CN114579828A - Reference interest rate and yield rate curve construction method and related equipment - Google Patents

Reference interest rate and yield rate curve construction method and related equipment Download PDF

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CN114579828A
CN114579828A CN202210213538.5A CN202210213538A CN114579828A CN 114579828 A CN114579828 A CN 114579828A CN 202210213538 A CN202210213538 A CN 202210213538A CN 114579828 A CN114579828 A CN 114579828A
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孙晓林
张立鹏
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China Construction Bank Corp
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Abstract

According to the reference interest rate and yield rate curve construction method and the related equipment, based on the target financial market interest rate, first discount factors corresponding to all first preset time limit points are determined, wherein the first preset time limit points are settlement time limit points in the target financial market interest rate; constructing a first yield curve by using the first discount factor; determining second appearing factors corresponding to second preset time limit points on the basis of the overnight index falling period, wherein the second preset time limit points are interest rate falling period limit points in the overnight index falling period; constructing a second yield curve by using the second discount factor; and constructing a reference interest rate and yield curve by using the first yield rate curve and the second yield rate curve. According to the method, a reference interest rate and yield curve is constructed through the target financial market interest rate and the overnight index swap period, and related practitioners can conveniently calculate the current value, estimate the value and predict the future interest rate of the financial products and derivatives by using the reference interest rate and yield curve.

Description

Reference interest rate and yield rate curve construction method and related equipment
Technical Field
The disclosure relates to the technical field of computers, in particular to a reference interest rate and yield curve construction method and related equipment.
Background
The construction of interest rate-to-profit rate curves is an important element in quantitative finance. For financial practitioners, the interest rate-profitability curve directly affects the performance of the financial product trader. The formation level of the interest rate and yield curve is also an important standard for measuring the risk management capability of the bank investment and transaction business.
Interest rate is the price of money or currency, and is one of the important tools for central banks in all countries of the world to regulate the policy of currency. The benchmark interest rate is an interest rate with a general reference function in the financial market, and other interest rate levels or financial asset prices can be determined according to the benchmark interest rate level.
Currently, the most important Interbank interest rate in the international capital market is the Interbank interest rate in london, namely libor (london Interbank object rate). Interest rate curves constructed based on LIBOR enable pricing, valuation, trading, and risk management of financial products and derivatives.
With the development of history, LIBOR itself exposes a series of problems that the quotation base is gradually weak, quotation is easy to handle and the like, and the british financial behavior regulatory agency confirms that the bank will not be compulsorily required to quote LIBOR at the end of 2021, which means that LIBOR gradually exits the history stage. The yield curve constructed based on LIBOR will also fail, which directly affects the valuation of the various types of financial products in the market. To cope with the market withdrawal of LIBOR, the Risk-Free interest rate working groups of countries around the world have given a recommended interest rate alternative, namely the new Risk-Free Rates (RFRs), also known as new benchmark Rates. In order to be able to continue to evaluate financial products and derivatives, a new baseline rate-of-return curve needs to be constructed for the new baseline rate-of-return.
Disclosure of Invention
In view of the above problems, the present disclosure provides a method and related apparatus for constructing a reference interest rate/benefit rate curve, which overcome or at least partially solve the above problems, and the technical solutions are as follows:
a method for constructing a reference interest rate and yield curve comprises the following steps:
determining first discount factors corresponding to each first preset time limit point based on a target financial market interest rate, wherein the first preset time limit points are interest period limit points in the target financial market interest rate;
constructing a first yield curve by using the first discount factor;
determining second appearing factors corresponding to second preset time limit points on the basis of the overnight index falling period, wherein the second preset time limit points are interest rate falling period limit points in the overnight index falling period;
constructing a second yield curve by using the second discount factor;
and constructing a reference interest rate and yield curve by using the first yield rate curve and the second yield rate curve.
Optionally, the determining, based on the target financial market interest rate, a first discount factor corresponding to each first preset deadline point includes:
for any first preset time limit: obtaining market quoted price of the target financial market interest rate corresponding to the first preset deadline point;
and calculating a first discount factor corresponding to the first preset time limit point based on the market quotation.
Optionally, the constructing a first yield curve by using the first discount factor includes:
converting the first discount factor to obtain a first yield corresponding to the first discount factor;
and constructing a first yield curve by using the first yield corresponding to the first discount factor and the first preset time limit point.
Optionally, the determining, based on the overnight index fall period, a second discount factor corresponding to each second preset time limit point includes:
for any second preset time limit point: and calculating a second appearing factor corresponding to the second preset time limit point according to the fixed end interest rate and the floating end interest rate of the interest area corresponding to the second preset time limit point.
Optionally, the constructing a second yield curve by using the second discount factor includes:
converting the second discount factor to obtain a second yield corresponding to the second discount factor;
and constructing a second yield curve by using the second yield corresponding to the second discount factor and the second preset time limit point.
Optionally, the constructing a reference rate-of-return curve by using the first rate-of-return curve and the second rate-of-return curve includes:
and splicing the first yield curve and the second yield curve to obtain a reference rate-of-interest yield curve.
Optionally, after the constructing a reference rate-of-interest rate-of-return curve by using the first rate-of-return curve and the second rate-of-return curve, the method further includes:
and estimating the financial product by using the reference interest rate and yield curve.
A baseline rate-of-return curve construction apparatus, comprising: a first discount factor determining unit, a first yield curve constructing unit, a second discount factor determining unit, a second yield curve constructing unit and a reference interest rate yield curve constructing unit,
the first discount factor determination unit is used for determining first discount factors corresponding to each first preset time limit point based on a target financial market interest rate, wherein the first preset time limit points are the interest period limit points in the target financial market interest rate;
the first yield curve construction unit is used for constructing a first yield curve by using the first discount factor;
the second discount factor determination unit is configured to determine, based on the overnight index drop period, a second discount factor corresponding to each second preset time limit point, where the second preset time limit point is a interest rate drop period limit point in the overnight index drop period;
the second yield curve construction unit is used for constructing a second yield curve by using the second discount factor;
and the reference interest rate and yield curve construction unit is used for constructing a reference interest rate and yield curve by using the first yield rate curve and the second yield rate curve.
A computer-readable storage medium, having stored thereon a program which, when executed by a processor, implements the benchmark interest rate-of-return curve construction method as recited in any one of the preceding claims.
An electronic device comprising at least one processor, and at least one memory connected to the processor, a bus; the processor and the memory complete mutual communication through the bus; the processor is configured to call program instructions in the memory to perform any of the baseline rate-of-return curve construction methods described above.
By means of the technical scheme, the reference interest rate and yield rate curve construction method and the related equipment provided by the disclosure determine the first discount factors corresponding to each first preset time limit point based on the target financial market interest rate, wherein the first preset time limit point is a design interest period limit point in the target financial market interest rate; constructing a first yield curve by using the first discount factor; determining second appearing factors corresponding to second preset time limit points on the basis of the overnight index falling period, wherein the second preset time limit points are interest rate falling period limit points in the overnight index falling period; constructing a second yield curve by using the second discount factor; and constructing a reference interest rate and yield curve by using the first yield rate curve and the second yield rate curve. According to the method, a reference interest rate and yield curve is constructed through the target financial market interest rate and the overnight index swap period, and related practitioners can conveniently calculate the current value, estimate the value and predict the future interest rate of the financial products and derivatives by using the reference interest rate and yield curve.
The foregoing description is only an overview of the technical solutions of the present disclosure, and the embodiments of the present disclosure are described below in order to make the technical means of the present disclosure more clearly understood and to make the above and other objects, features, and advantages of the present disclosure more clearly understandable.
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Various other advantages and benefits will become apparent to those of ordinary skill in the art upon reading the following detailed description of the preferred embodiments. The drawings are only for purposes of illustrating the preferred embodiments and are not to be construed as limiting the disclosure. Also, like reference numerals are used to refer to like parts throughout the drawings. In the drawings:
fig. 1 is a schematic flow chart diagram illustrating an implementation manner of a reference interest rate-of-return curve construction method according to an embodiment of the present disclosure;
fig. 2 is a schematic flow chart diagram illustrating another implementation of a reference interest rate-of-return curve construction method provided by an embodiment of the present disclosure;
FIG. 3 is a flow chart diagram illustrating another implementation of a method for constructing a baseline rate-of-return curve according to an embodiment of the present disclosure;
fig. 4 is a flowchart illustrating another implementation of a reference interest rate-of-return rate curve construction method according to an embodiment of the present disclosure;
FIG. 5 is an illustrative diagram showing a fixed end interest rate versus a floating end interest rate provided by embodiments of the present disclosure;
FIG. 6 is a flow chart diagram illustrating another implementation of a method for constructing a baseline rate-of-return curve provided by an embodiment of the present disclosure;
FIG. 7 is a schematic diagram illustrating an exemplary configuration of a benchmark interest rate and yield curve construction device according to an embodiment of the present disclosure;
fig. 8 shows a schematic structural diagram of an electronic device provided by an embodiment of the present disclosure.
Detailed Description
Exemplary embodiments of the present disclosure will be described in more detail below with reference to the accompanying drawings. While exemplary embodiments of the present disclosure are shown in the drawings, it should be understood that the present disclosure may be embodied in various forms and should not be limited to the embodiments set forth herein. Rather, these embodiments are provided so that this disclosure will be thorough and complete, and will fully convey the scope of the disclosure to those skilled in the art.
As shown in fig. 1, a flow chart of an implementation manner of a method for constructing a reference interest rate-of-return curve provided by the embodiment of the present disclosure may include:
s100, determining first discount factors corresponding to the first preset time limit points based on the target financial market interest rate.
Wherein the target financial market interest rate may be a short term interest rate in the financial domain. Alternatively, the target financial market interest rate may include any one of a money market interest rate, a peer borrowing interest rate, a commercial instrument interest rate, a debt repurchase interest rate, and a debt earning rate. Preferably, the target financial market rate may be a monetary market rate.
Among them, the discount factor is also called a discount coefficient or a discount parameter. The discount factor is a number between 0 and 1 which converts the future cash flow into a present value. The discount factor can be numerically understood as a discount rate, namely the value of the unitary money of a certain day in the future converted to the current time point.
The first preset period limit point is a settlement period limit point in the target financial market interest rate. It is understood that a plurality of interest time limit points may be set as the first preset time limit points in the target financial market interest rate.
Optionally, based on the method shown in fig. 1 and as shown in fig. 2, a flowchart of another implementation of the reference interest rate-of-return curve construction method provided in the embodiment of the present disclosure may include:
s110, for any first preset time limit point: and obtaining the market quoted price of the target financial market interest rate at the first preset deadline point.
And S120, calculating a first discount factor corresponding to the first preset deadline point based on market quotation.
Specifically, the embodiment of the present disclosure may calculate the first discount factor corresponding to the current interest period point according to the market offer of the target financial market interest rate corresponding to the current interest period point, the aging time corresponding to the current interest period point, and the known discount factor corresponding to the previous interest period point adjacent to and before the current interest period point.
Further, embodiments of the present disclosure may be based on the formula:
(1+r·τ(ts,te))·DF(te)＝1·DF(ts)
calculate outA first discount factor corresponding to the current interest limit point, wherein teIs the current rest period limit point; t is tsIs equal to the current rest period limit point teAdjacent and at the current rest period limit point teThe last previous rest period limit point; r is the market quoted price of the target financial market interest rate at the current interest period limit point; DF (t)e) For the current rest period limit point teA corresponding first discount factor; tau (t)s,te) The annual time corresponding to the current interest-bearing time limit point; DF (t)s) Is equal to the last rest period limit point tsCorresponding known discount factors.
Wherein the time of annualization may be calculated according to daily practice of target financial market rates.
For ease of understanding, the description is made herein by way of example: assume that the target financial market rate includes n interest-period limit points t0、t1、t2、...tnThe market quote of the target financial market interest rate at each interest period limit point is corresponding to r0、r1、r2、...rnFor DF (t)1) Solving based on the formula:
Figure BDA0003532615650000061
due to DF (t)0) Is the current day, so DF (t)0) When the value is 1, the following is solved:
Figure BDA0003532615650000062
for DF (t)2) In the same way, the following can be obtained:
Figure BDA0003532615650000063
wherein, DF (t)1) The first discount factor DF (t) corresponding to each interest term point is obtained by analogy with the previous step1)、DF(t2)、...DF(tn)。
S200, constructing a first yield curve by using the first discount factor.
Optionally, based on the method shown in fig. 1, as shown in fig. 3, a flowchart of another implementation of the reference interest rate-of-return curve constructing method provided in the embodiment of the present disclosure may include:
s210, the first discount factor is converted, and a first yield corresponding to the first discount factor is obtained.
The conversion method of the first discount factor and the first profitability may be set as required, or an existing conversion method may also be adopted, and the embodiment of the present disclosure is not further limited herein.
S220, constructing a first yield curve by using a first yield corresponding to the first discount factor and the first preset period limit point.
Specifically, the embodiment of the present disclosure may use the first preset period limit point as an abscissa and the first yield as an ordinate to construct the first yield curve.
Since the target financial market interest rate reflects primarily the change in interest rate of the short-term financial product, the first rate of return curve may also be referred to as the short-term rate of return curve.
S300, determining second discount factors corresponding to second preset time points based on the overnight index fall-out period.
Interest Rate Swap (Interest Rate Swap) means that the two parties of the transaction exchange a series of exchanges between Interest income (expenditure) calculated by one Interest Rate and Interest income (expenditure) calculated by the other Interest Rate based on a certain nominal principal. The Overnight Index Swap (OIS) is a special fixed/floating interest rate Swap transaction that combines Overnight interest rates over a period of time as floating interest rates with fixed interest rates. The night index slip period comprises a fixed end interest rate and a floating end interest rate, wherein the fixed end (Fix Leg) is a party for regularly paying the fixed interest rate to a trading opponent in a night index slip period transaction, and the floating end (Float Leg) is a party for regularly paying the floating interest rate to the trading opponent in a night index slip period transaction.
Wherein the second preset period limit point is the interest rate fall period limit point in the overnight index fall period.
It can be understood that a plurality of interest rate fall period limit points can be set in the night index fall period, and each interest rate fall period limit point corresponds to a rest interval. The embodiment of the disclosure can set the interest rate period-losing limit point as a second preset period limit point, so as to determine a second presentation factor corresponding to the second preset period limit point.
Optionally, based on the method shown in fig. 1, as shown in fig. 4, the step S300 may include:
s310, for any second preset time limit point: and calculating a second appearing factor corresponding to the second preset deadline point through the fixed end interest rate and the floating end interest rate of the interest interval corresponding to the second preset deadline point.
For ease of understanding, the description is made herein by way of example: the interest rate in the ith stage of the night index fall period corresponds to a rest interval of (T)i,Ti+1) N is nominal principal gold, rfixTo fix the interest rate, rfltFor the floating end interest rate, the relationship between the fixed end interest rate and the floating end interest rate is shown in fig. 5, and then the current value of the cash flow of the fixed end in the i-th stage is: n, DF (T)i+1)·τ(Ti,Ti+1)·rfix。
For the floating end, the overnight interest rate on each weekday was observed during the rest interval and reset.
Figure BDA0003532615650000081
Respectively represent working days in the ith period, and the interest rates corresponding to the working days are sequentially
Figure BDA0003532615650000082
For overnight interest rates on a certain day, the term is the number of days between the day and the next working day. The period of interest rate every night if the next day is also a working dayIs 1. In practice, the term for overnight interest rate is not always 1, such as the night interest rate observed on friday, with a term of 3, since the next working day is the next monday. The current value of the cash flow at the i-th floating end is as follows:
Figure BDA0003532615650000083
to ri,jBy making the prediction, one can obtain:
Figure BDA0003532615650000084
will r isi,jAnd substituting, the current value of the cash flow at the floating end in the ith stage is as follows:
Figure BDA0003532615650000085
the current value of the fixed end in the overnight index fall period is then:
Figure BDA0003532615650000086
the current value of the floating end in the overnight index dead period is:
Vflt＝N·(DF(T0)-DF(Tn))
according to the theory of no arbitrage, when the off-date transaction begins, the current value of the fixed end is equal to the current value of the floating end, and the following can be obtained:
Figure BDA0003532615650000091
Figure BDA0003532615650000092
further solving out the limit point T of each interest rate falling periodnSecond discount factor D ofF(Tn)。
S400, constructing a second yield curve by using the second discount factor.
Optionally, based on the method shown in fig. 1, as shown in fig. 6, a flowchart of another implementation of the reference interest rate-of-return curve constructing method provided in the embodiment of the present disclosure may include:
and S410, converting the second discount factor to obtain a second yield corresponding to the second discount factor.
The conversion mode of the second discount factor and the second profitability may be set as required, or an existing conversion mode may also be adopted, and the embodiment of the disclosure is not further limited herein.
And S420, constructing a second yield curve by using a second yield corresponding to the second discount factor and a second preset period limit point.
Specifically, the embodiment of the present disclosure may use the second preset period limit point as an abscissa and the second yield as an ordinate to construct the second yield curve.
Since the overnight index swap period mainly reflects the interest rate change of the medium-and long-term financial products, the second yield curve may also be referred to as a medium-and long-term yield curve.
And S500, constructing a reference interest rate and yield curve by using the first yield rate curve and the second yield rate curve.
Optionally, the first yield curve and the second yield curve may be spliced to obtain the reference interest rate yield curve.
Optionally, in the embodiment of the present disclosure, the end point of the first rate of return curve may be directly connected to the start point of the second rate of return curve, so as to obtain the reference rate of return curve. It can be understood that other curve splicing methods can be adopted to splice the first yield curve and the second yield curve to obtain the reference interest rate yield curve.
It will be appreciated that the abscissa of the baseline rate-of-return curve may be the deadline point and the ordinate may be the rate-of-return.
Optionally, the embodiments of the present disclosure may estimate the financial product by using the reference interest rate-of-return curve after obtaining the reference interest rate-of-return curve.
It is to be appreciated that embodiments of the present disclosure, after obtaining a baseline rate-of-return curve, may continue to use the baseline rate-of-return curve for present value calculation and future rate prediction for financial products and derivatives.
The interest rate and the yield rate curve constructed by the embodiment of the disclosure according to the target financial market interest rate and the overnight index fall-off period and following the international convention and the long-term practical experience can replace the interest rate curve constructed based on LIBOR, so that the use of financial practitioners is facilitated.
The method for constructing the reference interest rate and yield rate curve comprises the steps of determining first discount factors corresponding to all first preset time limit points based on target financial market interest rates, wherein the first preset time limit points are interest period limit points in the target financial market interest rates; constructing a first yield curve by using the first discount factor; determining second appearing factors corresponding to second preset time limit points on the basis of the overnight index falling period, wherein the second preset time limit points are interest rate falling period limit points in the overnight index falling period; constructing a second yield curve by using the second discount factor; and constructing a reference interest rate and yield curve by using the first yield rate curve and the second yield rate curve. According to the method, a reference interest rate and return rate curve is constructed through the target financial market interest rate and the overnight index swap, and related practitioners can conveniently calculate, estimate and predict future interest rates of financial products and derivatives by using the reference interest rate and return rate curve.
Although the operations are depicted in a particular order, this should not be understood as requiring that such operations be performed in the particular order shown or in sequential order. Under certain circumstances, multitasking and parallel processing may be advantageous.
It should be understood that the various steps recited in the method embodiments of the present disclosure may be performed in a different order, and/or performed in parallel. Moreover, method embodiments may include additional steps and/or omit performing the illustrated steps. The scope of the present disclosure is not limited in this respect.
Corresponding to the above method embodiment, an embodiment of the present disclosure further provides a reference interest rate-of-return curve constructing device, whose structure is shown in fig. 7, and may include: a first discount factor determination unit 100, a first rate of return curve construction unit 200, a second discount factor determination unit 300, a second rate of return curve construction unit 400, and a reference rate of return curve construction unit 500.
The first discount factor determining unit 100 is configured to determine, based on the target financial market interest rate, a first discount factor corresponding to each first preset time limit point, where the first preset time limit point is an interest period limit point in the target financial market interest rate.
A first yield curve construction unit 200, configured to construct a first yield curve by using the first discount factor.
And a second discount factor determining unit 300, configured to determine, based on the overnight index drop period, a second discount factor corresponding to each second preset time limit point, where the second preset time limit point is a interest rate drop period limit point in the overnight index drop period.
A second yield curve construction unit 400, configured to construct a second yield curve using the second discount factor.
And a reference interest rate and yield curve constructing unit 500, configured to construct a reference interest rate and yield curve by using the first yield rate curve and the second yield rate curve.
Optionally, the first discount factor determining unit 100 is specifically configured to, for any first preset time limit point: obtaining market quoted price of the target financial market interest rate corresponding to the first preset deadline point; and calculating a first discount factor corresponding to the first preset deadline point based on the market quotation.
Optionally, the first yield curve constructing unit 200 is specifically configured to convert the first discount factor to obtain a first yield corresponding to the first discount factor; and constructing a first yield curve by using a first yield corresponding to the first discount factor and a first preset period limit point.
Optionally, the second discount factor determining unit 300 is specifically configured to, for any second preset time limit point: and calculating a second appearing factor corresponding to the second preset time limit point according to the fixed end interest rate and the floating end interest rate of the interest area corresponding to the second preset time limit point.
Optionally, the second yield curve constructing unit 400 is specifically configured to convert the second discount factor to obtain a second yield corresponding to the second discount factor; and constructing a second yield curve by using a second yield corresponding to the second discount factor and a second preset time limit point.
Optionally, the reference interest rate and yield curve constructing unit 500 is specifically configured to splice the first yield rate curve and the second yield rate curve to obtain a reference interest rate and yield curve.
Optionally, the apparatus may further comprise a product valuation unit.
And a product estimation unit, configured to estimate the financial product by using the reference interest rate and return rate curve after the reference interest rate and return rate curve construction unit 500 obtains the reference interest rate and return rate curve.
The reference interest rate and yield curve construction device provided by the disclosure determines first discount factors corresponding to each first preset time limit point based on a target financial market interest rate, wherein the first preset time limit point is an interest period limit point in the target financial market interest rate; constructing a first yield curve by using the first discount factor; determining second appearing factors corresponding to second preset time limit points on the basis of the overnight index falling period, wherein the second preset time limit points are interest rate falling period limit points in the overnight index falling period; constructing a second yield curve by using the second discount factor; and constructing a reference interest rate and yield curve by using the first yield rate curve and the second yield rate curve. According to the method, a reference interest rate and yield curve is constructed through the target financial market interest rate and the overnight index swap period, and related practitioners can conveniently calculate the current value, estimate the value and predict the future interest rate of the financial products and derivatives by using the reference interest rate and yield curve.
With regard to the apparatus in the above-described embodiment, the specific manner in which each module performs the operation has been described in detail in the embodiment related to the method, and will not be elaborated here.
The reference interest rate-of-return curve construction device comprises a processor and a memory, wherein the first discount factor determination unit 100, the first rate-of-return curve construction unit 200, the second discount factor determination unit 300, the second rate-of-return curve construction unit 400, the reference interest rate-of-return curve construction unit 500 and the like are stored in the memory as program units, and the processor executes the program units stored in the memory to realize corresponding functions.
The processor comprises a kernel, and the kernel calls the corresponding program unit from the memory. The kernel can be set to be one or more than one, a reference interest rate and profitability curve is constructed by adjusting kernel parameters through the target financial market interest rate and the overnight index fall-off, and related practitioners can conveniently calculate, estimate and predict future interest rates of financial products and derivatives by using the reference interest rate and profitability curve.
An embodiment of the present disclosure provides a computer-readable storage medium on which a program is stored, which when executed by a processor implements the reference rate-of-interest yield curve construction method.
The embodiment of the disclosure provides a processor, which is used for running a program, wherein the reference interest rate and yield rate curve construction method is executed when the program runs.
As shown in fig. 8, an embodiment of the present disclosure provides an electronic device 1000, where the electronic device 1000 includes at least one processor 1001, and at least one memory 1002 and a bus 1003 connected to the processor 1001; the processor 1001 and the memory 1002 complete communication with each other through the bus 1003; the processor 1001 is configured to call program instructions in the memory 1002 to perform the baseline rate-of-return curve construction method described above. The electronic device herein may be a server, a PC, a PAD, a mobile phone, etc.
The present disclosure also provides a computer program product adapted to perform a program of initializing the steps of the benchmarked interest rate yield curve construction method when executed on an electronic device.
The present disclosure is described with reference to flowchart illustrations and/or block diagrams of methods, apparatus, electronic devices (systems), and computer program products according to embodiments of the disclosure. It will be understood that each flow and/or block of the flow diagrams and/or block diagrams, and combinations of flows and/or blocks in the flow diagrams and/or block diagrams, can be implemented by computer program instructions. These computer program instructions may be provided to a processor of a general purpose computer, special purpose computer, embedded processor, or other programmable apparatus to produce a machine, such that the instructions, which execute via the processor of the computer or other programmable apparatus, create means for implementing the functions specified in the flowchart flow or flows and/or block diagram block or blocks.
In a typical configuration, an electronic device includes one or more processors (CPUs), memory, and a bus. The electronic device may also include input/output interfaces, network interfaces, and the like.
The memory may include volatile memory in a computer readable medium, Random Access Memory (RAM) and/or nonvolatile memory such as Read Only Memory (ROM) or flash memory (flash RAM), and the memory includes at least one memory chip. The memory is an example of a computer-readable medium.
Computer-readable media, including both non-transitory and non-transitory, removable and non-removable media, may implement information storage by any method or technology. The information may be computer readable instructions, data structures, modules of a program, or other data. Examples of computer storage media include, but are not limited to, phase change memory (PRAM), Static Random Access Memory (SRAM), Dynamic Random Access Memory (DRAM), other types of Random Access Memory (RAM), Read Only Memory (ROM), Electrically Erasable Programmable Read Only Memory (EEPROM), flash memory or other memory technology, compact disc read only memory (CD-ROM), Digital Versatile Discs (DVD) or other optical storage, magnetic cassettes, magnetic tape magnetic disk storage or other magnetic storage devices, or any other non-transmission medium that can be used to store information that can be accessed by a computing device. As defined herein, a computer readable medium does not include a transitory computer readable medium such as a modulated data signal and a carrier wave.
In the description of the present disclosure, it is to be understood that the directions or positional relationships indicated as referring to the terms "upper", "lower", "front", "rear", "left" and "right", etc., are based on the directions or positional relationships shown in the drawings, and are only for convenience of describing the present invention and simplifying the description, but do not indicate or imply that the positions or elements referred to must have specific directions, be constituted and operated in specific directions, and thus, are not to be construed as limitations of the present disclosure.
It should be noted that, in this document, relational terms such as first and second, and the like are used solely to distinguish one entity or action from another entity or action without necessarily requiring or implying any actual such relationship or order between such entities or actions. It should also be noted that the terms "comprises," "comprising," or any other variation thereof, are intended to cover a non-exclusive inclusion, such that a process, method, article, or apparatus that comprises a list of elements does not include only those elements but may include other elements not expressly listed or inherent to such process, method, article, or apparatus. Without further limitation, an element defined by the phrase "comprising an … …" does not exclude the presence of other identical elements in the process, method, article, or apparatus that comprises the element.
As will be appreciated by one skilled in the art, embodiments of the present disclosure may be provided as a method, system, or computer program product. Accordingly, the present disclosure may take the form of an entirely hardware embodiment, an entirely software embodiment or an embodiment combining software and hardware aspects. Furthermore, the present disclosure may take the form of a computer program product embodied on one or more computer-usable storage media (including, but not limited to, disk storage, CD-ROM, optical storage, and so forth) having computer-usable program code embodied therein.
The above are merely examples of the present disclosure, and are not intended to limit the present disclosure. Various modifications and variations of this disclosure will be apparent to those skilled in the art. Any modification, equivalent replacement, improvement, etc. made within the spirit and principle of the present disclosure should be included in the scope of the claims of the present disclosure.

Claims (10)

1. A method for constructing a reference interest rate and yield curve is characterized by comprising the following steps:
determining first discount factors corresponding to each first preset time limit point based on a target financial market interest rate, wherein the first preset time limit points are interest period limit points in the target financial market interest rate;
constructing a first yield curve by using the first discount factor;
determining second appearing factors corresponding to second preset time limit points on the basis of the overnight index falling period, wherein the second preset time limit points are interest rate falling period limit points in the overnight index falling period;
constructing a second yield curve by using the second discount factor;
and constructing a reference interest rate and yield curve by using the first yield rate curve and the second yield rate curve.
2. The method of claim 1, wherein determining the first discount factor at each of the first predetermined time limit points based on the target financial market interest rate comprises:
for any first preset time limit: obtaining market quoted price of the target financial market interest rate corresponding to the first preset deadline point;
and calculating a first discount factor corresponding to the first preset time limit point based on the market quotation.
3. The method of claim 1, wherein said constructing a first profitability curve using said first discount factor comprises:
converting the first discount factor to obtain a first yield corresponding to the first discount factor;
and constructing a first yield curve by using the first yield corresponding to the first discount factor and the first preset time limit point.
4. The method according to claim 1, wherein the determining a second discount factor corresponding to each second preset deadline point based on the overnight index swap period comprises:
for any second preset time limit point: and calculating a second appearing factor corresponding to the second preset time limit point according to the fixed end interest rate and the floating end interest rate of the interest area corresponding to the second preset time limit point.
5. The method of claim 1, wherein said constructing a second yield curve using said second discount factor comprises:
converting the second discount factor to obtain a second yield corresponding to the second discount factor;
and constructing a second yield curve by using the second yield corresponding to the second discount factor and the second preset time limit point.
6. The method of claim 1, wherein said using said first rate of return curve and said second rate of return curve to construct a baseline rate of return curve comprises:
and splicing the first yield curve and the second yield curve to obtain a reference interest rate yield curve.
7. The method of claim 1, wherein after said constructing a baseline rate of return curve using said first rate of return curve and said second rate of return curve, said method further comprises:
and estimating the financial product by using the reference interest rate and yield curve.
8. A baseline rate-of-return curve construction apparatus, comprising: a first discount factor determining unit, a first rate of return curve constructing unit, a second discount factor determining unit, a second rate of return curve constructing unit and a reference rate of return curve constructing unit,
the first discount factor determination unit is used for determining first discount factors corresponding to each first preset time limit point based on a target financial market interest rate, wherein the first preset time limit points are the interest period limit points in the target financial market interest rate;
the first yield curve construction unit is used for constructing a first yield curve by using the first discount factor;
the second discount factor determination unit is configured to determine, based on the overnight index drop period, a second discount factor corresponding to each second preset time limit point, where the second preset time limit point is a interest rate drop period limit point in the overnight index drop period;
the second yield curve construction unit is used for constructing a second yield curve by using the second discount factor;
and the reference interest rate and yield curve construction unit is used for constructing a reference interest rate and yield curve by using the first yield rate curve and the second yield rate curve.
9. A computer-readable storage medium, on which a program is stored, which, when being executed by a processor, implements the benchmark rate-of-interest yield curve construction method according to any one of claims 1 to 7.
10. An electronic device comprising at least one processor, and at least one memory connected to the processor, a bus; the processor and the memory complete mutual communication through the bus; the processor is configured to invoke program instructions in the memory to perform the baseline rate of return curve construction method of any of claims 1-7.
CN202210213538.5A 2022-03-04 2022-03-04 Reference interest rate and yield rate curve construction method and related equipment Pending CN114579828A (en)

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Applications Claiming Priority (1)

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