CN117495520A - Data determining method and device - Google Patents

Data determining method and device Download PDF

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Publication number
CN117495520A
CN117495520A CN202311300440.4A CN202311300440A CN117495520A CN 117495520 A CN117495520 A CN 117495520A CN 202311300440 A CN202311300440 A CN 202311300440A CN 117495520 A CN117495520 A CN 117495520A
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model
interest
interval
deposit
observation day
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陈伟煌
吴榕鹏
林天成
胡安东
苏示
何欣莹
俞泱
刘丹
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China Construction Bank Corp
CCB Finetech Co Ltd
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China Construction Bank Corp
CCB Finetech Co Ltd
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    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
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    • G06F—ELECTRIC DIGITAL DATA PROCESSING
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Abstract

The application provides a data determining method and device, and relates to the technical field of finance. The method comprises the steps of receiving an interest data acquisition instruction sent by a client; acquiring relevant parameters of the corresponding interest of the interval accumulation type structural deposit; the method comprises the steps that a target interest model corresponding to interval accumulation type structural deposit is obtained, the target interest model comprises a bottom protection part sub-model and a derivative part sub-model, the derivative part sub-model relates to a first digital expansion option and a second digital expansion option, the row weight of the first digital expansion option is the lower limit value of a hook index reference interval corresponding to the interval accumulation type structural deposit, and the row weight of the second digital expansion option is the upper limit value of the hook index reference interval; inputting the information-related parameters into a target information model to obtain information data; and sending the information data to the client. The method and the device show the rest model of the interval accumulation type structural deposit in a analytic solution mode, and greatly improve the solving efficiency.

Description

Data determining method and device
Technical Field
The present disclosure relates to the field of financial technologies, and in particular, to a method and an apparatus for determining data.
Background
Structured deposit refers to a financial product with a certain risk that investors get in earnings and interest rates, exchange rates, stock prices, commodity prices, credits, indexes and other financial or non-financial objects by embedding financial derivative tools (including but not limited to long-term, lost, option or futures, etc.) on the basis of normal deposit by the bank, where the investors deposit legally holding the funds of the rennet or foreign currency. The benefits of interval-accumulating structural deposits are dependent on the number of days in the day observation period when the hooked object is within a preset target interval, and in order to determine the value of these deposits, the evaluation is usually performed using a finite difference method or the like. However, there are problems with the finite difference approach. Firstly, the calculation speed is relatively slow due to the fact that inverse matrix is related to a large matrix; second, if the time interval and the target asset interval are large, the evaluation accuracy may be reduced because the finite difference method requires balancing the computational efficiency and accuracy when discretizing.
Disclosure of Invention
The present disclosure provides a method and apparatus for determining data, so as to at least solve the problem that the finite difference method in the related art is relatively slow in calculation speed.
An embodiment of a first aspect of the present application provides a method for determining data, including: receiving an interest data acquisition instruction sent by a client; acquiring a corresponding interest-related parameter of the interval accumulation type structural deposit, wherein the interest-related parameter comprises a transaction parameter of the interval accumulation type structural deposit and market data related to the observation date of the interval accumulation type structural deposit; the method comprises the steps that a target interest model corresponding to interval accumulation type structural deposit is obtained, the target interest model comprises a bottom protection part sub-model and a derivative part sub-model, wherein the derivative part sub-model relates to a first digital expansion option and a second digital expansion option, the row weight of the first digital expansion option is the lower limit value of a hook index reference interval corresponding to the interval accumulation type structural deposit, and the row weight of the second digital expansion option is the upper limit value of the hook index reference interval; inputting the relevant parameters of the interest into a target interest model to obtain the interest data corresponding to the interval accumulation type structural deposit; and sending the information data to the client.
According to one embodiment of the present application, obtaining a target interest model corresponding to an interval accumulation type structural deposit includes: acquiring an initial rest model corresponding to the interval accumulation type structural deposit; converting the initial rest model, and converting the initial rest model into the sum of a bottom protection part sub-model and an initial derivative part sub-model, wherein the initial derivative part sub-model relates to a binary condition function corresponding to a hook index reference interval, and the binary condition function is used for indicating whether the Euro dollar exchange rate corresponding to the accumulated structural deposit in the observation day interval falls into the hook index reference interval; converting the binary condition function in the initial derivative part sub-model into a difference between a first value corresponding to the first digital expansion option and a second value corresponding to the second digital expansion option to obtain a derivative part sub-model generated after conversion; and adding the bottom-keeping part sub-model and the derivative part sub-model to obtain the target rest model.
According to one embodiment of the application, the transaction parameters comprise deposit principal, bottom-keeping income ratio, number of days of interest, renminbi Shibor discount rate, hook index reference interval, highest income ratio, observation day, total number of days of observation day; the market data includes dollar exchange rate per Euro per observation day, risk-free interest rate per dollar per observation day, risk-free interest rate per Euro per observation day, distance per observation day, time of year per day, implicit fluctuation rate per observation day.
According to one embodiment of the present application, a method for acquiring a first value and a second value includes: aiming at any observation day, acquiring a first value corresponding to a first digital expansion option on the observation day based on a lower limit value of a hook index reference section, an Euro dollar exchange rate, a non-risk interest rate of dollars corresponding to the observation day, a non-risk interest rate of Euro corresponding to the observation day, a distance home position corresponding to the observation day, a year time of the day and an implicit fluctuation rate corresponding to the observation day; and for any observation day, determining the aging time of the day and the implicit fluctuation rate corresponding to the observation day based on the upper limit value of the hook index reference interval, the Euro exchange dollar rate corresponding to the observation day, the risk-free interest rate of the USD corresponding to the observation day, the risk-free interest rate of the Euro corresponding to the observation day, the distance corresponding to the observation day and the implicit fluctuation rate corresponding to the observation day, and acquiring the second value corresponding to the second digital expansion option on the observation day.
According to one embodiment of the present application, inputting the interest-related parameters into the target interest model to obtain the interest data corresponding to the interval accumulation type structural deposit includes: inputting deposit principal, deposit return rate, deposit number of days of counting, and Renminbi Shibor discount rate into a deposit part sub-model in a target deposit model to obtain deposit data corresponding to interval accumulated structural deposit; the deposit principal, the number of days of interest, the highest income ratio, the bottom-keeping income ratio, the Renminbi shiber discount rate, the total number of days of observation, the first value corresponding to each observation day and the second value corresponding to each observation day are input into a derivative part sub-model in a target principal model, and derivative part data corresponding to interval accumulated structural deposit are obtained; and taking the sum of the bottom keeping data and the derivative part data as the corresponding rest data of the interval accumulation type structural deposit.
According to one embodiment of the present application, obtaining a target interest model corresponding to an interval accumulation type structural deposit includes: obtaining a mapping relation between the candidate interval accumulated structural deposit and the candidate interest model; and inquiring the mapping relation according to the interval accumulation type structural deposit to determine a target interest model corresponding to the interval accumulation type structural deposit.
An embodiment of a second aspect of the present application provides a data determining apparatus, including: the receiving module is used for receiving an interest data acquisition instruction sent by the client; the parameter acquisition module is used for acquiring the corresponding principal related parameters of the interval accumulation type structural deposit, wherein the principal related parameters comprise the transaction parameters of the interval accumulation type structural deposit and market data related to the observation date of the interval accumulation type structural deposit; the model determining module is used for acquiring a target interest model corresponding to the interval accumulation type structural deposit, wherein the target interest model comprises a bottom conservation part sub-model and a derivative part sub-model, the derivative part sub-model relates to a first digital expansion option and a second digital expansion option, the row weight of the first digital expansion option is the lower limit value of a hook index reference interval corresponding to the interval accumulation type structural deposit, and the row weight of the second digital expansion option is the upper limit value of the hook index reference interval; the information determining module is used for inputting information related parameters into the target information model so as to obtain information data corresponding to the interval accumulation type structural deposit; and the sending module is used for sending the interest data to the client.
According to one embodiment of the present application, the model determination module is further configured to: acquiring an initial rest model corresponding to the interval accumulation type structural deposit; converting the initial rest model, and converting the initial rest model into the sum of a bottom protection part sub-model and an initial derivative part sub-model, wherein the initial derivative part sub-model relates to a binary condition function corresponding to a hook index reference interval, and the binary condition function is used for indicating whether the Euro dollar exchange rate corresponding to the accumulated structural deposit in the observation day interval falls into the hook index reference interval; converting the binary condition function in the initial derivative part sub-model into a difference between a first value corresponding to the first digital expansion option and a second value corresponding to the second digital expansion option to obtain a derivative part sub-model generated after conversion; and adding the bottom-keeping part sub-model and the derivative part sub-model to obtain the target rest model.
According to one embodiment of the application, the transaction parameters in the parameter acquisition module comprise deposit principal, bottom-keeping income rate, number of days of interest, renminbi Shibor discount rate, hook index reference interval, highest income rate, observation day, and total number of days of observation day; the market data includes dollar exchange rate per Euro per observation day, risk-free interest rate per dollar per observation day, risk-free interest rate per Euro per observation day, distance per observation day, time of year per day, implicit fluctuation rate per observation day.
According to an embodiment of the present application, the data determining device further includes: the value acquisition module is used for acquiring a first value corresponding to a first digital expansion option on any observation day based on the lower limit value of a hook index reference interval, the Euro exchange dollar exchange rate, the non-risk interest rate of dollars corresponding to the observation day, the non-risk interest rate of Euro corresponding to the observation day, the distance home corresponding to the observation day, the aging time of the day and the hidden fluctuation rate corresponding to the observation day; and for any observation day, determining the aging time of the day and the implicit fluctuation rate corresponding to the observation day based on the upper limit value of the hook index reference interval, the Euro exchange dollar rate corresponding to the observation day, the risk-free interest rate of the USD corresponding to the observation day, the risk-free interest rate of the Euro corresponding to the observation day, the distance corresponding to the observation day and the implicit fluctuation rate corresponding to the observation day, and acquiring the second value corresponding to the second digital expansion option on the observation day.
According to one embodiment of the present application, the rest determination module is further configured to: inputting deposit principal, deposit return rate, deposit number of days of counting, and Renminbi Shibor discount rate into a deposit part sub-model in a target deposit model to obtain deposit data corresponding to interval accumulated structural deposit; the deposit principal, the number of days of interest, the highest income ratio, the bottom-keeping income ratio, the Renminbi shiber discount rate, the total number of days of observation, the first value corresponding to each observation day and the second value corresponding to each observation day are input into a derivative part sub-model in a target principal model, and derivative part data corresponding to interval accumulated structural deposit are obtained; and taking the sum of the bottom keeping data and the derivative part data as the corresponding rest data of the interval accumulation type structural deposit.
According to one embodiment of the present application, the model determination module is further configured to: obtaining a mapping relation between the candidate interval accumulated structural deposit and the candidate interest model; and inquiring the mapping relation according to the interval accumulation type structural deposit to determine a target interest model corresponding to the interval accumulation type structural deposit.
An embodiment of a third aspect of the present application provides an electronic device, including: at least one processor; and a memory communicatively coupled to the at least one processor; the memory stores instructions executable by the at least one processor to implement a method for determining data according to an embodiment of the first aspect of the present application.
An embodiment of a fourth aspect of the present application proposes a non-transitory computer readable storage medium storing computer instructions for implementing a method of determining data as an embodiment of the first aspect of the present application.
An embodiment of a fifth aspect of the present application proposes a computer program product comprising a computer program which, when executed by a processor, implements a method of determining data as in an embodiment of the first aspect of the present application.
The technical scheme provided by the embodiment of the disclosure at least brings the following beneficial effects: according to the method and the device, through acquiring the transaction parameters of the interval accumulation type structural deposit and the market data related to the observation date and combining the target interest model, the interest of the deposit product can be acquired, so that investors can know the value of the investment combination, and corresponding decisions can be made. Meanwhile, the invention expresses the rest model of the interval accumulation type structural deposit in an analytic solution mode, and greatly improves the solving efficiency.
It is to be understood that both the foregoing general description and the following detailed description are exemplary and explanatory only and are not restrictive of the disclosure.
Drawings
The foregoing and/or additional aspects and advantages of the present application will become apparent and readily appreciated from the following description of the embodiments, taken in conjunction with the accompanying drawings, in which:
fig. 1 is a schematic diagram of an exemplary embodiment of a method of determining data shown in the present application.
Fig. 2 is a schematic diagram of an exemplary embodiment of a method of determining data shown in the present application.
Fig. 3 is a schematic diagram of an exemplary embodiment of a method of determining data shown in the present application.
Fig. 4 is a schematic diagram of a data determination device shown in the present application.
Fig. 5 is a schematic diagram of an electronic device according to an embodiment of the present application.
Detailed Description
Embodiments of the present application are described in detail below, examples of which are illustrated in the accompanying drawings, wherein like or similar reference numerals refer to like or similar elements or elements having like or similar functions throughout. The embodiments described below by referring to the drawings are exemplary and intended for the purpose of explaining the present application and are not to be construed as limiting the present application.
It should be noted that, in the present disclosure, all the actions of obtaining information and authority and providing services are performed under the premise of conforming to the corresponding data protection rule policy of the country of the location and obtaining the authorization given by the owner of the corresponding device, which all conform to the rules of the related laws and regulations and do not violate the popular regulations.
Fig. 1 is a schematic diagram of an exemplary embodiment of a method for determining data shown in the present application, and as shown in fig. 1, the method for determining data includes the following steps:
s101, receiving an interest data acquisition instruction sent by a client.
The instruction for acquiring the intrinsic data is used for instructing the server to perform statistical acquisition of the intrinsic data on the interval accumulation type structural deposit.
S102, acquiring the corresponding principal related parameters of the interval accumulation type structural deposit, wherein the principal related parameters comprise the transaction parameters of the interval accumulation type structural deposit and market data related to the observation date of the interval accumulation type structural deposit.
The transaction parameters of the interval accumulation type structural deposit are obtained, wherein the transaction parameters comprise deposit principal, deposit bottom income ratio, number of interest days, renminbi Shibor discount rate, hook index reference interval, highest income ratio, observation day and total number of observation days.
Exemplary:
interval accumulation type structural deposit day: 2023, 5, 4;
interval accumulation type structural deposit expiration date: 2023, 6, 29;
interval accumulation type structural deposit period: for 56 days
The hook index is as follows: euro/dollar exchange rate displayed on the BFIX page at 3 P.M. Peng Bo per tokyo workday tokyo time during the observation period;
observation period: the structural deposit is from the date of interest (inclusive) to the date of work (inclusive) of two tokyo days before the structural deposit expires;
hook index reference interval: [ price at first observation day of hook target-0.0294, price at first observation day of hook target +0.0294].
Market data related to observation days of the interval accumulation type structural deposit are obtained, wherein the market data comprise Euro dollar exchange rate corresponding to each observation day, non-risk interest rate of dollars corresponding to each observation day, non-risk interest rate of Euro corresponding to each observation day, annual time of each observation day and hidden fluctuation rate corresponding to each observation day.
S103, acquiring a target interest model corresponding to the interval accumulation type structural deposit, wherein the target interest model comprises a bottom protection part sub-model and a derivative part sub-model, the derivative part sub-model relates to a first digital expansion option and a second digital expansion option, the row weight of the first digital expansion option is the lower limit value of a hook index reference interval corresponding to the interval accumulation type structural deposit, and the row weight of the second digital expansion option is the upper limit value of the hook index reference interval.
Here, the date of interest refers to a date for determining the interval accumulation type structural deposit interest, and if the interest is calculated after the expiration of the existence, the date of interest is a deposit expiration date.
In the present application, the target home model corresponding to the section accumulation type structural deposit is as follows:
in the above description, PV represents the rest data corresponding to the section accumulation type structural deposit, notinal represents deposit principal, R represents the bottom-keeping income ratio, τ represents the number of rest days in a year, df represents the Renminbi Shibor discount rate, R represents the highest income ratio, N represents the total number of days in the observation day, L represents the lower limit value of the hook index reference section, H represents the upper limit value of the hook index reference section, digital (L) represents the value of the first digital expansion option taking the lower limit value L of the hook index reference section as the line price, and digital (H) represents the value of the second digital expansion option taking the upper limit value H of the hook index reference section as the line price.
Wherein the value of the first digital rising option may be expressed as:
in the above, r d Represents the risk-free interest rate of dollars on the ith observation day, r f The risk-free interest rate of the Euro on the ith observation day is represented by S, the exchange rate of the Euro on the ith observation day is represented by U.S. dollar, L, the lower limit value of the hook index reference section is represented by T i Represents the time of year, sigma, of the ith observation day distance in the rest of the day i The implicit fluctuation rate of the ith observation day is represented, and N (x) is a cumulative probability distribution function of standard normal distribution.
Wherein the value of the second digital viewing option may be expressed as:
in the above, r d Represents the risk-free interest rate of dollars on the ith observation day, r f The risk-free interest rate of the Euro on the i-th observation day is represented by S, the exchange rate of the Euro on the i-th observation day is represented by U.S. dollar, H, the upper limit value of the hook index reference section is represented by T i Represents the time of year, sigma, of the ith observation day distance in the rest of the day i The implicit fluctuation rate of the ith observation day is represented, and N (x) is a cumulative probability distribution function of standard normal distribution.
S104, inputting the relevant parameters of the interest into a target interest model to obtain the interest data corresponding to the interval accumulation type structural deposit.
Substituting the determined transaction parameters of the interval accumulation type structural deposit and market data related to the observation date of the interval accumulation type structural deposit into a target interest model to obtain interest data corresponding to the interval accumulation type structural deposit of the whole observation period.
S105, the rest data is sent to the client.
According to the embodiment of the application, through acquiring the transaction parameters of the interval accumulation type structural deposit and the market data related to the observation date and combining the target interest model, the interest of the deposit product can be accurately acquired, so that investors can know the value of the investment combination of the investors, and corresponding decisions can be made. Meanwhile, the invention expresses the rest model of the interval accumulation type structural deposit in an analytic solution mode, and greatly improves the solving efficiency.
Fig. 2 is a schematic diagram of an exemplary embodiment of a method for determining data shown in the present application, and as shown in fig. 2, the method for determining data includes the following steps:
s201, receiving an interest data acquisition instruction sent by a client.
S202, obtaining corresponding principal related parameters of the interval accumulation type structural deposit, wherein the principal related parameters comprise transaction parameters of the interval accumulation type structural deposit and market data related to observation days of the interval accumulation type structural deposit.
For the specific implementation manner of steps S201 to S202, reference may be made to the specific description of the relevant parts in the above embodiments, and the detailed description will not be repeated here.
S203, acquiring an initial home model corresponding to the interval accumulation type structural deposit.
In the application, the initial rest model corresponding to the interval accumulation type structural deposit is as follows:
in the above formula, Q represents a renminbi risk neutral measure, notinal represents deposit principal, τ represents the number of days of interest for a year, R represents the highest yield, R represents the bottom-keeping yield, df represents the renminbi Shibor discount rate, N represents the total number of days of observation, N 1 Tokyo workday days, n, indicating that the reference index is located within the reference interval (including interval boundary) during the observation period 2 Tokyo workday days indicating that the reference index is outside the reference interval (without interval boundary) during the observation period, where n 1 +n 2 ＝N。
S204, converting the initial rest model, and converting the initial rest model into the sum of the bottom protection part sub-model and the initial derivative part sub-model, wherein the initial derivative part sub-model relates to a binary condition function corresponding to a hook index reference interval, and the binary condition function is used for indicating whether the Euro dollar exchange rate corresponding to the accumulated structural deposit in the observation day interval falls into the hook index reference interval.
The initial rest model is converted, and the specific process is as follows:
it can be seen that the initial rest model after conversion can be expressed as the sum of the bottom-of-a-child model and the initial derivative-part sub-model.
Wherein, the bottom protection part submodel is:
Notional*(1+r*τ)*df
wherein the initial derivative part sub-model is:
wherein Index is a binary condition function of 0 or 1 (1 is taken when the Euro dollar exchange rate corresponding to the integrated structural deposit in the observation day interval falls into the hook Index reference interval, and 0 is taken when the Euro dollar exchange rate corresponding to the integrated structural deposit in the observation day interval does not fall into the hook Index reference interval.)
S205, converting the binary condition function in the initial derivative part sub-model into a difference between a first value corresponding to the first digital expansion option and a second value corresponding to the second digital expansion option, so as to obtain a derivative part sub-model generated after conversion.
In the application, a binary condition function in an initial derivative part sub-model is converted into a difference between a first value corresponding to a first digital expansion option and a second value corresponding to a second digital expansion option, so that a derivative part sub-model generated after conversion is obtained. The specific conversion process can be expressed as:
that is, the derivative part submodel generated after conversion is:
the method for acquiring the first value comprises the following steps of: for any observation day, the annual time of the day and the implicit fluctuation rate corresponding to the observation day are determined based on the lower limit value of the hook index reference section, the dollar exchange rate of the Euro, the risk-free interest rate of the dollar corresponding to the observation day, the risk-free interest rate of the Euro corresponding to the observation day, the distance corresponding to the observation day and the implicit fluctuation rate corresponding to the observation day, and the first value corresponding to the first digital expansion option on the observation day is obtained. The first value corresponding to the first digital rising option may be expressed as:
In the above, r d Represents the risk-free interest rate of dollars on the ith observation day, r f The risk-free interest rate of the Euro on the ith observation day is represented by S, the exchange rate of the Euro on the ith observation day is represented by U.S. dollar, L, the lower limit value of the hook index reference section is represented by T i Represents the time of year, sigma, of the ith observation day distance in the rest of the day i The implicit fluctuation rate of the ith observation day is represented, and N (x) is a cumulative probability distribution function of standard normal distribution.
The row weight of the second digital rising option is the upper limit value of the hook index reference interval. The second value obtaining method comprises the following steps: for any observation day, the annual time of the day and the implicit fluctuation rate corresponding to the observation day are determined based on the upper limit value of the hook index reference interval, the Euro exchange dollar rate corresponding to the observation day, the non-risk interest rate of the dollar corresponding to the observation day, the non-risk interest rate of the Euro corresponding to the observation day, the distance corresponding to the observation day and the implicit fluctuation rate corresponding to the observation day, and the second value corresponding to the second digital rising option on the observation day is obtained. The second value corresponding to the second digital viewing option may be expressed as:
in the above, r d Represents the risk-free interest rate of dollars on the ith observation day, r f The risk-free interest rate of the Euro on the i-th observation day is represented by S, the exchange rate of the Euro on the i-th observation day is represented by U.S. dollar, H, the upper limit value of the hook index reference section is represented by T i Represents the time of year, sigma, of the ith observation day distance in the rest of the day i The implicit fluctuation rate of the ith observation day is represented, and N (x) is a cumulative probability distribution function of standard normal distribution.
S206, adding the bottom protection part submodel and the derivative part submodel to obtain the target interest model.
Adding the bottom protection part sub-model and the derivative part sub-model to obtain a target interest model, namely, a target interest model corresponding to the interval accumulation type structural deposit is as follows:
in the above description, PV represents the rest data corresponding to the section accumulation type structural deposit, notinal represents deposit principal, R represents the bottom-keeping income ratio, τ represents the number of rest days in a year, df represents the Renminbi Shibor discount rate, R represents the highest income ratio, N represents the total number of days in the observation day, L represents the lower limit value of the hook index reference section, H represents the upper limit value of the hook index reference section, digital (L) represents the value of the first digital expansion option taking the lower limit value L of the hook index reference section as the line price, and digital (H) represents the value of the second digital expansion option taking the upper limit value H of the hook index reference section as the line price.
S207, inputting the relevant parameters of the interest into a target interest model to obtain the interest data corresponding to the interval accumulation type structural deposit.
And inputting deposit principal, deposit return rate, deposit number of days, deposit number of years and Renminbi Shibor deposit rate into a deposit part sub-model in the target deposit model to obtain deposit data corresponding to the interval accumulated structural deposit.
And inputting deposit principal, the number of days of interest, the highest yield, the bottom-keeping yield, the Renminbi Shibor discount rate, the total number of days of observation, the first value corresponding to each observation and the second value corresponding to each observation into a derivative part sub-model in a target principal model, and obtaining derivative part data corresponding to the interval accumulated structural deposit.
And taking the sum of the bottom keeping data and the derivative part data as the corresponding rest data of the interval accumulation type structural deposit.
And S208, transmitting the rest data to the client.
The method adopts a model derivation mode, the rest model of the interval accumulation type structural deposit is expressed in an analytic solution mode, the solving efficiency is greatly improved, and the method can be widely used for financial accounting assessment, market risk sensitivity index calculation and the like.
Fig. 3 is a schematic diagram of an exemplary embodiment of a method for determining data shown in the present application, and as shown in fig. 3, the method for determining data includes the following steps:
S301, receiving an interest data acquisition instruction sent by a client.
S302, obtaining corresponding principal related parameters of the interval accumulation type structural deposit, wherein the principal related parameters comprise transaction parameters of the interval accumulation type structural deposit and market data related to observation days of the interval accumulation type structural deposit.
For the specific implementation of steps S301 to S302, reference may be made to the specific description of the relevant parts in the above embodiments, and the detailed description is omitted here.
S303, obtaining the mapping relation between the candidate interval accumulated structural deposit and the candidate interest model.
Since the interval accumulation type structural deposit may include different types, in the present application, mapping relations between various types of candidate interval accumulation type structural deposit and candidate interest models may be generated in advance and stored.
S304, inquiring the mapping relation according to the interval accumulation type structural deposit to determine a target interest model corresponding to the interval accumulation type structural deposit.
After determining a certain section accumulation type structural deposit, inquiring the mapping relation to determine a target rest model corresponding to the section accumulation type structural deposit.
S305, inputting the relevant parameters of the interest into a target interest model to obtain the interest data corresponding to the interval accumulation type structural deposit.
S306, the rest data are sent to the client.
For the specific implementation of steps S305 to S306, reference may be made to the specific description of the relevant parts in the above embodiments, and the detailed description will not be repeated here.
The method and the device generate the mapping relation between the candidate interval accumulation type structural deposit and the candidate interest model in advance, provide more choices and flexibility for investors, are helpful to meet the requirements and preferences of different investors, and can adapt to market changes and innovations. By obtaining the forensic data corresponding to the interval accumulation type structural deposit, the investor can obtain important information about the expected return and risk level of the product. This will provide decision support for investors, helping them to keep in whether the product meets its investment goals, and to adjust and optimize for the specific situation.
Fig. 4 is a schematic diagram of a data determining apparatus shown in the present application, and as shown in fig. 4, the data determining apparatus 400 includes a receiving module 401, a parameter obtaining module 402, a model determining module 403, an rest determining module 404, and a sending module 405:
the receiving module 401 is configured to receive an interest data acquisition instruction sent by the client.
The parameter obtaining module 402 is configured to obtain an interest-related parameter corresponding to the interval accumulation type structural deposit, where the interest-related parameter includes a transaction parameter of the interval accumulation type structural deposit and market data related to an observation date of the interval accumulation type structural deposit.
The model determining module 403 is configured to obtain a target interest model corresponding to the interval accumulation type structural deposit, where the target interest model includes a bottom conservation part sub-model and a derivative part sub-model, and the derivative part sub-model relates to a first digital expansion option and a second digital expansion option, a row weight price of the first digital expansion option is a lower limit value of a hook index reference interval corresponding to the interval accumulation type structural deposit, and a row weight price of the second digital expansion option is an upper limit value of the hook index reference interval.
The information determining module 404 is configured to input information related parameters into the target information model to obtain information data corresponding to the interval accumulation type structural deposit.
And the sending module 405 is configured to send the rest data to the client.
The device can accurately acquire the corresponding interest of the deposit product by acquiring the transaction parameters of the interval accumulation type structural deposit and the market data related to the observation date and combining the target interest model, which is helpful for investors to know the value of the investment combination and make corresponding decisions. Meanwhile, the invention expresses the rest model of the interval accumulation type structural deposit in an analytic solution mode, and greatly improves the solving efficiency.
Further, the model determining module 403 is further configured to: acquiring an initial rest model corresponding to the interval accumulation type structural deposit; converting the initial rest model, and converting the initial rest model into the sum of a bottom protection part sub-model and an initial derivative part sub-model, wherein the initial derivative part sub-model relates to a binary condition function corresponding to a hook index reference interval, and the binary condition function is used for indicating whether the Euro dollar exchange rate corresponding to the accumulated structural deposit in the observation day interval falls into the hook index reference interval; converting the binary condition function in the initial derivative part sub-model into a difference between a first value corresponding to the first digital expansion option and a second value corresponding to the second digital expansion option to obtain a derivative part sub-model generated after conversion; and adding the bottom-keeping part sub-model and the derivative part sub-model to obtain the target rest model.
Further, the transaction parameters in the parameter obtaining module 402 include deposit principal, bottom-keeping income ratio, number of days of interest, renminbi Shibor discount rate, hook index reference interval, highest income ratio, observation day, and total number of days of observation day; the market data includes dollar exchange rate per Euro per observation day, risk-free interest rate per dollar per observation day, risk-free interest rate per Euro per observation day, distance per observation day, time of year per day, implicit fluctuation rate per observation day.
Further, the data determining apparatus 400 further includes: the value obtaining module 405 is configured to determine, for any observation day, a time of year of the day and an implicit fluctuation rate corresponding to the observation day based on a lower limit value of a hook index reference interval, an euro exchange dollar rate, a non-risk interest rate of dollars corresponding to the observation day, a non-risk interest rate of euros corresponding to the observation day, a distance home corresponding to the observation day, and a first value corresponding to a first digital expansion option on the observation day; and for any observation day, determining the aging time of the day and the implicit fluctuation rate corresponding to the observation day based on the upper limit value of the hook index reference interval, the Euro exchange dollar rate corresponding to the observation day, the risk-free interest rate of the USD corresponding to the observation day, the risk-free interest rate of the Euro corresponding to the observation day, the distance corresponding to the observation day and the implicit fluctuation rate corresponding to the observation day, and acquiring the second value corresponding to the second digital expansion option on the observation day.
Further, the rest determination module 404 is further configured to: inputting deposit principal, deposit return rate, deposit number of days of counting, and Renminbi Shibor discount rate into a deposit part sub-model in a target deposit model to obtain deposit data corresponding to interval accumulated structural deposit; the deposit principal, the number of days of interest, the highest income ratio, the bottom-keeping income ratio, the Renminbi shiber discount rate, the total number of days of observation, the first value corresponding to each observation day and the second value corresponding to each observation day are input into a derivative part sub-model in a target principal model, and derivative part data corresponding to interval accumulated structural deposit are obtained; the sum of the bottom and the derivative part is used as the corresponding information data of the interval accumulation type structural deposit.
Further, the model determining module 403 is further configured to: obtaining a mapping relation between the candidate interval accumulated structural deposit and the candidate interest model; and inquiring the mapping relation according to the interval accumulation type structural deposit to determine a target interest model corresponding to the interval accumulation type structural deposit.
In order to implement the foregoing embodiments, the embodiments of the present application further provide an electronic device 500, as shown in fig. 5, where the electronic device 500 includes: the processor 501 is communicatively connected to a memory 502, and the memory 502 stores instructions executable by at least one processor, the instructions being executed by the at least one processor 501 to implement the method of determining data as described in the above embodiments.
In order to implement the above-described embodiments, the present embodiments also propose a non-transitory computer-readable storage medium storing computer instructions for causing a computer to implement the data determination method as shown in the above-described embodiments.
In order to implement the above embodiments, the embodiments of the present application also propose a computer program product comprising a computer program which, when executed by a processor, implements a method of determining data as shown in the above embodiments.
Furthermore, the terms "first," "second," and the like, are used for descriptive purposes only and are not to be construed as indicating or implying a relative importance or implicitly indicating the number of technical features indicated. Thus, a feature defining "a first" or "a second" may explicitly or implicitly include one or more such feature. In the description of the present application, the meaning of "a plurality" is two or more, unless explicitly defined otherwise.
In the description of the present specification, a description referring to terms "one embodiment," "some embodiments," "examples," "specific examples," or "some examples," etc., means that a particular feature, structure, material, or characteristic described in connection with the embodiment or example is included in at least one embodiment or example of the present application. In this specification, schematic representations of the above terms are not necessarily directed to the same embodiment or example. Furthermore, the particular features, structures, materials, or characteristics described may be combined in any suitable manner in any one or more embodiments or examples. Furthermore, the different embodiments or examples described in this specification and the features of the different embodiments or examples may be combined and combined by those skilled in the art without contradiction.
Although embodiments of the present application have been shown and described above, it will be understood that the above embodiments are illustrative and not to be construed as limiting the application, and that variations, modifications, alternatives, and variations may be made to the above embodiments by one of ordinary skill in the art within the scope of the application.

Claims (15)

1. A method of determining data, comprising:
receiving an interest data acquisition instruction sent by a client;
acquiring a corresponding interest-related parameter of an interval accumulation type structural deposit, wherein the interest-related parameter comprises a transaction parameter of the interval accumulation type structural deposit and market data related to an observation day of the interval accumulation type structural deposit;
obtaining a target interest model corresponding to the interval accumulation type structural deposit, wherein the target interest model comprises a bottom conservation part sub-model and a derivative part sub-model, the derivative part sub-model relates to a first digital expansion option and a second digital expansion option, the row weight of the first digital expansion option is the lower limit value of a hook index reference interval corresponding to the interval accumulation type structural deposit, and the row weight of the second digital expansion option is the upper limit value of the hook index reference interval;
Inputting the relevant parameters of the interest into the target interest model to obtain the interest data corresponding to the interval accumulation type structural deposit;
and sending the rest data to the client.
2. The method of claim 1, wherein the obtaining the target home model corresponding to the interval accumulation type structural deposit comprises:
acquiring an initial interest model corresponding to the interval accumulation type structural deposit;
converting the initial rest model, and converting the initial rest model into the sum of the bottom protection part sub-model and the initial derivative part sub-model, wherein the initial derivative part sub-model relates to a binary condition function corresponding to the hook index reference interval, and the binary condition function is used for indicating whether the Euro dollar exchange rate corresponding to the interval accumulated structural deposit falls into the hook index reference interval or not in an observation day;
converting the binary condition function in the initial derivative part sub-model into a difference between a first value corresponding to the first digital expansion option and a second value corresponding to the second digital expansion option to obtain the derivative part sub-model generated after conversion;
And adding the bottom protection part sub-model and the derivative part sub-model to obtain the target rest model.
3. The method of claim 2, wherein the transaction parameters include deposit principal, bottom-keeping rate of return, number of days of interest, renminbi Shibor rate of return, the hook index reference interval, highest rate of return, observation day, total number of days of observation day;
the market data comprises dollar exchange rate of the Euro corresponding to each observation day, risk-free interest rate of the dollar corresponding to each observation day, risk-free interest rate of the Euro corresponding to each observation day, age time of a day determined by the distance corresponding to each observation day and hidden fluctuation rate corresponding to each observation day.
4. A method according to claim 3, wherein the method of obtaining the first value and the second value comprises:
aiming at any observation day, acquiring a first value corresponding to the first digital rising option on the observation day based on the lower limit value of the hook index reference interval, the Euro dollar exchange rate, the non-risk interest rate of dollars corresponding to the observation day, the non-risk interest rate of Euro corresponding to the observation day, the distance intrinsic time of the observation day and the implicit fluctuation rate corresponding to the observation day; the method comprises the steps of,
And aiming at any observation day, determining the aging time of the day and the implicit fluctuation rate corresponding to the observation day based on the upper limit value of the hook index reference interval, the Euro exchange dollar exchange rate corresponding to the observation day, the risk-free interest rate of the Euro corresponding to the observation day, the distance corresponding to the observation day and the implicit fluctuation rate corresponding to the observation day, and acquiring the second value corresponding to the second digital expansion option on the observation day.
5. The method of claim 4, wherein inputting the interest-related parameter into the target interest model to obtain the interest data corresponding to the interval-cumulative structural deposit comprises:
inputting the deposit principal, the deposit return rate, the number of days of interest, and the Renminbi Shibor discount rate into the deposit part submodel in the target interest model to obtain deposit data corresponding to the interval accumulation type structural deposit;
inputting the deposit principal, the number of interest days, the highest income ratio, the bottom-keeping income ratio, the Renminbi Shibor discount rate, the total number of observation days, the first value corresponding to each observation day and the second value corresponding to each observation day into the derivative part sub-model in the target principal model, and obtaining derivative part data corresponding to the interval accumulated structural deposit;
And taking the sum of the bottom keeping data and the derivative part data as the corresponding rest data of the interval accumulation type structural deposit.
6. The method according to any one of claims 3-5, wherein the obtaining the target interest model corresponding to the interval accumulation type structural deposit comprises:
obtaining a mapping relation between the candidate interval accumulated structural deposit and the candidate interest model;
and inquiring the mapping relation according to the interval accumulation type structural deposit so as to determine the target interest model corresponding to the interval accumulation type structural deposit.
7. A data determining apparatus, comprising:
the receiving module is used for receiving an interest data acquisition instruction sent by the client;
the system comprises a parameter acquisition module, a control module and a control module, wherein the parameter acquisition module is used for acquiring an interest-related parameter corresponding to an interval accumulation type structural deposit, wherein the interest-related parameter comprises a transaction parameter of the interval accumulation type structural deposit and market data related to the observation date of the interval accumulation type structural deposit;
the model determining module is used for obtaining a target interest model corresponding to the interval accumulation type structural deposit, wherein the target interest model comprises a bottom protection part sub-model and a derivative part sub-model, the derivative part sub-model relates to a first digital expansion option and a second digital expansion option, the row weight of the first digital expansion option is the lower limit value of a hook index reference interval corresponding to the interval accumulation type structural deposit, and the row weight of the second digital expansion option is the upper limit value of the hook index reference interval;
The information determining module is used for inputting the information related parameters into the target information model so as to obtain information data corresponding to the interval accumulation type structural deposit;
and the sending module is used for sending the information data to the client.
8. The apparatus of claim 7, wherein the model determination module is further configured to:
acquiring an initial interest model corresponding to the interval accumulation type structural deposit;
converting the initial rest model, and converting the initial rest model into the sum of the bottom protection part sub-model and the initial derivative part sub-model, wherein the initial derivative part sub-model relates to a binary condition function corresponding to the hook index reference interval, and the binary condition function is used for indicating whether the Euro dollar exchange rate corresponding to the interval accumulated structural deposit falls into the hook index reference interval or not in an observation day;
converting the binary condition function in the initial derivative part sub-model into a difference between a first value corresponding to the first digital expansion option and a second value corresponding to the second digital expansion option to obtain the derivative part sub-model generated after conversion;
And adding the bottom protection part sub-model and the derivative part sub-model to obtain the target rest model.
9. The apparatus of claim 8, wherein the transaction parameters in the parameter acquisition module include deposit principal, bottom-keeping rate of return, number of days of interest, renminbi shiber rate of return, the hooking index reference interval, highest rate of return, observation day, total number of days of observation day; the market data comprises dollar exchange rate of the Euro corresponding to each observation day, risk-free interest rate of the dollar corresponding to each observation day, risk-free interest rate of the Euro corresponding to each observation day, age time of a day determined by the distance corresponding to each observation day and hidden fluctuation rate corresponding to each observation day.
10. The apparatus of claim 9, wherein the apparatus further comprises:
the value obtaining module is used for obtaining a first value corresponding to the first digital expansion option on any observation day based on the lower limit value of the hook index reference interval, the Euro exchange dollar rate, the risk-free interest rate of dollars corresponding to the observation day, the risk-free interest rate of Euro corresponding to the observation day, the distance corresponding to the observation day and the implicit fluctuation rate corresponding to the observation day; and for any observation day, determining the aging time of the day and the implicit fluctuation rate corresponding to the observation day based on the upper limit value of the hook index reference section, the Euro exchange dollar rate corresponding to the observation day, the risk-free interest rate of the Euro corresponding to the observation day, the distance corresponding to the observation day and the implicit fluctuation rate corresponding to the observation day, and acquiring the second value corresponding to the second digital expansion option on the observation day.
11. The apparatus of claim 10, wherein the means for determining the innovation is further configured to:
inputting the deposit principal, the deposit return rate, the number of days of interest, and the Renminbi Shibor discount rate into the deposit part submodel in the target interest model to obtain deposit data corresponding to the interval accumulation type structural deposit;
inputting the deposit principal, the number of interest days, the highest income ratio, the bottom-keeping income ratio, the Renminbi Shibor discount rate, the total number of observation days, the first value corresponding to each observation day and the second value corresponding to each observation day into the derivative part sub-model in the target principal model, and obtaining derivative part data corresponding to the interval accumulated structural deposit;
and taking the sum of the bottom keeping data and the derivative part data as the corresponding rest data of the interval accumulation type structural deposit.
12. The apparatus according to any one of claims 9-11, wherein the model determination module is further configured to:
obtaining a mapping relation between the candidate interval accumulated structural deposit and the candidate interest model;
And inquiring the mapping relation according to the interval accumulation type structural deposit so as to determine the target interest model corresponding to the interval accumulation type structural deposit.
13. An electronic device, comprising:
at least one processor; and
a memory communicatively coupled to the at least one processor; wherein,
the memory stores instructions executable by the at least one processor to enable the at least one processor to perform the method of any one of claims 1-6.
14. A non-transitory computer readable storage medium storing computer instructions for causing the computer to perform the method of any one of claims 1-6.
15. A computer program product comprising a computer program which, when executed by a processor, implements the steps of the method according to any of claims 1-6.
CN202311300440.4A 2023-10-09 2023-10-09 Data determining method and device Pending CN117495520A (en)

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