GB2434232A

GB2434232A - Foreign exchange unit transaction system

Info

Publication number: GB2434232A
Application number: GB0700829A
Authority: GB
Inventors: Yoshio Hariu
Original assignee: ADVANTEX CO Ltd
Current assignee: ADVANTEX CO Ltd
Priority date: 2006-01-16
Filing date: 2007-01-16
Publication date: 2007-07-18
Also published as: GB0700829D0; JP2007188368A

Abstract

A foreign exchange unit transaction system includes a foreign exchange transaction support server (99) comprising a margin transaction processing means 10 for supporting a foreign exchange margin transaction; an option transaction processing means 20 for supporting an option transaction; a hedge option proposition means 30 for proposing and displaying positions (op) as candidates for the option transaction for hedging against a risk associated with a position (fx) of the margin transaction; and a unit creating means 40 for creating a unit by combining the position (op) selected from among the candidates by a customer 2 with the position (fx) and for entrusting the undertaker 3 with the unit. The unit creating means 40 displays, to the customer 2, a combination that minimizes a delta margin, which is a loss due to a difference between a contract price of the position (fx) and a strike price of the position (op).

Description

FOREIGN EXCHANGE UNIT TRANSACTION SYSTEM, METHOD FOR PROCESSING THE

SAME, PROGRAM AND MEDIUM STORING PROGRAM The present invention relates to a foreign exchange transaction system utilizing a computer connected to the Internet, and especially to a system supporting a combined transaction of a margin transaction with an option transaction, a method for processing the same, a program regarding the processing method and a medium storing a program therein to be executed by a computer.

As a form of a foreign exchange transaction, there can be mentioned a margin transaction (hereinafter, also referred to as FXtransaction" or "FX") andan option transaction (hereinafter, also referred to as "OP transaction" or OP"). The FX transaction" means a transaction in which: a customer deposits approximately 5 -10 % of a margin relative to a total transaction value, with an undertaker in advance as security; foreign currencies, such as U.S. dollar, euro and pound sterling, are traded; and when a reversing trade (hereinafter, referred to as "closing out"), which is a reverse of a preceding trade, is made, the customer settles the trade by transferring a loss or a gain as a result of the trade.

In the FX transaction, when a new order is placed, a customer takes economic risks due to changes in a foreign currency price, 25. until the order is closed out This condition of economic risks to which the customer is exposed is called "position" (hereinafter also frequently referred to as "open position').

The open position includes a long position and a short position.

The long position is a state in which a customer is buying a foreign currency; while the short position is a state in which a customer is selling a foreign currency. In the case of the long position, if a customer settles a trade with selling when the selling price of a foreign currency is higher than the buying price, the customer makes a profit; to the contrary, if a customer settles a trade with selling when the selling price of a foreign currency is lower than the buying price, the customer suffers a loss. In other words, the short position is a concept opposite to the long position.

If the market did not develop as the customer expected, the customer is required to deposit an additional margin with the undertaker for retaining the open position. In order to prevent the customer from suffering a loss caused by such an additional margin, there was developed a technique of preventing a generation of an additional margin (see, for example, Japanese patent unexamined laid-open specification Kokai No. 2003-58712 (paragraphs 0006 -0020 and FIG. 1)).

On the other hand, the "OP transaction' means a transaction in which a customer obtains a right to sell or buy a foreign currency at a specific price in a specific amount in a specific time period, by paying an undertaker what is called a "premium".

The right to sell is designated as "put option" (hereinafter, referred to as "put") and the right to buy is designated as "call option" (hereinafter, referred to as "call"). In general, "call" means a right to buy a first currency, such as dollar, and "put" means a right to sell the first currency.

The above-mentioned patent document discloses a financial transaction processing device, a processing method, and a program realizing the method. The device contains an option setting reception part, an option-exercise-price calculating part and an option setting part, connected with customers through a network, and has a function of processing a combined transaction of an FX transaction with an op transaction, by performing the following steps (1) -(4).

(1) To the financial transaction processing device, the customer sends option data including a maximum price or a lower limit price (floor price) of a foreign currency price, regarding a position of the FX transaction (hereinafter, also referred to as "FX position" or "position (fx)"); (2) The option-exercise-price calculating part calculates a lower limit price or a maximum price that satisfies predetermined conditions; (3) The option-exercise-price calculating part combines a call having the maximum price as an exercise price and a put having the lower limit price as an exercise price; (4) The option setting part sets an option position (hereiziafeer, also referred to as "OP position', "position (op)") having the exercise price calculated by the option-exercise-price calculating part, based on OP transaction conditions suitable for making a combination with the position (fx).

Specifically, the financial transaction processing device that processes the FX transaction includes: an option-exercise-price calculation means for calculating the exercise price of the option that satisfies the predetermined conditions regarding the FX position; an option setting means for setting the option having the exercise price associated with the FX position; an option exercise/waiver determination means for determining whether exercising the option to settle the FX position or waiving the option or an expiration date of the option, based on the exercise price and a current market price; and an option exercise/waiver executing means for processing the option and the FX position based on the determination by the option exercise/waiver determination means.

Accordingly, the option is set associated with the FX position, and when an expiration date of the option (hereinafter, also referred to as "appointed day" or "contract month") comes, the option (hereinafter, may frequently be referred to as "exercise") is automatically exercised based on the current market price and the exercise price, to thereby settle the FX position. Therefore, for example, if the market does not develop as the customer expected, the financial transaction processing device automatically exercises the option to settle the FX position, and therefore a loss can be suppressed.

In the above-mentioned financial transaction processing method in which the FX transaction is processed, the computer -5-.

calculates the exercise price of the option that satisfies the predetermined conditions regarding the FX position; a computer contracts the option having the exercise price associated with the FX position; the computer determines whether to close the FX position by exercising the option or to waive the option on the appointed day, based on the exercise price and the current market price; and the computer processes the option and the FX position based on the determination.

Accordingly, even if a price of a foreign currency did not develop as the customer expected, an additional margin required for retaining the position of the customer becomes unnecessary, and a loss to which the customer is exposed can be suppressed.

However, the disclosed technique concerns prevention of generation of an additional margin with respect to the FX transaction in the financial transaction, but does not eliminate the margin from the beginning to the end of the transaction.

In addition, a function of displaying market data in real-time on an information terminal for supporting a customer's decision is not satisfactory, and likewise, a function of efficiently making a trading instruction by the customer entrusted to the undertaker is not satisfactory. To sum up, there has to be a room for improvement for convenience of the foreign exchange transaction.

Therefore in the foreign exchange margin transaction, it would be desirable to provide a technique for performing a unit transaction, which is a combined transaction of a margin transaction with an option transaction, without a margin from the beginning to the end of the trading, wherein efficiencies have been enhanced in displaying, on an information terminal, data in real-time supporting the customer's decision, and in entrusting a trading instruction of the customer to the undertaker from the information terminal.

In an aspect of the present invention, there is provided a foreign exchange unit transaction system for supporting a unit transaction as a combined transaction of a margin transaction with an option transaction implemented by an undertaker entrusted with a foreign exchange transaction by a customer through information-communication using the Internet, the system including a foreign exchange transaction support server as a core of the system, which comprises: a margin transaction processing means for supporting the margin transaction in which an over-the--counter transaction is performed by depositing a margin as security, an option transaction processing means for supporting the option transaction in which a trading is made on a right to buy/sell an asset before an expiration date at a strike price designated in advance, a hedge option proposition means for proposing and displaying, to the customer, a plurality of positions (op) as hedge option candidate for the option transaction for hedging against a risk associated with a position (fx) of the margin transaction; and a unit creating means for creating a unit by combining the position (op) selected from among the hedge option candidates by the customer with the position (fx) of the margin transaction and for entrusting the undertaker with the unit, characterized in that the unit creating means displays, to the customer, at least a combination of the position (fx) and the position (op) that minimizes a delta margin, which is a loss due to a difference between a contract price of the position (fx) of the margin transaction and a strike price of the position (op).

According to the first aspect of the invention, the foreign exchange unit transaction system including the foreign exchange transaction support server as a core of the system used by an undertaker entrusted with a foreign exchange transaction is configured for being entrusted with the foreign exchange transaction while implementing information-communication with an information terminal of a customer (hereinafter, simply referred to as customer") through the Internet.

Herein, the term "unit transaction" means a combined transaction of a margin transaction with an option transaction in a foreign exchange transaction.

The foreign exchange transaction support server includes computer programs (hereinafter, simply referred to as "programs") required for supporting the unit transaction, and by executing the programs, the foreign exchange transaction is supported.

The foreign exchange transaction support server is a computer device that is connected to the Internet and can implement information-communication, and includes a margin transaction processing means, an option transaction processing means, a hedge option proposition means and a unit creating means, operable by execution of various programs.

The margin transaction processing means supports the foreign exchange margin transaction in which a negotiated (over-the-counter) transaction is performed by depositing a margin as security. Specifically, after confirming a decision of the customer through external/internal hardware of the foreign exchange transaction support server, the decision is feasibly subjected to information processing, stored, and displayed in such a manner that the decision is easily confirmed.

The option transaction processing means supports the option transaction in which a trading is made on to a right to buy/sell an asset before an expiration date at a strike price designated in advance. Likewise, through the above-mentioned hardware, the decision of the customer is feasibly subjected to information processing, stored, and displayed in such a manner that the decision is easily confirmed.

The hedge option proposition means proposes and displays hedge option candidates to the customer, in order to implement the option transaction that can hedge against a risk associated with the position (fx) of the margin transaction. As the hedge option candidate, a plurality of positions Cop) as candidate are created based on a calculation that minimizes the loss of the customer, and listed in such a manner that the customer can arbitrarily choose a candidate.

Upon creating a unit, the unit creating means displays combinations of the margin transaction and the opt ion transaction in the foreign exchange transaction, in such a manner that the customer can easily select a combination that minimizes a delta margin, which is a loss due to a difference between a contract price of the position (fx) of the margin transaction and a strike price of the position (op).

When the delta margin, which is a loss due to a difference between a contract price of the position Cf x) of the margin transaction and a strike price of the position Cop), is minimized, hedge against a risk becomes completely effective.

The option Cop) selected from hedge option candidates by the customer is combined with a position (fx) as a unit by the unit creating means, and the undertaker is entrusted with the foreign exchange transaction by this unit.

Even in a case where the position (fx) contained in the unit created in such a manner generates a loss against the expectation of the customer, a profit that can balance the loss of the margin transaction is produced, if the customer exercises the position Cop) contained in the unit before the appointed day.

Specifically, when a unit is created by combining a position (op) with a position (fx) in such a manner that a delta margin, which is a loss due to a difference between a contract price of the position (fx) and a strike price of the position (op), approaches zero as close as possible, risk hedge effect is securely obtained. Therefore, an additional margin becomes -10 -unnecessary which is usually required in a case where the margin transaction market did not follow the expectation. Moreover, the margin itself becomes unnecessary from the beginning to the end of the margin transaction.

In other words, even when the position (fx) did not follow the expectation of the customer, a complete hedge against a risk is surely obtained by the position (op), which supports the customer to invest without risks regardless of smaller owned fund, poor knowledge and experience, error in judgment.

In another aspect of the present invention, there is provided a foreign exchange unit transaction method for supporting, using a computer, a unit transaction as a combined transaction of a margin transaction with an option transaction implemented by an undertaker entrusted with a foreign exchange transaction by a customer through information-communication using the Internet, comprising: a hedge option proposition process for proposing and displaying, to the customer, positions Cop) as hedge option candidate for the option transaction for hedging against a risk associated with a position (fx) of the margin transaction; an option transaction process for supporting the option transaction in which a trading is maIe on a right to buy/sell an asset before an expiration date at a strike price designated in advance; a delta margin minimization process for displaying, to the customer, at least a combination of the position (fx) and the position (op) that minimizes a delta margin, which is a loss due to a difference between a contract price of -13. -the position (fx) of the margin transaction and a strike price of the position Cop); a margin transaction process for supporting the margin transaction in which an over-the-counter transaction is performed by deposition of a margin as security; and a unit creating process for creating a unit by combining the position (op) selected from among the hedge option candidates by the customer with the position (fx) of the margin transaction and for entrusting the undertaker with the unit.

According to the second aspect of the present invention, there is provided the same effect as that of the first aspect of the invention.

In still another aspect of the present invention, there is provided a computer program used for a unit transaction as a combined transaction of a margin transaction with an option transaction implemented by an undertaker entrusted with a foreign exchange transaction by a customer through information-communication using the Internet, the program being executable by a computer for performing processes comprising: a hedge option proposition process for proposing and displaying, to the customer, positions as hedge option candidate for the option transaction for hedging against a risk associated with a position (fx) of the margin transaction; an option transaction process for supporting the option transaction in which a trading is made on a right to buy/sell an asset before an expiration date at a strike price designated in advance; a delta margin minimization process for displaying, to the customer, at least -12 -a combination of the position (fx) and the position (op) that minimizes a delta margin, which is a loss due to a difference between a contract price of the position Cf x) of the margin transaction and a strike price of the position (op); a margin transaction process for supporting the margin transaction in which an over-the-counter transaction is performed by deposition of a margin as security; and a unit creating process for creating a unit by combining the position (op) selected from among the hedge option candidates by the customer with the position (fx) of the margin transaction and for entrusting the undertaker with the unit.

According to the third aspect of the present invention, there is provided the same effect as that of the first and the second aspects of the present invention.

In yet another aspect of the present invention, there is provided a computer-readable medium having the program according to the above, which is executable by a computer.

According to the fourth aspect of t]e present invention, there is provided the same effect as that of the first, second and third aspects of the present invention.

According to the present invention, low-risk-high-return can be realized with an efficient combination of a margin transaction, which is fundamentally high-risk, with an option transaction. In addition, the margin becomes unnecessary from the beginning to the end of the margin transaction. Moreover, it becomes possible to efficiently display, on the information -1.3 -terminal, real-time data supporting a decision of the customer; to efficiently reflect the decision of the customer from the information terminal on the foreign exchange transaction to entrust the trading instruction to the undertaker; and to improve convenience of the foreign exchange transaction.

The various aspects, other advantages and further features of the present invention will become more apparent by describing in detail illustrative, non-limiting embodiments thereof with reference to the accompanying drawings.

FIG. 1 is a configuration diagram of the present system.

FIG. 2 is a flow chart showing a UN transaction method.

FIG. 3 is a flow chart showing one example of a UN transaction.

FIG. 4 is an explanatory diagram of a delta margin minimization process.

FIG. 5 shows a hedge option proposition screen.

FIG. 6 shows an OP order screen including open position list.

FIG. 7 shows an OP order screen of another format.

FIG. 8 shows an FX order screen including open position list.

FIG. 9 shows an FX order screen of another format.

Embodiments of the present invention will be described in detail below with reference to the drawings. It should not be construed that the present invention is limited to these embodiments. In the specification, the term means" explained with respect to a computer specifically denotes, for example, a -14 -unit or module that executes a certain function. A language used for displaying on screens is not limited to the English language as in the embodiments, and any language can be used.

FIG. 1 is a configuration diagram of a unit transaction system (hereinafter, also referred to as present system") 100.

The unit transaction (UN transaction) means a combined transaction of a margin transaction (FX transaction) with an option transaction (OP transaction) in foreign exchange.

As shown in FIG. 1, the present system 100 has, as a core, a foreign exchange transaction support server 99 which makes it possible for an undertaker 3 who is "entrusted with a foreign exchange transaction" (hereinafter, simply referred to as "trading") to implement information communication with an information terminal of a customer 2 through the Internet 1, and the UN transaction can be conducted without humans in attendance.

The undertaker 3 mediates an order entrusted by the customer 2 to a foreign exchange market 5, such as an interbank market, through an exclusive online connection 4. In the foreign exchange market 5, no exchange (e.g. stock exchange and commodities exchange) is present, and a transaction (e.g. such as a spot exchange rate transaction) is made as an over-the-counter transaction between banks, within a credit line allowed to each bank.

An external information vendor 6 provides the present system 100 with information regarding rate (price) of foreign currency and information required for calculating premium (option price).

-15 -An external transaction system 200 communicating with the present system 100 is a similar system by other companies in the same trade conducting a foreign exchange transaction, and it may serve as a trading partner of the present system 100 for an order from the customer 2.

It should be noted that a premium (see a premium display part in FIG. 5) is dealt with when an over-the-counter transaction is made with the customer 2, but a pricing of the premium is not directly formed in the market, and each foreign exchange io transaction trader including the undertaker 3 individually calculates the price. A basis of the calculation is mathematically elucidated, as in a famous Black-Scholes model.

The price is determined based on various factors affecting one another, including a market value, a strike price f, a remaining date before an expiration date (time value), a volatility rate and a short- term interest rate of a target brand, and the price of the premium fluctuates like a market price.

Premium = intrinsic value + time value Intrinsic value = market value -strike price 3 Time value = value generated from expectation for gaining intrinsic value associated with remaining date before an expiration date However in practice, it would be enough for the customer 2 to view a premium price on a web page through the Internet 1.

Alternatively, as will be described later with reference to FIG. 5, a price for each option is displayed on a premium display part of a hedge option proposition screen 50 in the present system 100, thereby reducing the customer 2's effort for obtaining a price for each option.

The foreign exchange transaction support server 99 is equipped with external/internal hardware, such as an input 91, a processor 92, a memory 93, and a display 94, and has programs required for supporting the UN transaction. By executing those programs, a margin transaction processing means 10, an option transaction processing means 20, a hedge option proposition means 30 and a unit creating means 40 are operated. The foreign exchange transaction support server 99 is configured to support a decision of the customer 2 who transacts foreign exchange and to mediate an order to the foreign exchange market 5.

The margin transaction processing means 10 supports the FX transaction in which the over-the-counter transaction is performed by depositing a margin as security with the undertaker 3, if necessary. To that end, through external/internal hardware of the foreign exchange transaction support server 99, the margin transaction processing means 10 confirms an order of the customer 2, and subjects the order to information processing to thereby convert the order into executable information, stores and displays the information in a manner to facilitate confirmation by parties concerned including the customer 2.

The option transaction processing means 20 supports an OP transaction of position (op) (see FIGs. 5, 7 and 9), which is a right to buy/sell asset to be transacted by an expiration date -17 -at a strike price designated in advance. Likewise, through the above-mentioned external/internal hardware, the option transactionprocessingmeans 20 subjects an order of the customer 2 to information processing to thereby convert the order into executable information, stores and displays the information in a manner to facilitate confirmation.

The hedge option proposition means 30 proposes hedge option candidates (HO) to the customer 2 and displays in such a manner that the customer 2 can arbitrarily choose a candidate (see FIG. 5), in order to implement option transaction that can hedge against a risk associated with the position (fx) (see FIGs. 4, 8 and 9). The hedge option candidates (HO) are created by the hedge option proposition means 30 based on a calculation that minimizes the loss of the customer 2, and listed in such a manner that the customer 2 can arbitrarily choose a candidate. The calculation will be explained below with reference to FIG. 4.

Upon creating a unit (un), the unit creating means 40 displays combinations of the FX transaction and the OP transaction in the foreign exchange transaction, in such a manner that the customer 2 can easily select a combination that zeros or minimizes a delta margin 6, which is a loss due to a difference between a contract price a of the position (fx) and a strike price f of the position (op). The delta margin 6 is a loss due to a difference between a contract price a of the position (fx) and a strike price of the position (op), and by zeroing or minimizing this margin, an effect of hedging against a risk can be maximized.

-18 -Specifically, as will be explained below with reference to FIGs. 5 -8, if a delta margin ö is generated upon obtaining a unit fun) by the customer 2, a contract price a of the position (fx) and a strike price of the option are displayed on the screen so that the customer 2 can easily do mental arithmetic. The screen is configured in such a manner that the customer 2 can select a combination that zeros or minimizes the delta margin by pointing the cursor and clicking on the selected combination to create a unit fun).

The unit creating means 40 creates a unit fun) by combining a position (op) selected from hedge option candidates (HO) by the customer 2 with a position (fx). It should be noted that the customer 2 can manually set a unit fun) that does not minimize the delta margin 6. For example, the customer 2 may manually set a unit fun), when he or she thinks it is advantageous if the premium price becomes low, even though hedge against a risk may not become complete.

The unit (un) created as such (see FIG. 4) may be manually set by the customer 2, or automatically or semi-automatically set by an arithmetic processing by the unit creating means 40. With this unit (un), the undertaker 3 is entrusted to the foreign exchange transaction by the customer 2. It should be noted. that the undertaker 3 may also transact exclusively with the foreign exchange market 5 through the exclusive online connection 4, for the purpose of securing the asset of the undertaker 3, if necessary.

In a case where the position (fx) contained in the unit fun) generates a loss against the expectation of the customer 2, if the customer 2 exercises the position Cop) contained in the unit fun), a profit that can balance the loss of the FX transaction is produced. Consequently, an amount of the initial investment totheposition (fx) contained in theunitfun), inotherwords, the loss as a unit (Un) initially expected is determined.

The position (op) is covered by a fund for purchasing a premium which is 1 -2 % of the exercise price (see the premium display part 55 in FIG. 5). Moreover, when the position (op) is seen as a single option, a profit is infinite, and a risk occurred when the market regarding position (op) shifts in an opposite direction to what was expected is suppressed within the premium price paid, and an additional margin becomes completely unnecessary.

As described above, the position (fx) and the position (op) are in a relationship that can secure a hedging effect against a risk and provide a profit which is more than an amount required for compensating a loss, if any. Therefore, not only an additional margin, but also a margin from the beginning to the end of the FX transaction, becomes unnecessary.. In other words, even when the position (fx) did not follow the expectation of the customer 2, a complete hedge against a risk is surely obtained by the position fop), which supports the customer 2 to invest without risks regardless of smaller owned fund, poor knowledge and experience, error in judgment.

-20 -In the OP transaction, there are two rules regarding when to exercise the option: "American type" and "European type". In the "European type", the day on which the option can be exercised is limited to the last session of a month (appointed day), and thus a profit and a loss cannot be determined unless the appointed day comes. On the other hand, in the "American type", the option can be exercised at anytime by the appointed day.

FIG. 2 is a flow chart showing a UN transaction method for supporting the UN transaction of the customer 2, including a hedge option proposition process (Si), an option transaction process (S2), a delta margin minimization process (S3), a margin transaction process (S4) and a unit creating process (S5), which are executed by the foreign exchange transaction support server 99.

In the hedge option proposition process (Si), hedge option candidates (HO) are proposed and displayed to the customer 2, for the option transaction for hedging against a risk associated with a position (fx) (see FIG. 5).

In the option transaction process (S2), from among the hedge option candidates (HO) proposed and displayed by the foreign exchange transaction support server 99 in the hedge option proposition process (Si), the customer 2 makes a selection, and the undertaker 3 is entrusted with the order for the OP transaction. Regarding the order, processing is made in order to transact from the undertaker 3 to the foreign exchange market or other trading partner.

-21 -As for an asset to be transacted in the option transaction process (S2), for example, in a case of the option in which a currency pair is dollar/yen, ncallw means a right to purchase the dollar for the yen, and "put" means a right to sell the dollar for the yen, since the dollar is a first currency.

The position (op) contained in the unit (un) (see FIG. 4) proposed by the present system 100 to the customer 2 (see FIG. 5) is required for hedging against a risk associated with the position (fx) upon newly executing an FX transaction with a long io or short position by the customer 2. In order to obtain this hedging, it will suffice to utilize possessed positions (op 1 -op n) before executing the FX transaction. Therefore, this invention provides a feature that no additional fund, such as premium1 is required for hedging.

In the delta margin minimization process (S3), the unit creating means 40 displays, to the customer 2, a combination of the position (fx) and the position Cop) that minimizes the delta margin ö, which is a loss due to a difference between a contract price a of the position (fx) and a strike price of the position (op) (see FIG. 5).

The margin transaction process (S4) is implemented only when an option setting is made in the option transaction process (S2).

This is the feature of the UN transaction, and a risk hedge effect is obtained by programs forming the margin transaction processing means 10 and the unit creating means 40 shown in FIG. 1.

In the unit creating process (S5), a unit (un) is created -22 -by combining an position (op) selected from among the hedge option candidates (HO) by the customer 2 with the position (fx) and the undertaker 3 is entrusted with the unit (Un).

FIG. 3 is a flow chart showing one example of a UN transaction, S and includes an option purchase process (Sli), an FX position setting process (S12), a delta margin minimization process (S13), an FX settlement process (S14), an OP settlement process (S15) and an option-exercise process (S16).

In the option purchase process (Sli), as will be explained below with reference to FIGs. 5 and 7, selections are made with respect to a currency pair and a contract month of the OP transaction, and between "call" and "put" types. After confirming the premium, an order screen is displayed. Then, a trading unit number is set, for example, to several thousand dollars, and selections are made regarding "at the market" or "limit", as well as execution conditions, such as an expiration date until when the conditions are retained. In order to execute "limit" order or "stop" order (stop loss order), an "EXECUTE" (or "ORDER") button is clicked after inputting the limit. When the order is executed, input data is displayed in an open position list. The option purchase process (511) can be implemented by executing a program forming the option transaction processing means 20 (see FIG. 1).

In the FX position setting process (S12), as will be explained below with reference to FIG. 8, a currency pair is selected, and a display part (selected currency exchange rate -23 -display part 72) for an exchange rate regarding buy" and "sell" is clicked. Upon making the selection, in order to obtain a risk hedge effect, a position of sell" is selected for "call", and a position of "buy" is selected for "put". Next, a trading unit number is set to several thousand dollars, and selections are made regarding at the market" or "limit". Then, execution conditions, such as an expiration date until when the execution conditions is maintained are selected.

In order to execute "limit" order or stop" order, an execute io (order) button is clicked after inputting the limit. When the order is executed, input data is displayed in the open position list, and a maintenance rate and a margin are displayed in an account field. In this case, if there are no positions (opi -op n) (see FIG. 4) to be combined for creating a unit (un), order processing regarding the FX position is not implemented.

Therefore, a trading unit number in FX position setting process is set to the number of positions (op 1 -op n) or less. The FX position setting process (S12) can be implemented by executing a program forming the margin transaction processing means 10 (see FIG. 1).

In the delta margin minimization process (S13), if a swap interest is produced and a deposit of money equivalent to an interest burden becomes necessary, an amount of the money is displayed together with the amount of the delta margin 5 in a margin field in an FX order screen. The delta margin minimization process (S13) can be implemented by executing programs forming the unit creating means 40 and the margin transaction processing means 10 (see FIG. 1).

In the FX settlement process (S14),, a position (fx) is settled in the following manner. First, the FX transaction is selected, arid "buy" or "sell" is selected. Next, a currency pair, a trading unit number and execution conditions are selected. For the execution conditions, in a case of "at the market", "at the market" is selected, while in a case of "limit", a selection is made from among LMTGTC (good till cancelled), LMTEOD (good till io end of day) and LMTGTW (good till weekend).

In a case of "stop", a selection is made from STPGTC (good till cancelled), STPEOD (good till end of day) and STPGTW (good till weekend). If "limit" order or "stop" order is chosen, after inputting the order value, closing out is ordered. The FX settlement process (S14) can be implemented by executing a program forming the margin transaction processing means 10 (see FIG. 1).

In the OP settlement process (S15), selections are made with respect to a contract month and a currency pair, and also between cal1" and "put". Then, trading unit number is inputted, and as execution conditions, a selection is made from "at the market" and L,MTGPC, LNTEOD and LIMTGTW for "limit". If "limit" order or "stop" order is chosen, after inputting the limit, the order is executed. When the order is executed, the executed order is eliminated from the open position list. The OP settlement process (S15) can be implemented by executing a program forming the option -25 -transaction processing means 20 (see FIG. 1).

For the method for settling the option transaction there are three types: "resale", "waiver" and "exercise".

(1) The term "resale" means the most common method in which an option is resold by an expiration date to receive a premium of a current price. If the market develops as expected, a premium purchased at 2 yen can be resold even for 7 yen.

(2) The term "waiver" means terminating a transaction by waiving a right, when the market did not follow the expectation and an io option did not reach a strike price I on the last day of the time period. The value of the purchased option becomes zero on the appointed day.

(3) The term "exercise" means a method in which an open position can be shifted to an FX transaction. In a case of a call, a strike price 13 becomes a contract price for purchasing in the FX transaction, and in a case of a put, a strike price 13 becomes a contract price for selling in the FX transaction.

In the OP transaction, a method for settling an in-the-money position (open position that can obtain a profit) is implemented in the following manner: (1) In a case of a call position, after selling an FX position in the same amount as the call position, a right to buy the call position is executed. As a result, a difference between an FX transaction price and a strike price f3 can be obtained as a profit.

(2) In a case of a put position, after buying an FX position in the same amount as the put position, a right to sell the put -26 - position is executed. As a result, a difference between an FX transaction price and a strike price 13 can be obtained as a profit.

The expression "in the money" means a state in which a position Cop) has an intrinsic value and a profit is generated when a buyer of the position Cop) exercises the option. For example, in a case of a call, a state in which a market price of an underlying asset is higher than a strike price 13 falls in "in the money" state, and in a case of a put, a state in which a market price of an underlying asset is lower than a strike price 13 falls in "in the money" state. On the other hand, the expression "out of the money" means a state in which a loss is generated, and the expression "at the money" means a state in which a profit and a loss are balanced out.

In the option-exercise process (S16), the customer 2 opens an option order screen, selects an option to be exercised from an open position list, and clicks on the selected option (FIG.

5). Then, "EXRMKT" (exercise) is selected for execution conditions, and an "EXECUTE" button is clicked. When a right is exercised, the option is eliminated from the open position list (FIGs. 6 -9). The option-exercise process (S16) also can be implemented by executing a program forming the option transaction processing means 20 (see FIG. 1).

FIG. 4 is an explanatory diagram for the delta margin minimization process (S13), and it is supposed that the customer 2 already has three trading units of put positions opi -op3 each as a single dollar/yen element (not as a unit). This includes -27 -a position (opi) with a strike price 131 = 111 yen, a position (op2) with a strike price 132 = 110 yen andaposition (op3) with a strike price 133 = 109 yen. In this case, a position (fxl) with a contract price a = 110 yen is opened. The position (fxl) is combined by priority with a single option that maximizes the in-the-money (profit) range, in other words, that zeros or minimizes the delta margin 6.

In order to zero the delta margin 5, in the meantime, the position (fxl) with a contract price cx = 110 yen is combined with the position (op2) with a strike price f32 = 110 yen, which is the same as the contract price, and this combination completely hedges against a risk (at the money). In addition, if options that can hedge against a risk (hereinafter referred to as thedge option") do not exist, in the FX position setting process (S12) shown in FIG. 3, a program is set to prevent the FX transaction from being executed. Further, the delta margin minimization process (S13) can be instantly and automatically implemented by executing these programs and thus the customer 2 can safely and easily execute the FX transaction which is alleged to be inherently high-risk.

Here, for attaining S = 0, a unit may be set with a = 132 = yen. However, in practice, a unit is formed with a combination that attains a < 131, with 131 111 yen which is 1 yen higher than a = 110 yen. This is because it is difficult to completely match a and 13 (attain a = 132), due to a condition of real transactions including at the market order, where a seller and a buyer pursuit -28 -a contract price by consistently changing an offering price.

Specifically, in the OP transaction market, a pricing of a strike price 13 is defined stepwise with two places of decimals (0.25 yen margin), i.e. non-stepwise pricing with a margin smaller than 0.25 yen is not allowed. Therefore, if one selects 132 as 110.00 yen, pursuit of the optimal option stepwise shifts the price from, for example, 110.25 yen, 110.50 yen, 110.75 yen, 111.00 yen to 111.25 yen.

On the other hand, with respect to a contract price a of the FX transaction, even in a case of a limit order, the transaction is usually made immediately after finding an appropriate trading partner, but with a time lag that generates a slight price differential from the limit. Subsequently, a unit with a = 110 yen and 131 = 111 yen is automatically formed.

In this manner, a unit (un) is formed, and if some units are present with no single option position, an FX position that is the closest to the strike price 13 of the option can be balanced out by exercising the option before the expiration date,.

In a case where one has two or more single options with different strike prices 13 but has no FX position, and newly buys an FX position to form a unit, the FX position is combined to form a unit (un) by priority with the option that maximizes an in-the-money range. If a position (opO) with a higher strike price 130 (not shown) than 131 = 111 yen shown in FIG. 4 is bought, from a relationship of a < f31 < 130,a unit is formed as a combination of a and 130 that secures a larger in-the-money range.

-29 -Naturally, the delta margin 6, which is a loss due to a difference between the contract price a of the position (fx) of the margin transaction and the strike price 3 of the position (op), is not generated.

The delta margin minimization process (S13) is implemented by executing a program mainly forming the unit creating means 40.

Specifically, to the customer 2, the program displays numerical data highlighted with cursor and the like on a screen (for example, see FIG. 5) in order to facilitate clicking by the customer 2.

It should be noted that the setting can be made manually, such that a risk hedge function can be intentionally cancelled by the customer 2 and a unit (un) can be formed under risk conditions of 5 > 0, such as a > f. For example, in FIG. 4, if "call" is used instead of the "put" and "sell" is used instead of the "buy", a unit (Un) is created so that the relationship becomes ct> " instead of "a < In the present system 100, in a case where the customer 2 has three hedge option candidates (HO) (FIG. 5), such as three puts of positions (opi) -(op3) shown in FIG. 4, the unit creating means 40 disposed in the foreign exchange transaction support server 99 used by the undertaker 3 creates a unit (un) by combining the position (op 1) selected by the customer 2 with a position (fxl), and the undertaker 3 is entrusted with the created unit (un). In association with the order, the undertaker 3 may transact with the foreign exchange market 5 (FIG. 1) or other trading partners.

-30 -FIG. 5 shows a hedge option proposition screen 50 which includes a currency pair selecting field 51, a contract month selecting field 52, a call/put selecting field 53, an update button 54, a premium display part (also as an order screen call button) 55, with displaying choices clickable by the customer 2.

For example, if the currency pair selecting part 51 displays USD/JPY", U.S. dollar which is a first currency as key currency is sold/bought in terms of yen which is a second currency. Other major currency pairs can be arbitrarily selected from the choices io as long as the currencies are defined as a first rank and a second rank.

In the contract month selecting field 52, a display of July 2005", for example, means that an expiration date is July 31, 2005, and the expiration date can be arbitrarily selected on a month-by-month basis, within a set range.

The call/put selecting field 53 is arbitrarily Set based on a decision of the customer 2. If the customer 2 desired a call, call" is displayed and clicked, while the customer 2 desired a put, put" is displayed arid clicked.

The update button 54 which is clickable with a mouse is provided for collecting, from the information vendor 6 (FIG. 1), the latest data of the foreign exchange market varying from time to time and for displaying the data, which is used by the customer 2 for making a decision regarding the transaction.

The premium display part 55 displays prices unique to the position (op4), and can be updated by clicking the update button -3]. - 54. The premium display part 55 also functions as an order screen call button which calls up an order screen shown in FIG. 6 by being clicked.

The premium display part 55 displays numerical data highlighted with cursor and the like so as to facilitate clicking by the customer 2. This effect promotes the customer 2 to make a safe and advantageous decision. However, the premium display part 55 may also be configured in such a manner that the numerical data even with no highlight is clickable to allow other decisions by the customer 2.

FIG. 6 shows an OP order screen 60 including an open position list, and on an upper half of the screen are disposed a buy/sell select button 61, a trading unit number setting field 62, a currency pair setting field 51, a strike price setting field 64, a call/put selecting field 53, a contract month selecting field 52, an execution conditions selecting field 67, a limit setting field 68, an open/close select button 69, an order (indicated as EXECUTE in FIG. 6) button 7, and on a lower half of the screen is disposed the open position list with an order number display

field 71.

The buy/sell select button 61 is for the customer 2 to select, by clicking, a selling order or a buying order for settlement to the undertaker 3. However, for example, if the undertaker 3 prefers to use the present system l0O in a mode limited to the UN transaction, operation with the buy/sell select button 61 is made unresponsive, and a management can be made simpler by receiving only buying order regardless of types of the option (call or put). Hereinafter, description is made in a case where the OP position in the UN transaction is a buying order.

For the trading unit number setting field 62, an integral number which indicates a trading unit number (for example, 10, 000 dollars is defined as the minimum trading unit) is increased/decreased by clicking on an adjustment part, or a trading unit number is directly input from a numeric keypad.

For the currency pair selecting field 51, if dollar/yen is desired, USD/JPY is displayed in a field and selected by clicking. Any currency pair can be selected by clicking on a pull-down menu on a right side of the field. For example, euro/dollar can be selected by displaying EUR/USD" in the field, instead of USD/JPY".

For the strike price setting field 64, a displayed number is increased/decreased by clicking on an adjustment part, or a strike price f3 is directly input from a numeric keypad.

Hereinafter, in the description of the present embodiment, all operations are made by clicking with the mouse or typing the numeric keypad. However, operation can be made with any means depending on the information terminal of the computer used by the customer 2, such as touching a display screen with a stylus and the like.

For the execution conditions selecting field 67, as previously described in the FX settlement process (S14), the OP settlement process (S15) and the option-exercise process (S16) -33 -shown in FIG. 3, when the customer 2 desires a selection from "at the market", "limit which is good till cancelled", "limit which is good till end of day", "limit which is good till weekend" and "exercise" as execution conditions, "MARXET", "LMTGTC", LMTEOD", "LMTGTW" and "EXRNKT", respectively, are displayed in the field and selected. It should be noted that the present invention is not limited to these display expressions, and expressions that can be generally accepted in this field can be used.

For the limit setting field 68, a displayed limit is increased/decreased by clicking on an adjustment part, or by directly inputting the numerical value. Based on a current market price associated with a trading brand and the like according to market information from the information vendor 6, a numerical value advantageous to the customer 2 by the smallest price movement range can be automatically displayed on the limit setting field 68, and may be confirmed by clicking of the customer 2.

For the open/close select button 69, when an option is newly set, a displayed "open" is selected, and when an option already set is closed out, a displayed "close" is selected.

When the customer 2 clicks on the order (execute) button 7, selections already made by the customer 2 on the OP order screen is enabled as an order. During a period starting from new setting of an option by ordering "open" to closing out by ordering "close", the selection is displayed on an open position list disposed on a lower half of the OP order screen 60, and an order -34 -number is displayed in the order number display field 71 FIG. 7 shows an OP order screen 70 of anothet format. On an upper half of the screen are disposed a trading unit number setting field 62, a buy/sell select button 61, an OP/FX select button 63, a contract month selecting field 52, a currency pair selecting field 51, a strike price setting field 64, a call/put selecting field 53, a limit setting field 68, an execution conditions selecting field 67 and an order button 7. An OP order is enabled by clicking the above-mentioned fields/buttons almost to in the above-mentioned order.

Here, if the OPIFX select button 63 is set to an OP order can be enabled, and to FX", an FX order can be enabled.

However in this embodiment of the OP order screen 70, only an OP ordering mode is explained, and a position (op5) is displayed on an open position list disposed on a lower half of the screen.

Various fields and buttons shown in FIGs. 5 -9 having the same effects as those illustrated in other drawings are designated with the same reference characters, and thus a

duplicate description is omitted.

FIG. 8 shows an order screen 80 including a FX position list.

On an upper left corner of the screen are disposed an OP/FX select button 63 and a selected currency exchange rate display part 72, and on a lower half of the screen are disposed a buy/sell select button 61, a trading unit number setting field 62, a currency pair selecting field 51, an execution conditions selecting field 67, a limit setting field 68, an open/close select button 69 and an -35 -order (execute) button 7. An FX order is enabled by clicking the above-mentioned fields/buttons almost in the above-mentioned order.

A maintenance rate regarding the margin at that time is displayed in a maintenance rate display field 73 disposed on an upper right corner of the screen, and an amount of the margin is displayed on a margin display field 74, and a position (fx2) with which an FX order is exercised is displayed on the screen.

FIG. 9 shows an FX order screen 90 of another format. On an upper half of the screen are disposed a trading unit number setting field 62, a buy/sell select button 61, an OP/FX select button 63, a contract month selecting field 52, a currency pair selecting field 51, a strike price setting field 64, a call/put selecting field 53, a limit setting field 68, an execution conditions selecting field 67 and an order button 7. An FX order is enabled by clicking the above-mentioned fields/buttons almost in the above-mentioned order.

The FX order screen 90 has an open position list disposed on a lower half of the screen showing, in addition to positions (fx6) -(fx7), positions (op6) -(op7) which is capable of hedging against a risk associated with the positions (fx6) -(fxl).

As described above, according to the present system 100, by using the hedge option proposition screen 50, the OP order screen including the open position list, the OP order screen 70 of another format, the FX order screen 80 including the open position list, and the FX order screen 90 of another format, it becomes -36 -possible to efficiently display real-time data to the customer 2 to support a decision of the customer 2, to entrust a trading instruction of the customer to the undertaker from the information terminal, and to improve convenience of the foreign exchange transaction.

By displaying an efficient combination of the FX transaction and the OP transaction on the hedge option proposition screen 50 to the customer 2, low-risk-high-return can be realized. It is also possible to make the margin unnecessary from the beginning to the end of the FX transaction.

As described above, the OP transaction has a low-risk-high-return property. By combining the OP transaction with the FX transaction, this excellent property of the OP transaction is superimposed to the FX transaction having a defect of high-risk-high-return, to thereby convert the defect into a low-risk-high-return property. Moreover, the transaction can be performed in various forms.

It should be noted that the foreign exchange transaction support server 99 forming a main part of the present system 100 may be formed of a single concentrated type computer, or formed of a plurality of computers connected through network, which work in collaboration with one another.

Alternatively, the customer 2 may install a program on a personal computer and execute the program, which program is read out from a medium readable by computer (e.g. CD-ROM), to perform equivalent functions to those of the margin transaction -37 -processing means 10, the option transaction processing means 20, the hedge option proposition means 30 and the unit creating means forming the foreign exchange transaction support server 99.

Alternatively, the program may be downloaded into a computer s through a network and be executed. In other words, the embodiment of executing aprogram downloaded into a personal computer, which program is provided by the undertaker 3 to the customer 2 through the Internet 1, is also included in the present invention.

Claims

-38 -

CLAIMS

1. A foreign exchange unit transaction system for supporting a unit transaction as a combined transaction of a margin transaction with an option transaction implemented by an undertaker entrusted with a foreign exchange transaction by a customer through information-communication using the Internet, the system including a foreign exchange transaction support server as a core of the system, which comprises: io a margin transaction processing means for supporting the margin transaction in which an over-the-counter transaction is performed by depositing a margin as security, an option transaction processing means for supporting the option transaction in which a trading is made on a right to buy/sell an asset before an expiration date at a strike price designated in advance, a hedge option proposition means for proposing and displaying, to the customer, a plurality of positions Cop) as hedge option candidate for the option transaction for hedging against a risk associated with a position (fx) of the margin transaction; and a unit creating means for creating a unit by combining the position (op) selected from among the hedge option candidates by the customer with the position (fx) of the margin transaction and for entrusting the undertaker with the unit, characterized in that the unit creating means displays, to -39 -the customer, at least a combination of the position (fx) and the position Cop) that minimizes a delta margin, which is a loss due to a difference between a contract price of the position (fx) of the margin transaction arid a strike price of the position Cop).

2. A foreign exchange unit transaction method for supporting, using a computer, a unit transaction as a combined transaction of a margin transaction with an option transaction implemented by an undertaker entrusted with a foreign exchange transaction by a customer through information-communication using the Internet, comprising: a hedge option proposition process for proposing and displaying, to the customer, positions (op) as hedge option candidate for the option transaction for hedging against a risk associated with a position (fx) of the margin transaction; an option transaction process for supporting the option transaction in which a trading is made on a right to buy/sell an asset before an expiration date at a strike price designated in advance; a delta margin minimization process for displaying, to the customer, at least a combination of the position (fx) and the position fop) that minimizes a delta margin, which is a loss due to a difference between a contract price of the position (fx) of the margin transaction and a strike price of the position Cop); a margin transaction process for supporting the margin transaction in which an over-the-counter transaction is

S

performed by deposition of a margin as security; and a unit creating process for creating a unit by combining the position (op) selected from among the hedge option candidates by the customer with the position (fx) of the margin transaction and for entrusting the undertaker with the unit.

3. A computer program used for a unit transaction as a combined transaction of a margin transaction with an option transaction implemented by an undertaker entrusted with a foreign exchange io transaction by a customer through information-communication using the Internet, the program being executable by a computer for performing processes comprising: a hedge option proposition process for proposing and displaying, to the customer, positions Cop) as hedge option candidate for the option transaction for hedging against a risk associated with a position (fx) of the margin transaction; an option transaction process for supporting the option transaction in which a trading is made on a right to buy/sell an asset before an expiration date at a strike price designated in advance; a delta margin minimization process for displaying, to the customer, at least a combination of the position (fx) and the position (op) that minimizes a delta margin, which is a loss due to a difference between a contract price of the position (fx) of the margin transaction and a strike price of the position Cop); a margin transaction process for supporting the margin transaction in which an over-the-counter transaction is performed by deposition of a margin as security; and a unit creating process for creating a unit by combining the position (op) selected from among the hedge option candidates by the customer with the position (fx) of the margin transaction and for entrusting the undertaker with the unit.

4. A computer-readable medium having the program according to Claim 3, which is executable by a computer.

5. A foreign exchange unit transaction system substantially as hereinbef ore described with reference to the accompanying drawings.

6. A foreign exchange unit transaction method substantially as hereinbefore described with reference to the accompanying drawings.

7. A computer program used for a unit transaction, substantially as hereinbefore described with reference to the accompanying drawings.

8. A computer-readable medium having a program substantially as hereinbefore described with reference to the accompanying drawings.