CN114792271A - Option quotation method, device, equipment and readable storage medium - Google Patents
Option quotation method, device, equipment and readable storage medium Download PDFInfo
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Abstract
The invention provides an option quotation method, a device, equipment and a readable storage medium, which relate to the technical field of financial futures and comprise the steps of receiving first information, wherein the first information comprises price inquiry elements set by a user for an option contract to be quoted, and the price inquiry elements comprise an inquiry transaction expiration date and an option execution price; acquiring second information, wherein the second information comprises historical market data and option contract information of a trading exchange acquired in real time; calculating to obtain an implicit fluctuation rate of the option contract to be quoted; and generating the option price of the option contract to be quoted according to a preset operation rule. The independent calculation of the option quotation is realized by realizing the option pricing model and modifying market data; the samples of the plus-minus point differences of the traders are learned, so that automatic point adding logic and price quotation for bargaining are realized; the automation of the price inquiry and quotation process is realized by the improvement of the quotation process, so that the efficiency of the branch quotation is greatly improved.
Description
Technical Field
The invention relates to the technical field of financial futures, in particular to an option quotation method, an option quotation device, option quotation equipment and a readable storage medium.
Background
As the market develops, the types of options become very rich. Determining the price of the foreign exchange option through a reasonable mathematical model becomes a key problem for investors to apply the option to lock the foreign exchange opening and control interest rate risk; an important prerequisite for reasonable option pricing is an accurate description of the distribution of the subject matter. The option pricing theory is one of the most important achievements of modern financial theory, and at present, three representative forex option pricing models are mainly available; however, all elements of the option calculator need to be manually input by traders, the quotation speed is about 1 per minute, uninterrupted telephone communication almost occupies all energy of the traders, the full-load quotation of one trader per day is about one hundred, the bottleneck of the quotation capacity limits the increasing inquiry demand of the branch, and the real-time quotation demand is difficult to meet.
Disclosure of Invention
The present invention aims to provide an option quotation method, device, equipment and readable storage medium to improve the above problems. In order to achieve the purpose, the technical scheme adopted by the invention is as follows:
in a first aspect, the present application provides an option quotation method, including:
receiving first information, wherein the first information comprises a price inquiry element set by a user for an option contract to be quoted, and the price inquiry element comprises an inquiry transaction due date and an option execution price;
acquiring second information, wherein the second information comprises historical market data and option contract information of a trading exchange acquired in real time;
calculating the implicit fluctuation rate of the option contract to be quoted according to the first information and the second information;
and generating the option price of the option contract to be quoted according to the implicit fluctuation rate and the option current information and a preset operation rule.
Preferably, the obtaining of the second information further comprises:
acquiring option market data in real time through a data interface api, wherein the option market data comprise foreign exchange swap points and option interest rates;
according to the first information, performing linear interpolation on the foreign exchange drop period point, and calculating to obtain a forward foreign exchange quotation corresponding to the first information;
according to the first information, performing linear interpolation on the option rate, and calculating to obtain a discount factor corresponding to the first information;
and storing the forward foreign exchange quotation and the discount factor into a database.
Preferably, the receiving of the first information then comprises:
inputting the option execution price into a Scoers option pricing model, and calculating to obtain a derivative function of the on-demand price;
and according to a Newton iteration method, carrying out root calculation on the derivative function to obtain a Delta value corresponding to the derivative function.
Preferably, calculating an implicit fluctuation rate of the option contract to be offered according to the first information and the second information includes:
acquiring option market data in real time through a data interface api, wherein the option market data comprise a fluctuation rate curved surface;
calculating to obtain implicit fluctuation rate curves of two standard time limits closest to the price inquiry transaction due date according to the fluctuation rate curved surface;
interpolating Delta values on the two implicit fluctuation rate curves according to a cubic spline interpolation method, and calculating to obtain two implicit fluctuation rates corresponding to the two standard time limits;
and calculating the two implicit fluctuation rates according to the linear interpolation of the time series method to obtain the implicit fluctuation rate corresponding to the price inquiry transaction expiration date.
Preferably, generating the option price of the option contract to be offered according to the implicit fluctuation rate and the option current information and a preset operation rule, includes:
inputting the forward foreign exchange quotation, the discount factor and the implicit fluctuation rate into a Kalman Koeha model, and calculating to obtain a fair right fee, wherein the fair right fee is an original right fee without point difference;
and inputting the fair right fee into a preset XGBOOST model according to current option information to calculate the option price of the option contract to be quoted.
Preferably, the option price of the option contract to be quoted is generated according to a preset operation rule, and then the method comprises the following steps:
performing risk check of commission declaration information on commission price for generating the option contract according to preset commission quantity of the option contract in the inquiry element;
if the entrusting declaration information does not trigger quotation risk control, sending the entrusting declaration information to a trading exchange for entrusting declaration of an option contract;
and if the entrustment declaration information triggers quotation risk control, sending a risk information prompt.
In a second aspect, the present application further provides an option quotation device, which includes a first receiving module, a first obtaining module, a first calculating module, and a generating module, wherein:
the first receiving module is used for receiving first information, wherein the first information comprises a price inquiry element set by a user for an option contract to be quoted, and the price inquiry element comprises an inquiry transaction due date and an option execution price;
the first acquisition module is used for acquiring second information, wherein the second information comprises historical market data and option contract information acquired by a trading exchange in real time;
the first calculation module is used for calculating the implied fluctuation rate of the option contract to be quoted according to the first information and the second information;
and the generation module is used for generating the option price of the option contract to be quoted according to the implicit fluctuation rate and the current option information and a preset operation rule.
Preferably, the acquiring module further includes a second acquiring module, a second calculating module, a third calculating module and a storing module, wherein:
the second acquisition module is used for acquiring option market data in real time through the data interface api, wherein the option market data comprise foreign exchange swap points and option rates;
the second calculation module is used for performing linear interpolation on the foreign exchange drop period point according to the first information and calculating to obtain a long-term foreign exchange quotation corresponding to the first information;
the third calculation module is used for performing linear interpolation on the option rate according to the first information to calculate and obtain a discount factor corresponding to the first information;
and the storage module is used for storing the forward foreign exchange quotation and the discount factor into a database.
Preferably, the first receiving module, then, comprises a fourth calculating module and a fifth calculating module, wherein:
the fourth calculation module is used for inputting the option execution price into a Scoers option pricing model and calculating a derivative function of the on-demand price;
and the fifth calculation module is used for carrying out root calculation on the derivative function according to a Newton iteration method to obtain a Delta value corresponding to the derivative function.
Preferably, the first calculation module includes an obtaining unit, a first calculation unit, a second calculation unit and a third calculation unit, wherein:
the acquisition unit is used for acquiring option market data in real time through the data interface api, wherein the option market data comprise a fluctuation rate curved surface;
the first calculating unit is used for calculating and obtaining implicit fluctuation rate curves of two standard time limits closest to the price inquiry transaction due date according to the fluctuation rate curved surface;
the second calculation unit is used for interpolating Delta values on the two implicit fluctuation rate curves according to a cubic spline interpolation method to calculate two implicit fluctuation rates corresponding to the two standard time limits;
and the third calculating unit is used for calculating the two implicit fluctuation rates according to the linear interpolation of the time series method to obtain the implicit fluctuation rate corresponding to the price inquiry transaction due date.
Preferably, the generating module comprises a fourth calculating unit and an input unit, wherein:
the fourth calculation unit is used for inputting the forward foreign exchange quotation, the discount factor and the implicit fluctuation rate into a Kalman Koeha model, and calculating to obtain a fair right fee, wherein the fair right fee is an original right fee without point difference;
and the input unit is used for inputting the fair right fee into a preset XGB OST model according to the current option information to calculate the option price of the option contract to be quoted.
Preferably, the generation module comprises a generation checking module and a judgment module, wherein:
the generation checking module is used for carrying out risk check of entrusting declaration information on entrusting prices for generating the option contracts according to the entrusting quantity of the option contracts preset in the inquiry elements;
the judging module is used for sending the entrusting declaration information to a trading post to carry out entrusting declaration of the option contract if the entrusting declaration information does not trigger quotation risk control; and if the entrustment declaration information triggers quotation risk control, sending a risk information prompt.
In a third aspect, the present application further provides an option offering apparatus, including:
a memory for storing a computer program;
a processor for implementing the steps of the option offering method when executing the computer program.
In a fourth aspect, the present application further provides a readable storage medium, which stores thereon a computer program, when being executed by a processor, the computer program implementing the steps of the option-based offer method.
The invention has the beneficial effects that: the trading elements are transmitted through the interface and high-performance calculation is carried out, so that the quotation efficiency of option products is improved, the energy of traders is released, and the requirements of branches on the accuracy and the instantaneity of prices are met; the system has the option independent pricing capability, provides the function of quotation of the fund combination product through the built-in market data, and greatly meets the flexible and diverse fund combination quotation requirements of the branches; through the configuration of different fund combination products, the option quotation system can reversely solve and find the combination of options and linear derivatives meeting the requirements of the branch, thereby greatly enriching the fund combination product types of the customers and the quotation accuracy and real-time performance of the fund combination product of the branch; the independent calculation of the option quotation is realized through the realization of the option pricing model and the improvement of market data; learning the sample of adding and subtracting point differences of traders realizes automatic point adding logic and can be used for making a deal price quotation; the automation of the price inquiring and quotation process is realized through the improvement of the quotation process, so that the efficiency of the branch quotation is greatly improved, and the timeliness of the quotation is ensured.
Additional features and advantages of the invention will be set forth in the description which follows, and in part will be obvious from the description, or may be learned by the practice of the embodiments of the invention. The objectives and other advantages of the invention will be realized and attained by the structure particularly pointed out in the written description and claims hereof as well as the appended drawings.
Drawings
In order to more clearly illustrate the technical solutions of the embodiments of the present invention, the drawings required in the embodiments will be briefly described below, it should be understood that the following drawings only illustrate some embodiments of the present invention and therefore should not be considered as limiting the scope, and those skilled in the art can also obtain other related drawings based on the drawings without inventive efforts.
Fig. 1 is a schematic flow chart of an option quotation method according to an embodiment of the present invention;
fig. 2 is a schematic structural diagram of an option quotation device according to an embodiment of the present invention;
fig. 3 is a schematic structural diagram of an option quotation device according to an embodiment of the present invention.
In the figure, 701, a first receiving module; 702. a first acquisition module; 703. a first calculation module; 7031. an acquisition unit; 7032. a first calculation unit; 7033. a second calculation unit; 7034. a third calculation unit; 704. a generation module; 7041. a fourth calculation unit; 7042. an input unit; 705. a second acquisition module; 706. a second calculation module; 707. a third calculation module; 708. a storage module; 709. a fourth calculation module; 710. a fifth calculation module; 711. generating a checking module; 712. a judgment module; 800. an option quotation device; 801. a processor; 802. a memory; 803. a multimedia component; 804. an input/output (I/O) interface; 805. and a communication component.
Detailed Description
In order to make the objects, technical solutions and advantages of the embodiments of the present invention clearer, the technical solutions in the embodiments of the present invention will be clearly and completely described below with reference to the drawings in the embodiments of the present invention, and it is obvious that the described embodiments are some, but not all, embodiments of the present invention. The components of embodiments of the present invention generally described and illustrated in the figures herein may be arranged and designed in a wide variety of different configurations. Thus, the following detailed description of the embodiments of the present invention, as presented in the figures, is not intended to limit the scope of the invention, as claimed, but is merely representative of selected embodiments of the invention. All other embodiments, which can be obtained by a person skilled in the art without inventive step based on the embodiments of the present invention, are within the scope of protection of the present invention.
It should be noted that: like reference numbers and letters refer to like items in the following figures, and thus, once an item is defined in one figure, it need not be further defined and explained in subsequent figures. Meanwhile, in the description of the present invention, the terms "first", "second", and the like are used only for distinguishing the description, and are not construed as indicating or implying relative importance.
Example 1:
the present embodiment provides an option quotation method.
Referring to fig. 1, it is shown that the method includes step S100, step S200, step S300 and step S400.
S100, receiving first information, wherein the first information comprises inquiry elements set by a user for an option contract to be quoted, and the inquiry elements comprise an inquiry transaction due date and an option execution price.
It should be noted that the price inquiry elements include not only the price inquiry transaction due date and the option execution price, but also the price inquiry transaction elements such as the option, the buying and selling directions, the looking-up and looking-down, etc., and can be read in through the price inquiry mail or the upstream system interface.
It is understood that this step is followed by S101 and S102, wherein:
s101, inputting the option execution price into a Scoers option pricing model, and calculating to obtain a derivative function of the on-demand price;
and S102, according to a Newton iteration method, performing root calculation on the derivative function to obtain a Delta value corresponding to the derivative function.
S200, second information is obtained, and the second information comprises the historical market data and the option contract information which are obtained in real time from the exchange.
It is understood that this step is followed by S201, S202, S203 and S204, wherein:
s201, acquiring option market data in real time through a data interface api, wherein the option market data comprise foreign exchange drop points and option rates;
it should be noted that real-time Data of foreign exchange, namely date drop points, fluctuation rates and currency yield curves are obtained through Data interfaces such as Reuters Data API and the like, and the Data are market Data.
S202, according to the first information, carrying out linear interpolation on the foreign exchange drop period point, and calculating to obtain a long-term foreign exchange quotation corresponding to the first information;
s203, according to the first information, performing linear interpolation on the option rate, and calculating to obtain a discount factor corresponding to the first information;
and S204, storing the forward foreign exchange quotation and the discount factor into a database.
It can be understood that, according to the interest date and the delivery date obtained from the price inquiring element, linear interpolation is carried out on the interest rate and the drop-off point, and a discount factor and a forward foreign exchange quotation corresponding to the price inquiring transaction element are obtained through calculation, and the discount factor and the forward foreign exchange quotation are nonstandard market data.
The option execution price is input into the Scoers option pricing model as a derivative of the spot price, and as a derivative of the option price to the spot price.
Additionally, the expression is:
when the day of origin equals the day:
or
Wherein df is a discount factor from the date of origin and expiration, r m Market rate quotes, r ds Continuous interest rate, T d The number of days from the date of origin to the date of expiration, Cov, the number of days in a year, is typically 365.
When the day of rest is not equal to the current day:
the corresponding marking needs to be performed, today < start < uniformity
In the formula, df start～maturity A discount factor, df, from the date of origin to the date of expiry today～maturity : discount factor from the current day to the due day, f today～start : and (4) the current day to the current day.
Additionally, the fall point curve is constructed:
according to the interest rate price-balancing theory fall-time point, the RMB currency sticking factor df CNY Dollar cash-out factor df USD The following relations exist:
in the formula, df USD Dollar discount factor, df CNY The Renminbi currency pasting factor, F, the forward exchange rate, S, the immediate exchange rate and the fall point: difference between forward price and spot price.
Wherein for obtaining a discount factor for any given date, it is necessary to know r ds (r m Need to be converted into r first ds ) Linear interpolation is carried out to obtainContinuous interest rates to this time limit.
Then, with respect to linear interpolation: two points (x) are known 1 y 1 ),(x 2 ,y 2 ) For satisfying x 1 <x<x 2 The interpolated point x of (a) is,
s300, calculating the implicit fluctuation rate of the option contract to be quoted according to the first information and the second information.
It is understood that in this step, S301, S302, S303 and S304 are included, wherein:
s301, acquiring option market data in real time through a data interface api, wherein the option market data comprise a fluctuation rate curved surface;
s302, calculating to obtain implicit fluctuation rate curves of two standard time limits closest to the price inquiry transaction due date according to the fluctuation rate curved surface;
s303, interpolating Delta values on the two implicit fluctuation rate curves according to a cubic spline interpolation method, and calculating to obtain two implicit fluctuation rates corresponding to two standard time limits;
the input items are (ATM, call25, call10, put25, put10) or (ATM, RR25, RR10, FLY25, FLY10) at a certain period
Wherein, the X-axis coordinate can be set as strike/delta/log _ moneyness (given delta, vertex can be solved for BS-delta using newton method to obtain strike price, all calculation is based on mid data (vol, forward, etc.) to obtain four points (call1, call0.01, put1, put0.01) of the periphery according to the wing ratio 4.3, and cubic spline interpolation is carried out on 9 points.
It should be noted that the fluctuation rate of a known term is composed of smile curves of different terms; the calculation method of the vollatity of the unknown duration is that the ATMF of the unknown duration (so that forward delta is 0.5 of the spot price) is interpolated to obtain an approximate ATMF, and the rest 10 points are interpolated in the same way; smile curve is constructed using the interpolated 11 points.
The specific calculation of the undulation rate surface interpolation method is as follows:
based on ATM mid, RR10, FLY10, RR25 and FLY25, vollatinity of CALL10 PUT10 CALL25 PUT25 is calculated, and CALL1 CALL0.01 PUT1 PUT0.01 is obtained by using a wings ratio of 4.3:
C 0.01d ＝C 1d ＝C 25d +WR*(C 25d -C 10d )
in the formula, C 0.01d : fluctuation ratio of CALL0.01, C 1d : fluctuation ratio, C, of CALL1 25d : fluctuation ratio of CALL25, C 10d : fluctuation ratio of CALL10, WR: windratio compensation factor for extreme delta.
Wherein, WR is 4.3, fitting the above 9 points by a cubic spline interpolation method to obtain a fluctuation rate curve corresponding to mid, and the construction method takes ATMF as an example:
from the known latest two deadline entries of ATM, the insertion point entries are represented by σ
In the formula (I), the compound is shown in the specification,
b, the fluctuation rate at the ATM on the fluctuation rate curve; t is b : b, expiration date of corresponding time limit on the fluctuation rate curve;
a the volatility at the ATM on the volatility curve; t is a : a, expiration date of corresponding time limit on a fluctuation rate curve; t is the due date of the pending transaction; σ: implicit volatility of transactions to be priced. I.e. sigma over the last two deadlines 2 And carrying out linear interpolation on the T to obtain sigma.
And S304, calculating the two implicit fluctuation rates according to the linear interpolation of the time series method to obtain the implicit fluctuation rate corresponding to the price inquiry transaction due date.
It should be noted that, the implicit fluctuation rate curves of two standard time limits closest to the price inquiry transaction due date are found on the implicit fluctuation rate curved surface; and (3) interpolating the Delta obtained on the two fluctuation rate curves by using a cubic spline interpolation method, calculating to obtain the implicit fluctuation rates corresponding to the front and rear standard time limits, and calculating to obtain the implicit fluctuation rate corresponding to the price inquiry transaction expiration date by linear interpolation of time.
And S400, generating the option price of the option contract to be quoted according to the implicit fluctuation rate and the current option information and a preset operation rule.
It is understood that in this step, S401 and S402 are included, where:
s401, inputting the long-term foreign exchange quotation, the current factor and the implicit fluctuation rate into a Kalman Koeha model, and calculating to obtain a fair right fee, wherein the fair right fee is an original option fee without point difference;
s402, inputting the fair right fee into a preset XGBOOST model according to the current option information, and calculating to obtain the option price of the option contract to be quoted.
The rights price for the guest term is output to the mail or API interface.
It is understood that this step is followed by S410 and S420, wherein:
s410, carrying out risk check of entrusted declaration information on entrusted prices for generating the option contracts according to the entrusted quantity of the option contracts preset in the price inquiry elements;
s420, if the entrusting declaration information does not trigger quotation risk control, sending the entrusting declaration information to an exchange to carry out entrusting declaration of the option contract; and if the entrusted declaration information triggers quotation risk control, sending a risk information prompt.
Example 2:
as shown in fig. 2, this embodiment provides an option quotation device, referring to fig. 2, the device includes a first receiving module 701, a first obtaining module 702, a first calculating module 703 and a generating module 704, where:
a first receiving module 701, configured to receive first information, where the first information includes a price inquiry element set by a user for an option contract to be quoted, and the price inquiry element includes an inquiry transaction due date and an option execution price;
a first obtaining module 702, configured to obtain second information, where the second information includes historical market data and option contract information obtained in real time from an exchange;
the first calculating module 703 is configured to calculate, according to the first information and the second information, an implicit fluctuation rate of the option contract to be quoted;
and the generating module 704 is configured to generate the option price of the option contract to be offered according to the preset operation rule and the implicit fluctuation rate and the option current information.
Specifically, the acquiring module further includes a second acquiring module 705, a second calculating module 706, a third calculating module 707, and a storing module 708, where:
a second obtaining module 705, configured to obtain option market data in real time through the data interface api, where the option market data includes an fx swap point and an option rate;
the second calculation module 706 is configured to perform linear interpolation on the foreign exchange drop period point according to the first information, and calculate to obtain a forward foreign exchange offer corresponding to the first information;
the third calculation module 707 is configured to perform linear interpolation on the option rate according to the first information, and calculate a discount factor corresponding to the first information;
the storage module 708 is used for storing the forward foreign exchange quotation and the discount factor into the database.
Specifically, the first receiving module 701, then, comprises a fourth computing module 709 and a fifth computing module 710, wherein:
a fourth calculation module 709, configured to input the option execution price into the scoles option pricing model, and calculate a derivative function of the immediate price;
and a fifth calculating module 710, configured to perform root finding on the derivative function according to a newton iteration method to obtain a Delta value corresponding to the derivative function.
Specifically, the first computing module 703 includes an obtaining unit 7031, a first computing unit 7032, a second computing unit 7033, and a third computing unit 7034, where:
the obtaining unit 7031 is configured to obtain option market data in real time through the data interface api, where the option market data includes a volatility curved surface;
the first calculating unit 7032 is configured to calculate, according to the fluctuation rate curved surface, an implicit fluctuation rate curve of two standard time limits closest to the price inquiry transaction due date;
a second calculating unit 7033, configured to interpolate Delta values on the two implicit fluctuation rate curves according to a cubic spline interpolation method, and calculate two implicit fluctuation rates corresponding to the two standard time limits;
and a third calculating unit 7034, configured to calculate, according to the linear interpolation of the time series method, the implicit fluctuation rates corresponding to the expiration dates of the inquiry transactions according to the two implicit fluctuation rates.
Specifically, the generating module 704 includes a fourth calculating unit 7041 and an input unit 7042, where:
a fourth calculating unit 7041, configured to input the forward foreign exchange quotation, the discount factor, and the implicit fluctuation rate into the goldmann koeha model, and calculate to obtain a fair right fee, where the fair right fee is an original right fee without including a point difference;
and the input unit 7042 is configured to input the fair option fee to a preset XGBOOST model according to the current option information, and calculate an option price of the option contract to be quoted.
Specifically, the generating module 704 then includes a generating checking module 711 and a judging module 712, wherein:
the generation checking module 711 is used for carrying out risk checking of entrusted declaration information on the entrusted price of the generated option contract according to the entrusted quantity of the option contract preset in the price inquiry element;
the judging module 712 is used for sending the entrusting declaration information to a trading post for entrusting declaration of the option contract if the entrusting declaration information does not trigger quotation risk control; and if the entrusted declaration information triggers quotation risk control, sending a risk information prompt.
It should be noted that, regarding the apparatus in the above 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 described in detail here.
Example 3:
corresponding to the above method embodiments, the present embodiment further provides an option quotation device, and a later-described option quotation device and a above-described option quotation method can be referred to in correspondence with each other.
Fig. 3 is a block diagram illustrating an option quotation apparatus 800 according to an exemplary embodiment. As shown in fig. 3, the option quotation apparatus 800 may include: a processor 801, a memory 802. The option quotation device 800 can further comprise one or more of a multimedia component 803, an I/O interface 804, and a communication component 805.
The processor 801 is configured to control the overall operation of the option quotation apparatus 800 to complete all or part of the steps of the option quotation method. The memory 802 is used to store various types of data to support operation at the option quotation device 800, which can include, for example, instructions for any application or method operating on the option quotation device 800, as well as application related data such as contact data, messaging, pictures, audio, video, etc. The Memory 802 may be implemented by any type of volatile or non-volatile Memory device or combination thereof, such as Static Random Access Memory (SRAM), Electrically Erasable Programmable Read-Only Memory (EEPROM), Erasable Programmable Read-Only Memory (EPROM), Programmable Read-Only Memory (PROM), Read-Only Memory (ROM), magnetic Memory, flash Memory, magnetic disk or optical disk. The multimedia components 803 may include screen and audio components. Wherein the screen may be, for example, a touch screen and the audio component is used for outputting and/or inputting audio signals. For example, the audio component may include a microphone for receiving external audio signals. The received audio signal may further be stored in the memory 802 or transmitted through the communication component 805. The audio assembly also includes at least one speaker for outputting audio signals. The I/O interface 804 provides an interface between the processor 801 and other interface modules, such as a keyboard, mouse, buttons, etc. These buttons may be virtual buttons or physical buttons. The communication component 805 is used for wired or wireless communication between the option quotation devices 800 and other devices. Wireless communication, such as Wi-Fi, bluetooth, Near Field Communication (NFC), 2G, 3G, or 4G, or a combination of one or more of them, so that the corresponding communication component 805 may include: Wi-Fi module, bluetooth module, NFC module.
In an exemplary embodiment, the option quotation Device 800 can be implemented by one or more Application Specific Integrated Circuits (ASICs), Digital Signal Processors (DSPs), Digital Signal Processing Devices (DSPDs), Programmable Logic Devices (PLDs), Field Programmable Gate Arrays (FPGAs), controllers, microcontrollers, microprocessors, or other electronic components for performing the option quotation methods described above.
In another exemplary embodiment, a computer readable storage medium comprising program instructions which, when executed by a processor, implement the steps of the option offering method described above is also provided. For example, the computer readable storage medium may be the above-described memory 802 including program instructions executable by the processor 801 of the option offering apparatus 800 to perform the option offering method described above.
Example 4:
corresponding to the above method embodiment, a readable storage medium is also provided in this embodiment, and a readable storage medium described below and an option quotation method described above may be referred to in correspondence with each other.
A readable storage medium, on which a computer program is stored, which, when executed by a processor, implements the steps of the option offering method of the above-described method embodiments.
The readable storage medium may be a usb disk, a removable hard disk, a Read-Only Memory (ROM), a Random Access Memory (RAM), a magnetic disk, an optical disk, or other various readable storage media capable of storing program codes.
The above description is only a preferred embodiment of the present invention and is not intended to limit the present invention, and various modifications and changes may be made by those skilled in the art. Any modification, equivalent replacement, or improvement made within the spirit and principle of the present invention should be included in the protection scope of the present invention.
The above description is only for the specific embodiments of the present invention, but the scope of the present invention is not limited thereto, and any person skilled in the art can easily think of the changes or substitutions within the technical scope of the present invention, and shall cover the scope of the present invention. Therefore, the protection scope of the present invention shall be subject to the protection scope of the claims.
Claims (14)
1. A method of option quotation comprising:
receiving first information, wherein the first information comprises a price inquiry element set by a user for an option contract to be quoted, and the price inquiry element comprises an inquiry transaction due date and an option execution price;
acquiring second information, wherein the second information comprises historical market data and option contract information of a trading exchange acquired in real time;
calculating the implicit fluctuation rate of the option contract to be quoted according to the first information and the second information;
and generating the option price of the option contract to be quoted according to the implicit fluctuation rate and the option current information and a preset operation rule.
2. The option quotation method according to claim 1, wherein said obtaining second information thereafter further comprises:
acquiring option market data in real time through a data interface api, wherein the option market data comprise foreign exchange swap points and option rates;
according to the first information, performing linear interpolation on the foreign exchange drop period point, and calculating to obtain a forward foreign exchange quotation corresponding to the first information;
according to the first information, performing linear interpolation on the option rate, and calculating to obtain a discount factor corresponding to the first information;
and storing the forward foreign exchange quotation and the discount factor into a database.
3. The option quotation method according to claim 2, wherein said receiving first information thereafter comprises:
inputting the option execution price into a Scoers option pricing model, and calculating to obtain a derivative function of the on-demand price;
and according to a Newton iteration method, carrying out root calculation on the derivative function to obtain a Delta value corresponding to the derivative function.
4. The option quotation method according to claim 3, wherein said calculating an implicit fluctuation rate of the option contracts to be quoted from the first and second information comprises:
acquiring option market data in real time through a data interface api, wherein the option market data comprise a fluctuation rate curved surface;
calculating to obtain implicit fluctuation rate curves of two standard time limits closest to the price inquiry transaction due date according to the fluctuation rate curved surface;
interpolating Delta values on the two implicit fluctuation rate curves according to a cubic spline interpolation method, and calculating to obtain two implicit fluctuation rates corresponding to the two standard time limits;
and calculating the two implicit fluctuation rates according to the linear interpolation of the time series method to obtain the implicit fluctuation rate corresponding to the price inquiry transaction expiration date.
5. The option quotation method according to claim 4, wherein the generating the option price of the option contract to be quotated according to the implicit fluctuation rate and the option current information and according to a preset operation rule comprises:
inputting the forward foreign exchange quotation, the discount factor and the implicit fluctuation rate into a Karman Koeha model, and calculating to obtain a fair right fee, wherein the fair right fee is an original right fee without point difference;
and inputting the fair right fee into a preset XGBOST model according to current option information to calculate the option price of the option contract to be quoted.
6. The option quotation method according to claim 1, wherein said generating an option price of the option contract to be quoted according to a preset operational rule, thereafter comprises:
performing risk check of entrusted declaration information on entrusted prices for generating the option contracts according to preset entrusted quantity of the option contracts in the price enquiring elements;
if the entrusting declaration information does not trigger quotation risk control, sending the entrusting declaration information to an exchange to carry out entrusting declaration of the option contract; and if the entrusting declaration information triggers quotation risk control, sending a risk information prompt.
7. An option quotation apparatus, comprising:
the first receiving module is used for receiving first information, wherein the first information comprises a price inquiry element set by a user for an option contract to be quoted, and the price inquiry element comprises an inquiry transaction due date and an option execution price;
the first acquisition module is used for acquiring second information, wherein the second information comprises historical market data and option contract information acquired by a trading exchange in real time;
the first calculation module is used for calculating the implicit fluctuation rate of the option contract to be quoted according to the first information and the second information;
and the generation module is used for generating the option price of the option contract to be quoted according to the implicit fluctuation rate and the current option information and a preset operation rule.
8. The option quotation device according to claim 7, wherein the first obtaining module is followed by further comprising:
the second acquisition module is used for acquiring option market data in real time through the data interface api, wherein the option market data comprise foreign exchange swap points and option rates;
the second calculation module is used for performing linear interpolation on the foreign exchange drop-out point according to the first information and calculating to obtain a forward foreign exchange quotation corresponding to the first information;
the third calculation module is used for performing linear interpolation on the option rate according to the first information to calculate and obtain a discount factor corresponding to the first information;
and the storage module is used for storing the forward foreign exchange quotation and the discount factor into a database.
9. The option quotation device according to claim 8, wherein the first receiving module, thereafter, comprises:
the fourth calculation module is used for inputting the option execution price into a Scoers option pricing model and calculating a derivative function of the spot price;
and the fifth calculation module is used for carrying out root calculation on the derivative function according to a Newton iteration method to obtain a Delta value corresponding to the derivative function.
10. The option quotation device according to claim 9, wherein the first calculation module comprises:
the acquisition unit is used for acquiring option market data in real time through a data interface api, wherein the option market data comprise a fluctuation rate curved surface;
the first calculation unit is used for calculating and obtaining implicit fluctuation rate curves of two standard time limits closest to the price inquiry transaction expiration date according to the fluctuation rate curved surface;
the second calculation unit is used for interpolating Delta values on the two implicit fluctuation rate curves according to a cubic spline interpolation method to calculate two implicit fluctuation rates corresponding to the two standard time limits;
and the third calculating unit is used for calculating the two implicit fluctuation rates according to the linear interpolation of the time series method to obtain the implicit fluctuation rate corresponding to the price inquiry transaction due date.
11. The option quotation device according to claim 10, wherein the generation module comprises:
a fourth calculating unit, configured to input the forward foreign exchange quotation, the discount factor, and the implicit fluctuation rate into a goldmann koeha model, and calculate to obtain a fair right fee, where the fair right fee is an original right fee without a point difference;
and the input unit is used for inputting the fair right fee into a preset XGB OST model according to the current option information to calculate the option price of the option contract to be quoted.
12. The option quotation device according to claim 7, wherein the generating module thereafter comprises:
the generation checking module is used for carrying out risk check of entrusted declaration information on entrusted prices for generating the option contracts according to preset entrusted quantities of the option contracts in the inquiry elements;
the judging module is used for sending the entrusting declaration information to an exchange to carry out entrusting declaration of the option contract if the entrusting declaration information does not trigger quotation risk control; and if the entrusting declaration information triggers quotation risk control, sending a risk information prompt.
13. An option quotation apparatus, comprising:
a memory for storing a computer program;
a processor for implementing the steps of the option offering method according to any one of claims 1 to 6 when the computer program is executed.
14. A readable storage medium, characterized by: the readable storage medium has stored thereon a computer program which, when executed by a processor, implements the steps of the option offering method according to any of claims 1 to 6.
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| CN202210211773.9A CN114792271A (en) | 2022-03-04 | 2022-03-04 | Option quotation method, device, equipment and readable storage medium |
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Cited By (1)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN116091233A (en) * | 2023-03-22 | 2023-05-09 | 大有期货有限公司 | Real-time quotation field option business electronic management system |
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Cited By (1)
| Publication number | Priority date | Publication date | Assignee | Title |
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| CN116091233A (en) * | 2023-03-22 | 2023-05-09 | 大有期货有限公司 | Real-time quotation field option business electronic management system |
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