuation of the common right-bearing bond, calculating two valuation profitability, two valuation correction periods, two valuation convexity and two base point values; if the ordinary equity bond is fully redeemed or resold, the valuation rate of return, the valuation correction duration, the valuation convexity and the base point value of the ordinary equity bond are not calculated, and if the ordinary equity bond is not fully redeemed or resold, only one valuation rate of return, one valuation correction duration, one valuation convexity and one base point value can be calculated after the redemption date or the resale date.
Further, the system for calculating the valuation and the index of the authorized bonds, provided by the invention, calculates the valuation earning rate, the two valuation settling periods, the two valuation convexities and the two base point values of the two special authorized bonds corresponding to the long valuation and the short valuation of the special authorized bonds in the index calculation submodule of the bonds for the special authorized bonds before the resale date, if the special authorized bonds are totally resale, the valuation earning rate, the valuation settling period, the valuation convexities and the base point values of the special authorized bonds are not calculated, if the special authorized bonds are not totally resale, only one valuation earning rate, one valuation settling period, one valuation convexities and one base point value can be calculated after the resale date.
In the system for calculating the valuation and the index of the authorized bond, in the bond index calculation submodule, before the resale date, the special authorized bond index calculation considers the influence of the variation of the calculated valuation current-day yield rate on cash flow after the resale date, and for the special authorized bond with the expected equilibrium right rate within the face interest rate range which can be adjusted by the issuer specified in the bond terms, the bond indexes corresponding to the long valuation and the short valuation are consistent.
Drawings
Fig. 1 is a flow chart of a system for calculating valuation and index of a weighted bond according to the present invention.
Detailed Description
The method and system of the present invention are described in further detail below with reference to FIG. 1.
In the data collection module, the collection of basic data of the authorized bonds is processed, namely field information of authorized terms, current ticket face, issue period, issue date, interest date, right price, market price, yield rate required by cash flow discount and the like of the authorized bonds is stored in a database for being extracted in the subsequent calculation process.
In the data collection module, the types of the authorized bonds are marked according to authorized terms of the authorized bonds, namely the authorized bonds are definite to be one of bonds with return sale right of investors, bonds with only redemption right of distributors, bonds with return sale right of investors and face interest rate term with adjusted and determined amplitude, bonds with redemption right of distributors and face interest rate term with adjusted and determined amplitude, bonds with return sale right of investors and face interest rate option of distributors.
In the data cleaning module, the data information stored in the data collection module is cleaned, including but not limited to removing abnormal points in market prices of different price sources, performing cross validation and merging on redundant information of different information sources, filling missing data, and the like.
And inputting the cleaned essential data of the authorized bonds into a calculation module for calculating the evaluation value of the authorized bonds and the bond indexes.
According to the marking condition of the authorized bonds, the bonds are classified into common authorized bonds or special authorized bonds in a bond classification submodule.
For the common authorized bond, in an evaluation calculation submodule, a long evaluation value is obtained by discounting the adjusted cash flow after the definite bank right in the bond clause, and a short evaluation value is obtained by discounting the cash flow before the bank right. For ordinary rightful bonds that remain after the redemption date or the resale date, bond valuation is calculated as the rightless bonds.
For special bond with right, in the valuation calculation submodule, the calculation process includes the following steps:
step (a1) of calculating the expected equilibrium right rate, assuming that the issuer makes the cash flow discount after the adjustment of the nominal right rate equal to the bond selling price, and the calculated nominal right rate level is used as the expected equilibrium right rate, for example, for bonds with a rule of interest-counting period and without a term of return by stages, the expected equilibrium right rate can be solved by using the following formula, CxTo anticipate the equalization row entitlement rate:
wherein, yN，kThe return rate due of the future with the term of k years after N years is taken as the return rate due curve of the future of the middle bond, M is the residual amount of the right-of-way date, and N is the remaining total payment times of the bond after the right-of-way date. The value does not necessarily fall within the range of nominal interest rates that the issuer may adjust to as specified in the terms of the bond.
Step (A2) of calculating an estimated post-operative nominal interest rate, comparing the expected equilibrium post-operative nominal interest rate with the nominal interest rate range which can be adjusted by the issuer specified in the bond provision before the issuer exercises the option of adjusting the nominal interest rate to determine the estimated post-operative nominal interest rate, and after the issuer exercises the option of adjusting the nominal interest rate, not calculating the estimated post-operative nominal interest rate.
Step (A3) of calculating a long estimate and a short estimate, determining a cash flow after the right of way based on the estimated face interest rate after the right of way, and calculating the long estimate by using cash flow discount method, for example, for bonds with interest-bearing period rules and no installments payback clauses, the long estimate is calculated by the following formula
Wherein, ytThe payback rate corresponding to the period to be compensated, t is the period from the calculation date to the expiration date, n is the total number of paying times of the bond from the calculation date to the right of the bank, k is the total number of paying times of the bond from the right of the bank to the expiration date, M is the face value of the bond, CmThe estimated nominal interest rate after the right of way. Short valuations are derived from cash flow discounts prior to the right of the bank, e.g., for bonds with a rules of interest-bearing cycle and without a bond having an installment return term, the short valuations are calculated by,
wherein, ytN is the total paying times of the bond from the calculation day to the right of the bank, t is the period from the calculation day to the right of the bank, M is the face value of the bond, P is the return rate due to the period to be compensated0Is the agreed right price. For special entitled bonds that are still present after the resale date, the bond valuation is calculated as an entitled-free bond.
For the common authorized bonds, in the recommendation direction calculating submodule, the calculating process comprises the following steps:
step (B1) calculates the equitable price of the ordinary equity bond, i.e. for the bond with the issuer to redeem the equity bond, the cash flow after the redeeming date is discounted to the redeeming date by the forward interest rate, for the bond with the investor to sell the equity bond, the cash flow after the selling date is discounted to the selling date by the forward interest rate, and the equitable price of the ordinary equity bond is obtained.
Step (B2) compares and determines the recommended valuation direction, i.e. comparing the redemption price with the bond value in case the redemption right is not exercised by the issuer on the redemption date for the bond with the redemption right of the issuer, and comparing the redemption price with the bond value in case the redemption right is not exercised by the investor on the redemption date for the bond with the redemption right.
For special authorized bonds, in the recommendation direction calculation submodule, the calculation process comprises the following steps:
and (C1) calculating the expected equilibrium right rate, wherein the calculation method is the same as that in the step (A1), and the result of the step (A1) is directly called in the system.
And (C2) calculating the nominal interest rate range which can be adjusted by the issuer, namely calculating [ the nominal interest rate at the time of issuance + the lower limit of the nominal interest rate adjustment range, the nominal interest rate at the time of issuance + the upper limit of the nominal interest rate adjustment range ].
And (C3) judging the recommendation evaluation direction of the authorized bond, namely comparing the expected equilibrium right rate with the nominal interest rate range which can be adjusted by the issuer and is regulated in the bond terms to obtain the recommendation evaluation direction of the authorized bond.
In step (C3), 7 cases are considered when comparing with the expected equalized row entitlement rate, including:
4 cases to consider when the range of nominal interest rates to which the issuer can adjust has double bounds:
firstly, the lower limit of the adjustment range of the nominal interest rate is more than or equal to 0 and less than the upper limit of the adjustment range of the nominal interest rate;
the lower limit of the adjustment range of the nominal interest rate is less than the upper limit of the adjustment range of the nominal interest rate and is less than or equal to 0;
thirdly, the lower limit of the adjustment range of the nominal interest rate is less than 0 and is more than the upper limit of the adjustment range of the nominal interest rate;
fourthly, the lower limit of the adjustment range of the nominal interest rate is equal to the upper limit of the adjustment range of the nominal interest rate is equal to 0;
there are 3 cases to consider when the range of nominal interest rates to which the issuer can adjust is only single bounded:
firstly, the lower limit of the adjustment range of the nominal interest rate is empty;
secondly, the upper limit of the adjustment range of the nominal interest rate is empty;
thirdly, the lower limit of the adjustment range of the nominal interest rate and the upper limit of the adjustment range of the nominal interest rate are both null.
For the common authorized bond, after the long evaluation value, the short evaluation value and the recommendation direction are calculated, index calculation is carried out in a bond index calculation submodule, and two valuation profitability, two valuation correction duration, two valuation convexity and two base point values are calculated corresponding to the long evaluation value and the short evaluation value of the common authorized bond before the redemption date or the resale date; if the ordinary equity bond is fully redeemed or resold, the valuation rate of return, the valuation correction period, the valuation convexity and the base point value of the ordinary equity bond are not calculated any more, and if the ordinary equity bond is not fully redeemed or resold, only one valuation rate of return, one valuation correction period, one valuation convexity and one base point value are calculated after the redemption date or the resale date.
And for the special authorized bonds, after the long evaluation, the short evaluation and the recommendation direction are calculated, index calculation is carried out in a bond index calculation submodule, before the resale date, corresponding to the long evaluation and the short evaluation of the special authorized bonds, the evaluation yield, the two evaluation correction long periods, the two evaluation convexity and the two base point values of the two special authorized bonds are calculated, if the special authorized bonds are all resale, the evaluation yield, the evaluation correction long periods, the evaluation convexity and the base point value of the special authorized bonds are not calculated, if the special authorized bonds are not all resale, only one evaluation yield, one evaluation correction long period, one evaluation convexity and one base point value are calculated after the resale date.
The following example is provided to further detail the implementation of the present invention:
taking 17 electricity for casting 01(143114) bond as an example, the date of interest is 2017, 5 and 17 days, the due date is 2020, 5 and 17 days, the issued nominal interest rate is 4.8%, the issuer has the right to adjust the nominal interest rate on 2019, 5 and 17 days, and after the issuer chooses whether to exercise the nominal adjustment right, the investor has the right to choose whether to sell the bond back to the issuer. The bond does not specify an adjustable face interest rate range.
Taking the estimation calculation of 11/22/2018 as an example, the data collection module collects basic data of the bond, marks the bond as a bond with the redemption right of the issuer and adjusts the determined breadth and face interest rate, and then the data cleaning module performs necessary rechecking, processing and correcting on the data.
In the bond classification submodule of the calculation module, the bond is judged as the special-weighted bond by marking of the data collection module.
In an evaluation calculation submodule of a calculation module, assuming that the issuer makes the cash flow discount after the adjustment of the face interest rate equal to the bond return sale price, the expected equilibrium bank right rate is calculated to be 3.8519%, because the bond does not stipulate the upper and lower limits of the adjustment of the interest rate, the face interest rate after the calculation of the estimated bank right is 3.8519%, and accordingly the long evaluation full price and the short evaluation full price of the bond are calculated to be 103.1427 and 103.1341 respectively.
In a recommendation direction calculation submodule of a calculation module, the expected equilibrium right rate calculated in an estimation calculation submodule is directly called 3.8519%, the nominal interest rate range which can be adjusted by a calculation publisher is determined to be [ - ∞, + ∞ ], and the recommendation estimation direction of the bond is judged to be the recommendation length estimation according to the judgment condition that the lower limit of the nominal interest rate adjustment range and the upper limit of the nominal interest rate adjustment range are empty at the same time.
In a bond index calculation submodule of a calculation module, the evaluation yield 3.6869%, the evaluation revision duration 0.4745, the evaluation convexity 0.4504 and the base point value of the long evaluation of the weight-only bond are respectively calculated, and the evaluation yield 3.3499%, the evaluation revision duration 0.4745, the evaluation convexity 0.4504 and the base point value of the short evaluation are respectively calculated to be 0.0049.
The foregoing is only a partial embodiment of the present invention, and it should be noted that, for those skilled in the art, various modifications and decorations can be made without departing from the principle of the present invention, and these modifications and decorations should also be regarded as the protection scope of the present invention.
Claims (10)
1. A system for calculating value and index of value of a property bond, the system comprising:
(1) the data collection module is used for establishing a database and storing the basic information of the authorized bonds, market price data and the yield required by valuation;
(2) the data cleaning module is used for comparing and checking information of various data sources, eliminating abnormal data in the basic information of the right-bearing bond and the market price data and correcting;
(3) the calculation module is used for calculating the evaluation value of the authorized bond and the bond index;
the calculation module comprises the following sub-modules:
(301) the bond classification submodule is used for classifying the bond with the right into a common bond with the right or a special bond with the right;
(302) the evaluation calculation submodule is used for calculating the long evaluation and the short evaluation of the authorized bond;
(303) the recommendation direction calculation submodule is used for judging recommendation evaluation values of the authorized bonds;
(304) and the bond index calculation submodule is used for calculating bond indexes corresponding to the long evaluation value and the short evaluation value of the weighted bonds.
2. The system for calculating valuation and index of an equity bond according to claim 1 wherein said common equity bond includes an investor's resale right or an issuer's redemption right or an adjusted face interest rate term (adjusted interest rate determination) bond;
the special right-bearing bond is a bond which contains the option of selling back of investors and the option of adjusting the nominal interest rate of a publisher (the adjusted interest rate is uncertain);
the bond length estimation value is the bond estimation value considering the face interest rate adjustment factor by taking the last repayment principal date as the due date under the condition that the issuer containing the bond with the redemption right does not exercise the redemption right and the investor containing the bond with the investor redeeming right does not exercise the redemption right;
the short evaluation value of the bond is the evaluation value of the bond which takes the factors of the redemption and the selling price into consideration, wherein the next redemption date of the bond containing the redemption right of the issuer is due date, and the next selling date of the bond containing the resale right of the investor is due date;
the bond indexes comprise valuation earning rate, valuation correction duration, valuation convexity and base point value;
the bond recommendation score is one of the bond length score and the bond short score that is determined by the system to most likely correspond to the value of the authoritative bond.
3. The system for calculating value and index of an equity bond according to claim 1, wherein in the calculation module, the long value, the short value and the recommended value of the bond can be calculated simultaneously only before the redemption date or the back-sale date, the value of the bond can not be calculated if the bond is fully redeemed or back-sold on the redemption date or the back-sale date, and only one value of the bond can be calculated after the redemption date or the back-sale date if the bond is not fully redeemed or back-sold on the redemption date.
4. The system for calculating value and index of the entitled bonds as claimed in claim 1, wherein in the value calculation sub-module, for the ordinary entitled bonds, the long value is derived from the adjusted cash flow discounted after the specified right of way in the terms of the bonds, and the short value is derived from the cash flow discounted before the right of way; for a special entitled bond, the long estimate determines the cash flow after the right of way based on the estimated face interest rate after the right of way, and is calculated by the cash flow discount method, for example, for a bond with interest-counting period rule and no installments and payback clauses, the long estimate is calculated by the following formula
Wherein, ytTo correspond to a waiting periodT is the period from the calculation date to the expiration date, n is the total number of payouts of the bonds from the calculation date to the right of way date, k is the total number of payouts of the bonds from the right of way date to the expiration date, M is the face value of the bonds, CmThe estimated nominal interest rate after the right of way. Short valuations are obtained according to cash flow discount before the right of the bank; for example, for bonds with a rule of interest cycle of bonds, and no recurring counter terms, the short estimate is calculated by,
wherein, ytN is the total paying times of the bond from the calculation day to the right of the bank, t is the period from the calculation day to the right of the bank, M is the face value of the bond, P is the return rate due to the period to be compensated0Is the agreed right price.
Bond valuation is calculated as a non-entitled bond for a general entitled bond that is still present after the redemption date or the resale date and a special entitled bond that is still present after the resale date.
5. The system of claim 4, wherein the estimated post-royalty interest rate is determined by comparing the expected equilibrium post-royalty interest rate with a range of possible adjusted face interest rates for the issuer as specified in the debt clauses before the issuer exercises the option to adjust the face interest rate, and the estimated post-royalty interest rate is not calculated after the issuer exercises the option to adjust the face interest rate;
6. the system for calculating valuation and index of weighted bonds as claimed in claim 5, wherein the expected equilibrium right rate is adjusted to the nominal interest rate level for the prospective issuer to make the cash flow discount after the nominal interest rate adjustment equal to the bond return price, for example, for bonds with interest-counting period rule and no installments on the term of the payback, the expected equilibrium right rate can be solved by using the following formula, CxTo anticipateEqualizing row entitlement rate:
wherein, yN，kThe return rate due of the future with the term of k years after N years is taken as the return rate due curve of the future of the middle bond, M is the residual amount of the right-of-way date, and N is the remaining total payment times of the bond after the right-of-way date. It is contemplated that the equity rate need not be in the nominal interest rate range that the issuer can adjust to as specified in the terms of the bond.
7. The system for calculating value and index of the right-bearing bond according to claim 1, wherein in the recommendation direction calculation submodule, for the normal right-bearing bond, the equitable price of the normal right-bearing bond is calculated first, and the calculation method is that for the right-bearing bond redeemed by the issuer, the cash flow after the redemption date is reduced to the redemption date by the forward interest rate, and for the right-bearing bond redeemed by the investor, the cash flow after the redemption date is reduced to the redemption date by the forward interest rate; secondly, comparing and judging the recommended valuation, wherein the judging method comprises the steps of comparing the redemption price with the bond value under the condition that the issuer does not exercise the redemption right on the redemption day for the bond with the redemption right of the issuer, and comparing the resale price with the bond value under the condition that the investor does not exercise the resale right on the resale day for the bond with the resale right of the investor;
for the special-right bond, firstly, the expected equilibrium right rate is calculated, and secondly, the expected equilibrium right rate is compared with the face interest rate range which can be adjusted by the issuer and is specified in the bond terms, so that the face interest rate and the bond recommendation evaluation after the special-right bond is estimated are obtained at the same time.
8. The system of claim 7, wherein in the recommendation direction calculation sub-module, for a particular right-bearing bond, the nominal interest rate range that the issuer can adjust to is [ nominal interest rate at issue + lower limit of nominal interest rate adjustment range, nominal interest rate at issue + upper limit of nominal interest rate adjustment range ], and when comparing with the expected equity rate, 7 cases need to be considered, including:
4 cases to consider when the range of nominal interest rates to which the issuer can adjust has double bounds:
firstly, the lower limit of the adjustment range of the nominal interest rate is more than or equal to 0 and less than the upper limit of the adjustment range of the nominal interest rate;
the lower limit of the adjustment range of the nominal interest rate is less than the upper limit of the adjustment range of the nominal interest rate and is less than or equal to 0;
thirdly, the lower limit of the adjustment range of the nominal interest rate is less than 0 and is more than the upper limit of the adjustment range of the nominal interest rate;
fourthly, the lower limit of the adjustment range of the nominal interest rate is equal to the upper limit of the adjustment range of the nominal interest rate is equal to 0;
there are 3 cases to consider when the range of nominal interest rates to which the issuer can adjust is only single bounded:
firstly, the lower limit of the adjustment range of the nominal interest rate is empty;
secondly, the upper limit of the adjustment range of the nominal interest rate is empty;
thirdly, the lower limit of the adjustment range of the nominal interest rate and the upper limit of the adjustment range of the nominal interest rate are both null.
9. The system for calculating valuation and index of the right-bearing bond according to claim 1, wherein in the bond index calculation submodule, for the common right-bearing bond, before the redemption date or the resale date, two valuation earnings, two valuation settling periods, two valuation convexity and two base point values are calculated corresponding to the long valuation and the short valuation of the common right-bearing bond; if the ordinary authorized bond is fully redeemed or resold, the valuation earning rate, the valuation correction duration, the valuation convexity and the base point value of the ordinary authorized bond are not calculated any more, and if the ordinary authorized bond is not fully redeemed or resold, only one valuation earning rate, one valuation correction duration, one valuation convexity and one base point value can be calculated after the redemption date or the resale date;
for the special authorized bonds, before the sale-back date, corresponding to the long evaluation value and the short evaluation value of the special authorized bonds, the valuation earning rate, the two valuation correction durations, the two valuation convexity and the two base point values of the two special authorized bonds are calculated, if the special authorized bonds are totally sold back, the valuation earning rate, the valuation correction duration, the valuation convexity and the base point value of the special authorized bonds are not calculated, and if the special authorized bonds are not totally sold back, only one valuation earning rate, one valuation correction duration, one valuation convexity and one base point value can be calculated after the sale-back date.
10. The system for calculating valuation and index of the entitled bonds as claimed in claim 1, wherein in the bond index calculation submodule, before the backspace date, the special entitled bond index calculation takes into account the influence of the variation of the calculated valuation current date rate on cash flow after the backspace date, and for special entitled bonds whose expected equilibrium entitlement rate is within the face interest rate range that the issuer specified in the bond terms can adjust, the bond indexes corresponding to the long valuation and the short valuation are consistent.
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| WO2009000108A1 (en) * | 2007-06-26 | 2008-12-31 | China Government Securities Depository Trust & Clearing Co., Ltd | System and method for generating bond yield rate curve and index |
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