CN118052628A - Position decomposition method, device, equipment, medium and program product for option - Google Patents

Abstract

The present disclosure provides a method, apparatus, device, medium and program product for position resolution of options, which may be applied to the field of data processing. Wherein the method comprises the following steps: responding to a trading request of an option, and acquiring position data of the option when trading is carried out, wherein the position data comprises contract amount, risk index value, delta value and deadline of the option; based on the Delta value and the deadline of the option, mapping the option to trading grids through a processor, wherein grid points of each trading grid correspond to the preset Delta value and deadline; decomposing the contract amount and the risk index value of the option to each grid point of the trading grid by using a preset formula, so that each grid point has corresponding standard amount and standard risk value; and respectively counting the standard amount and the standard risk value of each grid point in response to a request for leveling the trading of the option, so as to manage position data and level the trading of the option.

Description

Position decomposition method, device, equipment, medium and program product for option

Technical Field

The present disclosure relates to the field of data processing, and in particular, to a method, apparatus, device, medium, and program product for position resolution of options.

Background

When a financial institution such as a bank performs an option exchange, management of the option exchange position is a very important ring. This is because the amount involved in the option trade is typically large and the value of the option is affected by a number of factors, such as the price of the subject asset, the price of the option, the remaining expiration time, and volatility. Thus, accurate management and monitoring of these factors is critical to the financial institution.

Currently, option model pricing is mainly adopted for foreign exchange option trading, and by using the models, a financial institution can calculate the weight estimation value of each option and further calculate the damage and benefit and each risk index value. When the option transactions are more, the risk indexes of each option transaction can be summarized in full quantity, and the risk indexes can be summarized according to the limits to guide financial institution traders to be on a flat plate in time. However, the term-based summary is not counted to an accurate term date, but the foreign exchange option market among banks commonly offers in the form of a fluctuation rate curved surface, the fluctuation rate curved surface offers are divided into two dimensions of term and execution price, and if only the position or risk index value of the term structure is used in term position management, the direct reference of flat-plate is not easy.

Disclosure of Invention

In view of the foregoing, the present disclosure provides a position resolution method, apparatus, device, medium, and program product for options.

According to a first aspect of the present disclosure, there is provided a position resolution method of option, including: responding to a trading request of an option, acquiring position data of the option when trading is carried out, wherein the position data comprises contract amount, risk index value, delta value and deadline of the option; mapping the option to trading grids by a processor based on the Delta value and the deadline of the option, wherein grid points of each trading grid correspond to preset Delta values and deadlines; decomposing the contract amount and the risk index value of the option to each grid point of a transaction grid by using a preset formula, so that each grid point has corresponding standard amount and standard risk value; and respectively counting the standard amount and the standard risk value of each grid point in response to a request for leveling the trading of the option, so as to manage position data and level the trading of the option.

According to an embodiment of the present disclosure, the mapping, by a processor, the option to a transaction grid based on the Delta value and the term of the option includes: constructing a plurality of transaction grids, wherein each transaction grid corresponds to a Delta value and a time limit of a preset range; and on the basis of the preset range of each trading grid, matching the Delta value and the deadline of the option with the trading grid through the processor, and determining the trading grid where the option is located.

According to an embodiment of the present disclosure, further comprising: calculating a Delta value of the option expansion direction; comparing the Delta value of the option expansion direction with a first Delta value, wherein the first Delta value is the Delta value of the option expansion direction in a low price state; and when the Delta value of the option expansion direction is smaller than the first Delta value, determining a trading grid where the option is located according to the Delta value of the expansion direction.

According to an embodiment of the present disclosure, further comprising: calculating the Delta value of the option falling direction; comparing the Delta value of the option falling direction with a second Delta value, wherein the second Delta value is the Delta value of the option falling direction in a low price state; and when the Delta value of the option drop direction is smaller than the second Delta value, determining a trading grid where the option is located according to the Delta value of the drop direction.

According to an embodiment of the disclosure, the decomposing the contract amount and the risk index value of the option to each grid point of the transaction grid by using a preset formula, so that each grid point has a corresponding standard amount and a standard risk value includes: setting corresponding preset formulas based on the options of different trading grids; and decomposing the contract amount and the risk index value of the option by using the preset formula, and calculating the standard amount and the standard risk value allocated to each grid point of the transaction grid.

According to an embodiment of the present disclosure, the decomposing the contract amount and the risk index value of the option using the preset formula, and calculating the standard amount and the standard risk value allocated to each grid point of the trading grid includes: the Delta value of the option is differenced with the Delta value on the grid point through the preset formula, and the ratio of the obtained differences is equal to the ratio of the standard amount distributed to each grid point; and based on the ratio of the standard amount allocated to each grid point, making the sum of the products of the standard amount and the standard risk value of each grid point equal to the product of the contract amount of the option and the risk index value through the preset formula to obtain the standard amount and the standard risk value allocated to each grid point.

According to an embodiment of the present disclosure, the decomposing the contract amount and the risk index value of the option using the preset formula, and calculating the standard amount and the standard risk value allocated to each grid point of the trading grid further includes: making a difference between the term of the option and the term on the grid point through the preset formula, and enabling the ratio between the obtained difference values to be equal to the ratio of the standard money allocated to each grid point; and based on the ratio of the standard amount allocated to each grid point, making the sum of the products of the standard amount and the standard risk value of each grid point equal to the product of the contract amount of the option and the risk index value through the preset formula to obtain the standard amount and the standard risk value allocated to each grid point.

According to an embodiment of the disclosure, in response to a request for making a flat disc for a trade of the option, respectively counting a standard amount and a standard risk value of each grid point to manage position data for the trade of the option, and the making of a flat disc includes: in response to a request for a flat plate for a trade of the option, integrating a standard monetary value and a standard risk value of each grid point into a data set, and classifying each grid point; and based on the grid points of each category, managing position data and externally leveling the trading of the option under the dimensions of the deadline and the Delta value of each grid point.

A second aspect of the present disclosure provides a position resolution apparatus for options, including: the system comprises a data acquisition module, a management module and a management module, wherein the data acquisition module is used for responding to a trading request of an option to acquire position data of the option when trading, and the position data comprises contract amount, risk index value, delta value and deadline of the option; the trading grid determining module is used for mapping the option to trading grids through a processor based on the Delta value and the deadline of the option, and grid points of the trading grids correspond to preset Delta values and deadlines; the grid point distribution module is used for decomposing the contract amount and the risk index value of the option to each grid point of the transaction grid by using a preset formula, so that each grid point has corresponding standard amount and standard risk value; and the summarizing and counting module is used for respectively counting the standard amount and the standard risk value of each grid point in response to the request of leveling the trading of the option so as to manage position data and level the trading of the option.

A third aspect of the present disclosure provides an electronic device, comprising: one or more processors; and a memory for storing one or more programs, wherein the one or more programs, when executed by the one or more processors, cause the one or more processors to perform the method described above.

A fourth aspect of the present disclosure provides a computer-readable storage medium having stored thereon executable instructions that, when executed by a processor, cause the processor to perform the above-described method.

A fifth aspect of the present disclosure also provides a computer program product comprising a computer program which, when executed by a processor, implements a method as described above.

According to the position decomposition method, the device, the equipment, the medium and the program product of the option, the position data of the option are decomposed into the two dimensions of the term and the Delta, so that the trading staff can be guided to make a flat decision conveniently. At the same time, the neutral character of Vega, vanna and Volga is maintained during the decomposition. Therefore, the problems that the option position management is not convenient enough, the efficiency is low, the direct reference of the flat disk is not easy and the like are at least partially solved.

Drawings

The foregoing and other objects, features and advantages of the disclosure will be more apparent from the following description of embodiments of the disclosure with reference to the accompanying drawings, in which:

FIG. 1 schematically illustrates an application scenario diagram of a position resolution method, apparatus, device, medium and program product of options according to an embodiment of the present disclosure;

FIG. 2 schematically illustrates a flow chart of a position resolution method of options according to an embodiment of the present disclosure;

FIG. 3 schematically illustrates a schematic diagram of a transaction grid according to an embodiment of the present disclosure;

FIG. 4 schematically illustrates a block diagram of a position resolution device of options according to an embodiment of the present disclosure; and

Fig. 5 schematically illustrates a block diagram of an electronic device adapted to implement a position resolution method of options according to an embodiment of the present disclosure.

Detailed Description

Hereinafter, embodiments of the present disclosure will be described with reference to the accompanying drawings. It should be understood that the description is only exemplary and is not intended to limit the scope of the present disclosure. In the following detailed description, for purposes of explanation, numerous specific details are set forth in order to provide a thorough understanding of the embodiments of the present disclosure. It may be evident, however, that one or more embodiments may be practiced without these specific details. In addition, in the following description, descriptions of well-known structures and techniques are omitted so as not to unnecessarily obscure the concepts of the present disclosure.

The terminology used herein is for the purpose of describing particular embodiments only and is not intended to be limiting of the disclosure. The terms "comprises," "comprising," and/or the like, as used herein, specify the presence of stated features, steps, operations, and/or components, but do not preclude the presence or addition of one or more other features, steps, operations, or components.

All terms (including technical and scientific terms) used herein have the same meaning as commonly understood by one of ordinary skill in the art unless otherwise defined. It should be noted that the terms used herein should be construed to have meanings consistent with the context of the present specification and should not be construed in an idealized or overly formal manner.

Where a convention analogous to "at least one of A, B and C, etc." is used, in general such a convention should be interpreted in accordance with the meaning of one of skill in the art having generally understood the convention (e.g., "a system having at least one of A, B and C" would include, but not be limited to, systems having a alone, B alone, C alone, a and B together, a and C together, B and C together, and/or A, B, C together, etc.).

First, technical terms described herein are explained and illustrated as follows.

Delta: sensitivity of option prices to foreign exchange price variations.

ATM: at the mole, represents a reduced option.

10D: indicating a Delta of 10%.

25D: representing Delta of 25%.

Vega: option prices increase sensitivity by 1% units to volatility.

Vanna: sensitivity of option prices to first order variations in foreign exchange prices and volatility we use the "Spot Delta" variation brought about by 1% fluctuation in volatility.

Volga: sensitivity of option price to second order fluctuation of fluctuation rate we use the "Vega" fluctuation brought about by fluctuation rate fluctuation of 1%.

Call: the direction of the option to be seen and the direction of the option to be seen are the directions of the option to be seen and the.

Put: indicating the option to be seen as falling in the rising and falling directions.

In the technical scheme of the invention, the related user information (including but not limited to user personal information, user image information, user equipment information, such as position information and the like) and data (including but not limited to data for analysis, stored data, displayed data and the like) are information and data authorized by a user or fully authorized by all parties, and the processing of the related data such as collection, storage, use, processing, transmission, provision, disclosure, application and the like are all conducted according to the related laws and regulations and standards of related countries and regions, necessary security measures are adopted, no prejudice to the public welfare is provided, and corresponding operation inlets are provided for the user to select authorization or rejection.

Fig. 1 schematically illustrates an application scenario diagram of a position resolution method, apparatus, device, medium and program product of options according to an embodiment of the present disclosure.

As shown in fig. 1, an application scenario 100 according to this embodiment may include terminal devices 101, 102, 103, a network 104, and a server 105. The network 104 is used as a medium to provide communication links between the terminal devices 101, 102, 103 and the server 105. The network 104 may include various connection types, such as wired, wireless communication links, or fiber optic cables, among others.

The user may interact with the server 105 via the network 104 using the terminal devices 101, 102, 103 to receive or send messages or the like. Various communication client applications, such as shopping class applications, web browser applications, search class applications, instant messaging tools, mailbox clients, social platform software, etc. (by way of example only) may be installed on the terminal devices 101, 102, 103.

The terminal devices 101, 102, 103 may be a variety of electronic devices having a display screen and supporting web browsing, including but not limited to smartphones, tablets, laptop and desktop computers, and the like.

The server 105 may be a server providing various services, such as a background management server (by way of example only) providing support for websites browsed by users using the terminal devices 101, 102, 103. The background management server may analyze and process the received data such as the user request, and feed back the processing result (e.g., the web page, information, or data obtained or generated according to the user request) to the terminal device.

It should be noted that, the position resolution method of options provided by the embodiments of the present disclosure may be generally performed by the server 105. Accordingly, the position resolution device of options provided by embodiments of the present disclosure may be generally disposed in the server 105. The position resolution method of options provided by embodiments of the present disclosure may also be performed by a server or cluster of servers other than server 105 and capable of communicating with terminal devices 101, 102, 103 and/or server 105. Accordingly, the position resolution apparatus of options provided by the embodiments of the present disclosure may also be provided in a server or a server cluster different from the server 105 and capable of communicating with the terminal devices 101, 102, 103 and/or the server 105.

It should be understood that the number of terminal devices, networks and servers in fig. 1 is merely illustrative. There may be any number of terminal devices, networks, and servers, as desired for implementation.

The position resolution method of options of the disclosed embodiment will be described in detail below by way of fig. 2 to 3 based on the scenario described in fig. 1.

Fig. 2 schematically illustrates a flow chart of a position resolution method of options according to an embodiment of the present disclosure.

Embodiments of the present disclosure provide a method for position resolution of options, a flowchart of which may be seen in fig. 2, specifically including operations S1-S4.

In operation S1, position data including a contract amount, a risk index value, a Delta value, and a term of the option is acquired when the option is traded in response to a trading request of the option.

In operation S2, the option is mapped to trading grids by the processor based on the Delta value and the deadline of the option, and grid points of each trading grid correspond to the preset Delta value and deadline.

In operation S3, the contract amount and the risk index value of the option are decomposed into grid points of the trading grid using a preset formula, so that the grid points have corresponding standard amount and standard risk value.

In operation S4, in response to a request for leveling the trade of the option, the standard amount and the standard risk value of each grid point are counted respectively, so as to manage position data and level the trade of the option.

In this process, the starting point for the first decomposition is to guarantee that the risk before and after decomposition is equivalent under certain constraints, where the constraints are to guarantee that Vega, vanna and Volga are neutral. First, position data of options is acquired, contract amount and deadline are used as basic transaction elements in the position data, so that the contract amount and deadline are known, and the risk index value and the Delta value need to be calculated correspondingly. The method comprises the steps of constructing a trading grid, mapping options to corresponding trading grids according to Delta values and deadlines of the options, then decomposing partial position data of the options by using a preset formula, and decomposing the partial position data to grid points, so that position management and outer flat-plate of the options are intuitively carried out under the deadlines and Delta values of the preset standard.

Because the trade of option has many, the deadline and the Delta value of each option are different, are unfavorable for directly referring to, the embodiment of the disclosure provides a position decomposing method of option, according to the two dimensions of the fluctuation rate curved surface quotation, the position of option is decomposed into the two dimensions of deadline and Delta value, wherein the deadline and Delta value are the deadline and Delta value of the preset standard, so that position management and external flat-plate of the option can be intuitively carried out, the quick flat-plate decision of a trade person is greatly facilitated, and the convenience of the position management of the option is improved. And the neutral characteristics of Vega, vanna and Volga are maintained in the decomposition process, so that the influence of fluctuation rate variation on the decomposition process is eliminated.

Further, mapping, by the processor, the option to the transaction grid based on the Delta value and the deadline for the option includes: constructing a plurality of transaction grids, wherein each transaction grid corresponds to a Delta value and a time limit of a preset range; based on the preset range of each trading grid, the Delta value and the deadline of the option are matched with the trading grid through the processor, and the trading grid where the option is located is determined.

The constructed transaction grid can be further subdivided based on Delta values and deadlines to form a multi-level transaction grid. For example, other option characteristics, such as volatility, implied volatility, etc., may be further considered based on the Delta value and the term. Meanwhile, the range of the transaction grid can be dynamically adjusted along with the change of market conditions. When the number of options or trading activity in a certain trading grid changes, the range of the grid can be timely adjusted to adapt to market dynamics.

By mapping options into the trading grid, visual analysis can be performed more intuitively, characteristics of the options can be recognized and analyzed more quickly, and the trading staff can better understand dynamic and trend of the market, so that the trading decision efficiency is improved. And by categorizing options into specific trading grids, risk may be better managed and monitored.

In an embodiment of the present disclosure, further includes: calculating a Delta value of the option expansion direction; comparing the Delta value of the option expansion direction with a first Delta value, wherein the first Delta value is the Delta value of the option expansion direction in a low price state; and when the Delta value of the option expansion direction is smaller than the first Delta value, determining a trading grid where the option is located according to the Delta value of the expansion direction. Meanwhile, calculating a Delta value of the option falling direction; comparing the Delta value of the option falling direction with a second Delta value, wherein the second Delta value is the Delta value of the option falling direction in a low price state; and when the Delta value of the option drop direction is smaller than the second Delta value, determining a trading grid where the option is located according to the Delta value of the drop direction.

Fig. 3 schematically illustrates a schematic diagram of a transaction grid according to an embodiment of the present disclosure.

As shown in FIG. 3, there are only four types of locations for any transaction in a grid of both deadlines and Delta dimensions. The Delta values for the directions of the future and the directions of the future are calculated according to the convention of quotation of the currency pair and compared with preset Delta values, which are not limited herein and may be defined as 10D Put, 25D Put, ATM, 25D Call, 10DCall, respectively representing 10% of the directions of the future Delta, 25% of the plain price (the options in the plain price state), 25% of the directions of the future Delta, and 10% of the directions of the future Delta. If on the right of ATM (CALL DELTA is less than ATM CALL DELTA), the section is determined according to CALL DELTA, and if on the left of ATM (PutDelta is less than ATM PutDelta), the section is determined according to PutDelta.

The preset deadlines include, but are not limited to, a first standard deadline and a longest standard deadline, which are not limited herein and may be defined as 1 day (1D), one month (1M), one year (1Y), and 3 years (3Y).

By comparing the Delta value of the option with a preset Delta value, the risk condition of the option can be more accurately determined. In this way, a trader or system may take different risk management policies for options of different risk levels. The layout and the method can flexibly adjust the preset Delta value according to the change of market conditions, thereby being better suitable for market dynamics.

In an embodiment of the present disclosure, decomposing, using a preset formula, the contract amount and the risk index value of the option to each grid point of the transaction grid, where each grid point has a corresponding standard amount and a standard risk value includes: setting corresponding preset formulas based on the options of different trading grids; and decomposing the contract amount and the risk index value of the option by using the preset formula, and calculating the standard amount and the standard risk value allocated to each grid point of the transaction grid.

Corresponding preset formulas are set for different trading grids and option types. And normalizing the contract amount and the risk index value of the option through the preset formulas, and decomposing to obtain the standard amount and the standard risk value of each grid point. This helps to simplify trade management, improve trade transparency and predictability, and more accurately manage options risk.

Case 1: specifically, when the term of the option exchange is earlier than the first standard term or later than the longest standard term, delta is less than 10D Put or less than 10D Call, i.e., the white areas in the four corners as in fig. 3.

Assuming that the risk index value corresponding to the unit currency 1 Amount of the foreign exchange option is Vega (x), the contract Amount is amountx (x), the standard risk value corresponding to the grid point unit currency 1 Amount of the transaction grid is Vega (x 0), the standard Amount is amountx (x 0), and the standard Amount and standard risk value allocated to the grid point x0 are calculated using the following formula:

Amount(x0)*Vega(x0)＝Amount(x)*Vega(x)

Amount(x0)-Vega(x0)＝Amount(x)*Vega(x)

Case 2: further, when the term of the option exchange is not earlier than the first standard term and not later than the longest standard term, the De1ta is not less than 10D Put and not less than 10DCall, i.e. the area of the middle light-colored shed as in fig. 3.

Assuming that the risk index value corresponding to the unit currency 1 Amount of the foreign exchange option is Vega (x), vanna (x), volga (x), the contract Amount is amountx (x), the standard risk value corresponding to the unit currency 1 Amount of the nearest four grid points is Vega(x1)、Vega(x2)、Vega(x3)、Vega(x4),Vanna(x1)、Vanna(x2)、Vanna(x3)、Vanna(x4),Volga(x1)、Volga(x2)、Volga(x3)、Volga(x4). standard amounts are amountx (x 1), amountx (x 2), amountx (x 3), amountx (x 4), the standard amounts and standard risk values allocated to grid points x1, x2, x3, x4 are calculated using the following formula:

Amount(x1)+Amount(x2)+Amount(x3)+Amount(x4)

＝Amount(x)

Amount(x1)*Vega(x1)+Amount(x2)*Vega(x2)+Amount(x3)

*Vega(x3)+Amount(x4)*Vega(x4)

＝Amount(x)*Vega(x)

Amount(x1)*Vanna(x1)+Amount(x2)*Vanna(x2)

+Amount(x3)*Vanna(x3)+Amount(x4)*Vanna(x4)

＝Amount(x)*Vanna(x)

Amount(x1)*Volga(x1)+Amount(x2)*Volga(x2)+Amount(x3)

*Volga(x3)+Amount(x4)*Volga(x4)

＝Amount(x)*Volga(x)

Further, the decomposing the contract amount and the risk index value of the option by using the preset formula, and calculating the standard amount and the standard risk value allocated to each grid point of the transaction grid includes: the Delta value of the option is differenced with the Delta value on the grid point through the preset formula, and the ratio of the obtained differences is equal to the ratio of the standard amount distributed to each grid point; and based on the ratio of the standard amount allocated to each grid point, making the sum of the products of the standard amount and the standard risk value of each grid point equal to the product of the contract amount of the option and the risk index value through the preset formula to obtain the standard amount and the standard risk value allocated to each grid point.

Case 3: specifically, when the term of the option exchange is earlier than the first standard term or later than the longest standard term, delta is not less than 10D Put and not less than 10D Call, i.e., the upper and lower gray areas in fig. 3.

Assuming that the risk index value corresponding to the unit currency 1 Amount of the foreign exchange option is Vega (x), the contract Amount is amountx (x), the standard risk values corresponding to the nearest two grid point unit currencies 1 Amount are Vega (x 1), vega (x 2), the standard amounts are amountx (x 1), amountx (x 2), the standard amounts and standard risk values assigned to grid points x1 and x2 are calculated using the following formula:

Amount(x1)*Vega(x1)+Amount(x2)*Vega(x2)

＝Amount(x)*Vega(x)

Amount(x1)*(delta(x2)-delta(x))/(delta(x2)-delta(x1))

＝Amount(x2)*(delta(x)-delta(x1))/(delta(x2)-delta(x1))

Wherein Delta (x 2) and Delta (x 1) respectively represent preset Delta values on grid points, and Delta (x) represents the Delta value of the option.

By calculating the standard amount and the standard risk value, the risk of option transaction can be controlled and managed more accurately, and the risk management capability of the system is enhanced. Meanwhile, the standard amount and the standard risk value calculated through a preset formula can be used as decision basis of an automatic transaction system. The system may automatically adjust the transaction policy or trigger corresponding transaction instructions based on these values.

Further, the decomposing the contract amount and the risk index value of the option by using the preset formula, and calculating the standard amount and the standard risk value allocated to each grid point of the transaction grid further includes: making a difference between the term of the option and the term on the grid point through the preset formula, and enabling the ratio between the obtained difference values to be equal to the ratio of the standard money allocated to each grid point; and based on the ratio of the standard amount allocated to each grid point, making the sum of the products of the standard amount and the standard risk value of each grid point equal to the product of the contract amount of the option and the risk index value through the preset formula to obtain the standard amount and the standard risk value allocated to each grid point.

Case 4: specifically, when the term of the option exchange is not earlier than the first standard term and not later than the longest standard term, delta is smaller than 10D Put or smaller than 10D Call, i.e. the left and right light-colored upper-diagonal areas as in fig. 3.

Assuming that the risk index value corresponding to the unit currency 1 Amount of the foreign exchange option is Vega (x), the contract Amount is amountx, and the standard risk values corresponding to the unit currency 1 amounts of the nearest two grid points are Vega (x 1) and Vega (x 2). The standard Amount is amountx (x 1), amountx (x 2), and the standard Amount and standard risk value assigned to grid points x1 and x2 are calculated using the following formula:

Amount(x1)*Vega(x1)+Amount(x2)*Vega(x2)

＝Amount(x)*Vega(x)

wherein, />Respectively represent preset deadlines on grid points,/>Indicating the term of the option.

Further, for a transaction that just falls on a grid, if: just the standard deadline, and at the same time just the standard Delta, then all contributions are directly made to the grid; just the standard deadline, and meanwhile Delta is smaller than 10D Put or smaller than 10D Call, the method of the case 1 is applicable; just the standard period, and meanwhile Delta is not less than 10D Put and not less than 10D Call, the method of the condition 3 is applicable; just the standard Delta, and if the time limit is earlier than the first standard time limit or later than the longest standard time limit, the method of the case 1 is applicable; just the standard Delta, with a deadline no earlier than the first standard deadline and no later than the longest standard deadline, the method of case 4 is applicable.

In an embodiment of the present disclosure, in response to a request for performing a flat disc on a trade of the option, respectively counting a standard amount and a standard risk value of each grid point, so as to perform management of position data on the trade of the option and include: in response to a request for a flat plate for a trade of the option, integrating a standard monetary value and a standard risk value of each grid point into a data set, and classifying each grid point; and based on the grid points of each category, managing position data and externally leveling the trading of the option under the dimensions of the deadline and the Delta value of each grid point.

When a request to flush the option trade is received, the system initiates a flush process to integrate the standard monetary and standard risk values for each grid point into one data set for subsequent processing and analysis. Based on the standard monetary amount and the size or characteristics of the standard risk values, the system classifies grid points, and based on each classified grid point, the system manages position data for the trading of options in terms of terms and Delta values. This includes operations such as calculating position, analyzing position risk, adjusting position, etc. And according to the disc request and the position data management result, the system can perform external disc operation on the trade of options, including executing disc-opening instructions, updating position data and the like.

By integrating the grid point data and classifying, the grid points needing flat plates can be identified and positioned more quickly, so that the flat plate flow is simplified, and the flat plate efficiency is improved. Meanwhile, through position data management under the dimensions of deadlines and Delta values, risks of option transactions can be controlled and managed more accurately, and each classified grid point can have different risk management strategies so as to adapt to different market conditions and transaction requirements. And through the operation of the outer flat disc, the system can timely release risks and adjust positions, so that the stability of the system is enhanced, and the loss caused by overlarge market fluctuation is prevented.

In the embodiment provided by the disclosure, any option exchange can be decomposed according to the grid position by a specified method, and after the grid position is decomposed to the standard deadline and the standard Delta, the trading staff can be guided to make a flat decision very conveniently. And the position decomposition of the foreign exchange option grid can keep Vega, vanna, volga neutral before and after the decomposition, so that the influence of fluctuation rate variation on the before and after the decomposition is eliminated. Meanwhile, the grid position decomposition method can be popularized and used for grid position solving of other non-foreign exchange option transactions.

Based on the position decomposing method of the option, the disclosure also provides a position decomposing device of the option. The device is described in detail below.

The apparatus 400 specifically includes: a data acquisition module 401, a transaction grid determination module 402, a grid point allocation module 403, and a summary statistics module 404.

The data obtaining module 401 is configured to obtain, in response to a trading request of an option, position data of the option when trading, where the position data includes a contract amount, a risk index value, a Delta value, and a term of the option.

The trading grid determination module 402 is configured to map, based on the Delta value and the term of the option, the option to a trading grid through a processor, where grid points of each trading grid correspond to preset Delta values and terms.

The grid point allocation module 403 is configured to decompose the contract amount and the risk index value of the option to each grid point of the trading grid by using a preset formula, so that each grid point has a corresponding standard amount and a standard risk value.

The summary statistics module 404 is configured to, in response to a request for leveling the trade of the option, respectively count a standard amount and a standard risk value of each grid point, so as to manage position data and level the trade of the option.

In an embodiment of the present disclosure, the transaction grid determination module 402 is specifically configured to: constructing a plurality of transaction grids, wherein each transaction grid corresponds to a Delta value and a time limit of a preset range; and on the basis of the preset range of each trading grid, matching the Delta value and the deadline of the option with the trading grid through the processor, and determining the trading grid where the option is located.

In embodiments of the present disclosure, the data acquisition module 401 may also be configured to: calculating a Delta value of the option expansion direction; comparing the Delta value of the option expansion direction with a first Delta value, wherein the first Delta value is the Delta value of the option expansion direction in a low price state; and when the Delta value of the option expansion direction is smaller than the first Delta value, determining a trading grid where the option is located according to the Delta value of the expansion direction.

In embodiments of the present disclosure, the data acquisition module 401 may also be configured to: calculating the Delta value of the option falling direction; comparing the Delta value of the option falling direction with a second Delta value, wherein the second Delta value is the Delta value of the option falling direction in a low price state; and when the Delta value of the option drop direction is smaller than the second Delta value, determining a trading grid where the option is located according to the Delta value of the drop direction.

In the embodiment of the present disclosure, the grid point allocation module 403 specifically is configured to: setting corresponding preset formulas based on the options of different trading grids; and decomposing the contract amount and the risk index value of the option by using the preset formula, and calculating the standard amount and the standard risk value allocated to each grid point of the transaction grid.

In embodiments of the present disclosure, grid point allocation module 403 may also be configured to: the Delta value of the option is differenced with the Delta value on the grid point through the preset formula, and the ratio of the obtained differences is equal to the ratio of the standard amount distributed to each grid point; and based on the ratio of the standard amount allocated to each grid point, making the sum of the products of the standard amount and the standard risk value of each grid point equal to the product of the contract amount of the option and the risk index value through the preset formula to obtain the standard amount and the standard risk value allocated to each grid point.

In embodiments of the present disclosure, grid point allocation module 403 may also be configured to: making a difference between the term of the option and the term on the grid point through the preset formula, and enabling the ratio between the obtained difference values to be equal to the ratio of the standard money allocated to each grid point; and based on the ratio of the standard amount allocated to each grid point, making the sum of the products of the standard amount and the standard risk value of each grid point equal to the product of the contract amount of the option and the risk index value through the preset formula to obtain the standard amount and the standard risk value allocated to each grid point.

In an embodiment of the present disclosure, the summary statistics module 404 is specifically configured to: in response to a request for a flat plate for a trade of the option, integrating a standard monetary value and a standard risk value of each grid point into a data set, and classifying each grid point; and based on the grid points of each category, managing position data and externally leveling the trading of the option under the dimensions of the deadline and the Delta value of each grid point.

Any of the data acquisition module 401, the transaction grid determination module 402, the grid point allocation module 403, and the summary statistics module 404 may be combined in one module to be implemented, or any of the modules may be split into multiple modules, according to embodiments of the present disclosure. Or at least some of the functionality of one or more of the modules may be combined with, and implemented in, at least some of the functionality of other modules. According to embodiments of the present disclosure, at least one of the data acquisition module 401, the transaction grid determination module 402, the grid point allocation module 403, and the summary statistics module 404 may be implemented at least in part as hardware circuitry, such as a Field Programmable Gate Array (FPGA), a Programmable Logic Array (PLA), a system on a chip, a system on a substrate, a system on a package, an Application Specific Integrated Circuit (ASIC), or may be implemented in hardware or firmware in any other reasonable way of integrating or packaging circuitry, or in any one of or a suitable combination of three of software, hardware, and firmware. Or at least one of the data acquisition module 401, the transaction grid determination module 402, the grid point allocation module 403 and the summary statistics module 404 may be at least partially implemented as computer program modules which, when run, may perform the respective functions.

According to the embodiment of the disclosure, an electronic device suitable for realizing the position decomposition method of the option is also provided.

As shown in fig. 5, an electronic device 500 according to an embodiment of the present disclosure includes a processor 501 that can perform various appropriate actions and processes according to a program stored in a Read Only Memory (ROM) 502 or a program loaded from a storage section 508 into a Random Access Memory (RAM) 503. The processor 501 may include, for example, a general purpose microprocessor (e.g., a CPU), an instruction set processor and/or an associated chipset and/or a special purpose microprocessor (e.g., an Application Specific Integrated Circuit (ASIC)), or the like. The processor 501 may also include on-board memory for caching purposes. The processor 501 may comprise a single processing unit or a plurality of processing units for performing different actions of the method flows according to embodiments of the disclosure.

In the RAM 503, various programs and data required for the operation of the electronic apparatus 500 are stored. The processor 50l, the ROM 502, and the RAM 503 are connected to each other via a bus 504. The processor 501 performs various operations of the method flow according to the embodiments of the present disclosure by executing programs in the ROM 502 and/or the RAM 503. Note that the program may be stored in one or more memories other than the ROM 502 and the RAM 503. The processor 501 may also perform various operations of the method flow according to embodiments of the present disclosure by executing programs stored in one or more memories.

According to an embodiment of the present disclosure, the electronic device 500 may also include an input/output (I/O) interface 505, the input/output (I/O) interface 505 also being connected to the bus 504. The electronic device 500 may also include one or more of the following components connected to the I/O interface 505: an input section 506 including a keyboard, a mouse, and the like; an output portion 507 including a Cathode Ray Tube (CRT), a Liquid Crystal Display (LCD), and the like, and a speaker, and the like; a storage portion 508 including a hard disk and the like; and a communication section 509 including a network interface card such as a LAN card, a modem, or the like. The communication section 509 performs communication processing via a network such as the internet. The drive 510 is also connected to the I/O interface 505 as needed. A removable medium 511 such as a magnetic disk, an optical disk, a magneto-optical disk, a semiconductor memory, or the like is mounted on the drive 510 as needed so that a computer program read therefrom is mounted into the storage section 508 as needed.

The present disclosure also provides a computer-readable storage medium that may be embodied in the apparatus/device/system described in the above embodiments; or may exist alone without being assembled into the apparatus/device/system. The computer-readable storage medium carries one or more programs which, when executed, implement methods in accordance with embodiments of the present disclosure.

According to embodiments of the present disclosure, the computer-readable storage medium may be a non-volatile computer-readable storage medium, which may include, for example, but is not limited to: a portable computer diskette, a hard disk, a Random Access Memory (RAM), a read-only memory (ROM), an erasable programmable read-only memory (EPROM or flash memory), a portable compact disc read-only memory (CD-ROM), an optical storage device, a magnetic storage device, or any suitable combination of the foregoing. In the context of this disclosure, a computer-readable storage medium may be any tangible medium that can contain, or store a program for use by or in connection with an instruction execution system, apparatus, or device. For example, according to embodiments of the present disclosure, the computer-readable storage medium may include ROM 502 and/or RAM 503 and/or one or more memories of ROM 502 and RAM 503 described above.

Embodiments of the present invention also include a computer program product comprising a computer program containing program code for performing the method shown in the flowcharts. The program code means for causing a computer system to carry out the methods provided by embodiments of the present invention when the computer program product is run on the computer system.

The above-described functions defined in the system/apparatus of the embodiment of the present invention are performed when the computer program is executed by the processor 501. The systems, apparatus, modules, units, etc. described above may be implemented by computer program modules according to embodiments of the invention.

In one embodiment, the computer program may be based on a tangible storage medium such as an optical storage device, a magnetic storage device, or the like. In another embodiment, the computer program may also be transmitted, distributed, and downloaded and installed in the form of a signal on a network medium, and/or installed from a removable medium 511 via the communication portion 509. The computer program may include program code that may be transmitted using any appropriate network medium, including but not limited to: wireless, wired, etc., or any suitable combination of the foregoing.

In such an embodiment, the computer program may be downloaded and installed from a network via the communication portion 509, and/or installed from the removable media 511. The above-described functions defined in the system of the embodiment of the present invention are performed when the computer program is executed by the processor 501. The systems, devices, apparatus, modules, units, etc. described above may be implemented by computer program modules according to embodiments of the invention.

According to embodiments of the present disclosure, program code for performing computer programs provided by embodiments of the present disclosure may be written in any combination of one or more programming languages, and in particular, such computer programs may be implemented in high-level procedural and/or object-oriented programming languages, and/or assembly/machine languages. Programming languages include, but are not limited to, such as Java, c++, python, "C" or similar programming languages. The program code may execute entirely on the user's computing device, partly on the user's device, partly on a remote computing device, or entirely on the remote computing device or server. In the case of remote computing devices, the remote computing device may be connected to the user computing device through any kind of network, including a Local Area Network (LAN) or a Wide Area Network (WAN), or may be connected to an external computing device (e.g., connected via the Internet using an Internet service provider).

The flowcharts and block diagrams in the figures illustrate the architecture, functionality, and operation of possible implementations of systems, methods and computer program products according to various embodiments of the present disclosure. In this regard, each block in the flowchart or block diagrams may represent a module, segment, or portion of code, which comprises one or more executable instructions for implementing the specified logical function(s). It should also be noted that, in some alternative implementations, the functions noted in the block may occur out of the order noted in the figures. For example, two blocks shown in succession may, in fact, be executed substantially concurrently, or the blocks may sometimes be executed in the reverse order, depending upon the functionality involved. It will also be noted that each block of the block diagrams or flowchart illustration, and combinations of blocks in the block diagrams or flowchart illustration, can be implemented by special purpose hardware-based systems which perform the specified functions or acts, or combinations of special purpose hardware and computer instructions.

Those skilled in the art will appreciate that the features recited in the various embodiments of the disclosure and/or in the claims may be provided in a variety of combinations and/or combinations, even if such combinations or combinations are not explicitly recited in the disclosure. In particular, the features recited in the various embodiments of the present disclosure and/or the claims may be variously combined and/or combined without departing from the spirit and teachings of the present disclosure. All such combinations and/or combinations fall within the scope of the present disclosure.

The embodiments of the present disclosure are described above. These examples are for illustrative purposes only and are not intended to limit the scope of the present disclosure. Although the embodiments are described above separately, this does not mean that the measures in the embodiments cannot be used advantageously in combination. The scope of the disclosure is defined by the appended claims and equivalents thereof. Various alternatives and modifications can be made by those skilled in the art without departing from the scope of the disclosure, and such alternatives and modifications are intended to fall within the scope of the disclosure.

Claims (12)

1. A method for position resolution of options, comprising:

Responding to a trading request of an option, acquiring position data of the option when trading is carried out, wherein the position data comprises contract amount, risk index value, delta value and deadline of the option;

Mapping the option to trading grids by a processor based on the Delta value and the deadline of the option, wherein grid points of each trading grid correspond to preset Delta values and deadlines;

Decomposing the contract amount and the risk index value of the option to each grid point of a transaction grid by using a preset formula, so that each grid point has corresponding standard amount and standard risk value;

And respectively counting the standard amount and the standard risk value of each grid point in response to a request for leveling the trading of the option, so as to manage position data and level the trading of the option.

2. The method of position resolution of options according to claim 1, wherein the mapping, by a processor, the options to a transaction grid based on Delta values and deadlines for the options comprises:

Constructing a plurality of transaction grids, wherein each transaction grid corresponds to a Delta value and a time limit of a preset range;

And on the basis of the preset range of each trading grid, matching the Delta value and the deadline of the option with the trading grid through the processor, and determining the trading grid where the option is located.

3. The option position resolution method of claim 1, further comprising:

Calculating a Delta value of the option expansion direction;

Comparing the Delta value of the option expansion direction with a first Delta value, wherein the first Delta value is the Delta value of the option expansion direction in a low price state;

and when the Delta value of the option expansion direction is smaller than the first Delta value, determining a trading grid where the option is located according to the Delta value of the expansion direction.

4. The option position resolution method of claim 1, further comprising:

calculating the Delta value of the option falling direction;

Comparing the Delta value of the option falling direction with a second Delta value, wherein the second Delta value is the Delta value of the option falling direction in a low price state;

and when the Delta value of the option drop direction is smaller than the second Delta value, determining a trading grid where the option is located according to the Delta value of the drop direction.

5. The method of claim 1, wherein decomposing the contract amount and risk index value of the option to each grid point of the trading grid using a predetermined formula so that each grid point has a corresponding standard amount and standard risk value comprises:

setting corresponding preset formulas based on the options of different trading grids;

and decomposing the contract amount and the risk index value of the option by using the preset formula, and calculating the standard amount and the standard risk value allocated to each grid point of the transaction grid.

6. The position resolution method of option according to claim 5, wherein the decomposing the contract amount and risk index value of the option using the preset formula, calculating the standard amount and standard risk value assigned to each grid point of the trading grid includes:

the Delta value of the option is differenced with the Delta value on the grid point through the preset formula, and the ratio of the obtained differences is equal to the ratio of the standard amount distributed to each grid point;

And based on the ratio of the standard amount allocated to each grid point, making the sum of the products of the standard amount and the standard risk value of each grid point equal to the product of the contract amount of the option and the risk index value through the preset formula to obtain the standard amount and the standard risk value allocated to each grid point.

7. The position resolution method of option according to claim 5, wherein the decomposing the contract amount and risk index value of the option using the preset formula, calculating the standard amount and standard risk value assigned to each grid point of the trading grid further comprises:

Making a difference between the term of the option and the term on the grid point through the preset formula, and enabling the ratio between the obtained difference values to be equal to the ratio of the standard money allocated to each grid point;

And based on the ratio of the standard amount allocated to each grid point, making the sum of the products of the standard amount and the standard risk value of each grid point equal to the product of the contract amount of the option and the risk index value through the preset formula to obtain the standard amount and the standard risk value allocated to each grid point.

8. The method for position resolution of option according to claim 1, wherein the counting the standard amount and standard risk value of each grid point in response to the request for the trading of option to make a flat plate, respectively, to manage position data of the trading of option and to make a flat plate comprises:

in response to a request for a flat plate for a trade of the option, integrating a standard monetary value and a standard risk value of each grid point into a data set, and classifying each grid point;

And based on the grid points of each category, managing position data and externally leveling the trading of the option under the dimensions of the deadline and the Delta value of each grid point.

9. An option position resolution device, comprising:

The system comprises a data acquisition module, a management module and a management module, wherein the data acquisition module is used for responding to a trading request of an option to acquire position data of the option when trading, and the position data comprises contract amount, risk index value, delta value and deadline of the option;

the trading grid determining module is used for mapping the option to trading grids through a processor based on the Delta value and the deadline of the option, and grid points of the trading grids correspond to preset Delta values and deadlines;

The grid point distribution module is used for decomposing the contract amount and the risk index value of the option to each grid point of the transaction grid by using a preset formula, so that each grid point has corresponding standard amount and standard risk value;

and the summarizing and counting module is used for respectively counting the standard amount and the standard risk value of each grid point in response to the request of leveling the trading of the option so as to manage position data and level the trading of the option.

10. An electronic device, comprising:

one or more processors;

Storage means for storing one or more programs,

Wherein the one or more programs, when executed by the one or more processors, cause the one or more processors to perform the method of any of claims 1-8.

11. A computer readable storage medium having stored thereon executable instructions which, when executed by a processor, cause the processor to perform the method according to any of claims 1-8.

12. A computer program product comprising a computer program which, when executed by a processor, implements the method according to any one of claims 1 to 8.