JP2007004729A - Commodity price setting support system, method and program - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To evaluate uncertainty such as prime cost and its variation width for buying a commodity sold in a future to a consumer at a future delivery market, by taking into consideration market risk, quantitative risk and liquidity risk. <P>SOLUTION: In this commodity price setting support system, a commodity price analyzing part 12 determines a price variation model constant by analyzing future delivery commodity price data of the past. A demand variable type calculation parameter acquiring part 13 acquires delivery time, a demand variable model constant, an initial estimate demand quantity, a demand growth rate, a future delivery transaction interval, the longest expiration date or an expiration month of a future delivery commodity. A transaction contract probability setting part 15 sets a future delivery transaction contract probability by approximating result data of the future delivery transaction contract probability by a smooth function. A commodity prime cost evaluating part 16 performs an evaluation calculation of the prime cost of the future delivery commodity for every future delivery time on the basis of data provided by respective parts 12, 13 and 15, and displays a calculation result by an interface part 20, and outputs the result to a profit risk evaluating/commodity transaction optimizing device 2. <P>COPYRIGHT: (C)2007,JPO&INPIT

Description

  The present invention relates to a technology for supporting pricing of products purchased in a forward wholesale market and sold to consumers.

  In order to set prices for products sold to consumers, such as energy products, it is necessary to evaluate the purchase cost of the products. If the purchase cost of a product can be evaluated, the sales price can be set by adding an appropriate retail margin to the purchase cost according to a predetermined rule.

  Conventionally, as a commodity price setting method, for example, a method as described in Patent Document 1 exists. In this Patent Document 1, although there is a description for obtaining the cost from the raw material price or the like, the relationship between the demand and the selling price is focused on. According to this method, in the case of a product that cannot be stored or is difficult to store, such as electric power sold to a consumer at a future time, the risk of price fluctuation can be avoided if it is procured in the forward wholesale market.

  If the amount of demand is fixed, it is desirable to purchase forward products in the wholesale market with the longest possible period until maturity or contract, which is the deadline for delivering the products. The reason for this is that, generally, fluctuations in the price of forward commodity with a long maturity are small and the price is relatively low. If the delivery date to the customer exceeds the longest maturity or contract month of the forwarded product traded in the wholesale market, it must wait until the product comes out. Since the price of forwarded goods fluctuates during this waiting period, there is uncertainty as a market risk in the cost of purchasing goods in the wholesale market.

  In general, the product pricing method based on the assumption of purchasing advanced products gives the relationship between the past maturity or contract month of the forward product and the forward price in order to set the price and future risk management in future product transactions. The forward curve data is used to obtain the expected value and variance or standard deviation of the future forward price, and evaluate the purchase cost of the product and its uncertainty.

  For example, Non-Patent Document 1 and Non-Patent Document 2 describe methods for obtaining expected values and variances of future forward curves.

JP 2004-171180 A Les Kreulau, Chris Strickland, Translated by Yoichi Yamamoto, "Energy Derivatives, Pricing and Risk Management" (2004), Sigma Bayes Capital Alexander Ideland, Krzystov Wornenik, Yoichi Yamamoto, “Financial engineering of power trading, new development of modeling and pricing” (2004), Energy Forum

  By the way, in the evaluation of the purchase cost of products necessary for purchasing products that are purchased in the wholesale market and sold to consumers, the products are products that cannot be stored such as electricity or are difficult to store. If the demand is uncertain, the following problems arise. In other words, in evaluating the purchase cost of such products, it is necessary to review the estimated demand at a future point in time and buy or sell the difference from the purchase amount up to that point in the forward wholesale market. Therefore, there is an additional risk of forward price fluctuations.

  Furthermore, since a forward product with a long maturity period or contract period has poor liquidity and may not be available on the market, it is not always possible to trade all the forward products with the longest maturity date. In this way, when products that are sold to customers at the specified future time are purchased in the forward wholesale market, the market risk (price fluctuation), quantitative risk (demand fluctuation), and liquidity risk (market transaction availability) Therefore, there is a problem that the cost of purchasing a product in the wholesale market cannot be evaluated only by the fluctuation of the forward curve of the forward product price.

  The present invention has been proposed in order to solve the above-described problems, and the purpose of the present invention is to determine uncertainties such as a purchase cost and a fluctuation range for purchasing a product to be sold to a consumer at a future time in a forward market. Product pricing support systems and methods and programs that can be evaluated taking market risk, quantitative risk, and liquidity risk into account.

  In order to achieve the above-described object, the present invention uses a value representing the commodity price fluctuation in the forward wholesale market and a value representing the uncertainty of the success or failure of the transaction in the forward wholesale market, By selectively using the value to represent the purchase cost of the forward product, the market cost, quantitative risk, and liquidity risk are taken into account for uncertainties such as the purchase cost of the forward product and its fluctuation range. So that it can be evaluated.

  The product price setting support system of the present invention has a product purchase cost evaluation means, a storage means, and an interface means in a product price setting support system that supports the price setting of products that are purchased in the forward wholesale market and sold to consumers. It is a feature. Here, the product purchase cost evaluation means uses a value representing the commodity price fluctuation in the forward wholesale market and a value representing the uncertainty of the success or failure of the transaction in the forward wholesale market, and the consumer according to the transaction conditions with the consumer. This is a means for selectively calculating a purchase cost of a forwarded product by selectively using a value representing demand fluctuation of the product. The storage means is means for storing calculation conditions and calculation results of the evaluation calculation, and the interface means is means for inputting data necessary for the evaluation calculation and outputting the calculation results.

  The merchandise price setting support method and the merchandise price setting support program of the present invention grasp the features of the system from the viewpoints of the method and the computer program.

  In the present invention having the above-described features, the price fluctuation model constant representing the commodity price fluctuation in the forward wholesale market, the demand fluctuation model constant representing the demand fluctuation of the customer, and the uncertainty of the success or failure of the transaction in the forward wholesale market Can be used to evaluate the purchase cost of forwarded goods using values such as the probability of a deal being concluded, thus leading to uncertainties in forward prices, uncertainties in demand, and uncertainties in the success or failure of forward orders. In consideration of this, it is possible to accurately evaluate uncertainties such as the purchase cost of the forwarded product and its fluctuation range. Accordingly, it is possible to support the setting of product prices in consideration of market risk, quantitative risk, and liquidity risk.

  According to the present invention, uncertainties such as the purchase cost and the fluctuation range for purchasing products to be sold to customers at a future time point in consideration of market risk, quantitative risk, and liquidity risk. An evaluable product pricing support system and method, and program can be provided.

[Basic technical concept]
Prior to the description of the embodiment to which the present invention is applied, the basic technical concept of the present invention will be described with reference to FIGS.

FIG. 1 is a diagram schematically illustrating a state in which an assumed demand amount randomly changes until time T when the amount (demand) of delivering a product to a consumer at time T is uncertain. At the time t _i for reviewing the assumed demand, the amount of the product that satisfies the assumed demand is adjusted by the forward transaction. Here, in the first forward transaction, the entire amount of the assumed demand is purchased, and after the second time, the excess and deficiency with respect to the assumed demand is adjusted by buying and selling by the forward transaction.

  FIG. 2 is a diagram schematically showing a state of random fluctuations in the price of a pre-delivered product with a time T for delivering the product to a consumer as a maturity (contract month). As shown in Fig. 1 and Fig. 2, if the transaction volume and the forward price at the given forward transaction time are obtained, it is necessary to purchase the products delivered at the time point T by the total of the transaction volume x the forward price. If this amount is divided by the total amount of transaction, the “advanced commodity purchase cost” for the unit amount can be obtained.

  Here, it is assumed that the transaction volume is positive when buying forward products and negative when selling. The above is a premise that the forward transaction is surely established, but if the period until the maturity or the contract month becomes long, the liquidity of the forward product is deteriorated, and there is a possibility that the forward transaction is not established.

  FIG. 3 is a diagram schematically showing the relationship between the period until maturity and the probability of contracting the forward transaction, and this relationship is determined from the experience of the forward transaction. The forward transaction contract probability may be defined as, for example, a ratio between the number of orders placed in the market in one month and the number of successful deals. Further, the forward transaction contract probability may be a function of the transaction amount as well as the period until maturity. If the transaction cannot be performed due to the forward transaction contract probability in FIG. 3, the forward transaction time point (the assumed demand review time point) in FIG. 1 is carried over to the next month.

  In the following embodiment, in order to perform the evaluation calculation of the delivery cost of the advance commodity, a fluctuation model of the assumed demand and the forward price is given, and a random number is generated to calculate the estimated demand and the forward price as shown in FIGS. A large number of scenarios are generated, and the above-mentioned “advanced product purchase cost” is calculated for each scenario, thereby obtaining an average value and a standard deviation. In this way, by performing the evaluation calculation of the delivery cost of the advanced merchandise, it is possible to support the setting of the merchandise price considering the wholesale market trend when selling the merchandise to the consumer.

[First Embodiment]
[Constitution]
FIG. 4 is a block diagram showing the configuration of the commodity price setting support system according to the first embodiment to which the present invention is applied. In the present embodiment, when the transaction conditions with the customer are not delivery of a product in a certain amount, the uncertainty of the purchase price of the forwarded product and its fluctuation range, etc. The figure shows one form of evaluation in consideration of certainty and uncertainty of success or failure in the forward market.

  As shown in FIG. 4, the product price setting support system 1 of the present embodiment provides a revenue risk evaluation / product transaction optimization device 2 that performs a revenue risk evaluation or product transaction optimization support related to the same product transaction business. Are connected via a communication medium 3 such as a cable or a network. Here, the user who uses the product price setting support system 1 is a business operator engaged in the product transaction business, but generally, the profit risk evaluation / product transaction optimization device 2 is also used by the same business operator. The

  The product price setting support system 1 includes a calculation unit 10, an interface unit 20, and a storage unit 30. The details of each part 10-30 are as follows.

  The calculation unit 10 includes a product price data acquisition unit 11, a product price analysis unit 12, a demand fluctuation type calculation parameter acquisition unit 13, a transaction contract probability record data acquisition unit 14, a transaction contract probability setting unit 15, a product purchase cost evaluation unit 16, Have

  The commodity price data acquisition unit 11 is a part that acquires “past past commodity price data” indicating the price of the forward commodity that has been traded in the forward wholesale market in the past through the interface unit 20 or from the storage unit 30. The commodity price analysis unit 12 is a part that analyzes “past forward commodity price data” and determines a “price fluctuation model constant” necessary for calculation of a model representing the fluctuation of the forward price.

  The demand fluctuation type calculation parameter acquisition unit 13 includes “delivery time”, “demand fluctuation model constant”, “initial expected demand”, “demand growth rate”, “forward transaction interval”, as calculation parameters in consideration of demand fluctuation. This is a part for acquiring “the longest maturity or contract month of the advance product” through the interface unit 20 or from the storage unit 30.

  Here, the “delivery time” is the time when the product is delivered to the consumer, and the “demand fluctuation model constant” is a constant necessary for calculation of a model representing the fluctuation of the consumer's product demand. The “delivery time”, “demand fluctuation model constant”, “initial assumed demand”, and “demand growth rate” are parameters used to estimate the demand for future products.

  In addition, the “forward transaction interval” is an interval for purchasing products satisfying the demand from the forward wholesale market, and more specifically, in order to cope with uncertain demand at the delivery time shown in FIG. This is the time interval for reviewing the amount of goods purchased and adjusting for forward transactions. "The longest maturity or contract month of a forwarded product" is the longest maturity or contract month of a forwarded product that is traded in the forward market.

  The transaction contract probability record data acquisition unit 14 is a part that acquires “past transaction contract probability record data” when placing a purchase order for a forward product in the forward wholesale market through the interface unit 20 or from the storage unit 30. Here, “actual data of forward transaction contract probability” is discrete data corresponding to the period until each maturity obtained from the experience of forward transaction. The transaction contract probability setting unit 15 uses “successful transaction contract probability actual data” in the evaluation calculation by approximating it with a smooth function as a function of the period until the maturity or contract month of the forward product and the order quantity. This is the part to set the “forward transaction contract probability” for each maturity.

  The product purchase cost evaluation unit 16 evaluates the purchase cost of the forwarded product for each delivery time based on the data obtained by the product price analysis unit 12, the demand fluctuation type calculation parameter acquisition unit 13, and the transaction contract probability setting unit 15. This is the part that performs the calculation. The product purchase cost evaluation unit 16 also has a function of causing the interface unit 20 to display the calculation result of the purchase cost evaluation calculation and outputting the result to the profit risk evaluation / product transaction optimization apparatus 2 through the interface unit 20.

  Note that the arithmetic unit 10 as described above is specifically realized by a main memory of a computer, a program specialized for product price setting support stored therein, a CPU controlled by the program, and the like.

  The interface unit 20 includes a data input unit 21, a data display unit 22, and a data communication unit 23. Here, the data input unit 21 is an input device such as a mouse or a keyboard for inputting a signal corresponding to a user operation to the computer. The data output unit 22 is an output device such as a display or a printer that displays or outputs the data input by the data input unit 21 and the evaluation result processed by the calculation unit 1 to the user.

  The data communication unit 23 is realized by a communication control device built in the computer to control transmission and reception of data, a main memory of the computer, a program specialized for communication stored therein, a CPU controlled by the program, and the like Then, data communication with other systems or devices is performed through the communication medium 3.

  In other words, the interface unit 20 is a part that performs communication between the computer and the user and data communication between other systems or devices, and is generally called a “user interface”, “communication interface”, or the like. Is a broad interface that encompasses

  The storage unit 30 is a part that stores in advance various calculation conditions for performing data processing in the calculation unit 10 and also stores the calculation results by the calculation unit 10. The storage unit 30 is realized by various types of memory or auxiliary storage device of a computer.

[Outline of operation]
FIG. 5 is a flowchart showing an outline of the operation in the commodity price setting support system according to the present embodiment having the above-described configuration.

  As shown in FIG. 5, in the product price setting support system 1 of the present embodiment, the product price data acquisition unit 11 first designates a forward product as a product price data acquisition process, and stores past forward products related to the forward product. The forward commodity price data for each contract month and each transaction date, the specification of the transaction conditions, etc. are acquired (S110). This data acquisition is performed by inputting data by the interface unit 20, that is, inputting data according to a user input operation or data received from the outside, reading data from the storage unit 30, or Realized by doing both.

  Subsequent to the product price data acquisition process (S110), the product price setting support system 1 uses the product price analysis unit 12 to analyze the past forward product price data acquired by the product price data acquisition unit 11 as the product price analysis process. The price fluctuation required to calculate a predetermined price fluctuation model that calculates the forward curve that gives the relationship between the period until maturity and the forward price, and gives the expected value of the price of the forward product at the future time and its price fluctuation A model constant is calculated (S120). Then, using the calculated price fluctuation model constant, the expected value, standard deviation, fluctuation range, etc. of the future delivery product price for the designated transaction conditions are obtained for the delivery product.

  The commodity price setting support system 1 also uses the demand fluctuation type calculation parameter acquisition unit 13 as a demand fluctuation type calculation parameter acquisition process to calculate calculation parameters considering demand fluctuation, that is, delivery time, demand fluctuation model constant, initial assumed demand amount. The demand growth rate, the forward transaction interval, and the longest maturity or contract month of the forwarded product are acquired (S130).

  The commodity price setting support system 1 also uses the transaction contract probability record data acquisition unit 14 as the transaction contract probability record data acquisition process to obtain the actual data of the forward transaction contract probability when placing a purchase order for the forwarded product in the forward wholesale market. Obtain (S140).

  In the demand fluctuation type calculation parameter acquisition process (S130) and the transaction contract probability record data acquisition process (S140), parameters and data are acquired in the same manner as the product price data acquisition process (S110). That is, it is realized by inputting data corresponding to a user input operation or data received from outside, reading data from the storage unit 30, or both.

  Subsequent to the transaction contract probability record data acquisition process (S140), the commodity price setting support system 1 uses the transaction contract probability setting unit 15 as a transaction contract probability setting process to deal with the period until each maturity obtained from the forward transaction experience. By approximating the actual data of the discrete forward contract closing probability with a smooth function as a function of the period until the maturity or contract month of the forwarded product and the order quantity, the forward contract closing for each maturity used in the evaluation calculation A probability is set (S150). If necessary, the forward transaction contract probability may be a function of the transaction volume as well as the period until maturity.

  Next, the product price setting support system 1 uses the product purchase cost evaluation unit 16 as product purchase cost evaluation processing as product price analysis processing (S120), demand fluctuation type calculation parameter acquisition processing (S130), and transaction contract probability setting processing. Based on the data obtained in (S150), an evaluation calculation of the purchase cost of the advanced product is performed at each delivery time (S160). In this product purchase cost evaluation process (S160), the expected value, standard deviation, fluctuation range, etc. of the advance product purchase cost are obtained, and the probability distribution and probability density distribution of the advance product purchase cost are obtained.

  Subsequently, the product price setting support system 1 displays, as a result display process, the result of the product purchase cost evaluation unit 16 that displays the evaluation result of the forward product purchase cost obtained by the product purchase cost evaluation process (S160) on the screen of the interface unit 20. Alternatively, printing is performed (S170). That is, data such as the expected value, standard deviation, fluctuation range, etc. of the advance product purchase cost is displayed, and the probability distribution and probability density distribution of the advance product purchase cost are displayed.

  This result display process (S170) is a process for displaying not only the evaluation result of the forwarded product purchase cost but also various other data obtained in each process (S110 to S160) up to the product purchase cost evaluation process. including. For example, in accordance with a request from the user, data such as an expected value, standard deviation, fluctuation range, etc. of a future forward product price obtained by the product price analysis process (S120) is displayed, or a transaction contract probability setting is performed. This includes processing such as displaying data relating to the transaction establishment probability obtained in the processing (S150).

  In addition, the product price setting support system 1 also uses the product purchase cost evaluation unit 16 as a result transmission process, and the interface product 20 uses the interface unit 20 to generate an evaluation result of the forward product purchase cost obtained by the product purchase cost evaluation process (S160). It transmits to the evaluation / commodity transaction optimization device 2 (S180).

  In the result transmission process (S180), not only the evaluation result of the forward product purchase cost but also other various data obtained in each process (S110 to S160) up to the product purchase cost evaluation process, Data to be used in the revenue risk evaluation / commodity transaction optimizing device 2 of the transmission destination is selectively transmitted. For example, data such as the expected value, standard deviation, fluctuation range, etc. of the future forward commodity price obtained by the commodity price analysis process (S120), or the transaction obtained by the transaction contract probability setting process (S150) Send data on establishment probability.

  In this way, the evaluation result of forwarded product purchase cost, that is, the expected value, standard deviation, fluctuation range, etc. representing the purchase cost of the forwarded product and its uncertainty, and the expected value, standard deviation of the future forwarded product price , Fluctuation data, or data related to transaction establishment probability, etc. are sent to the revenue risk assessment / product transaction optimization device 2 so that the revenue risk assessment and product transaction in the revenue risk assessment / product transaction optimization device 2 Can contribute to optimization.

  The revenue risk evaluation / transaction optimization device 2 calculates the probability distribution of the total revenue associated with the transaction of various products in the accounting period, and evaluates the fluctuation risk and the maximum loss in the confidence interval of the given probability distribution. At the same time, it is a device that supports various product transactions as a portfolio and optimizes this transaction portfolio to support product transaction planning. In order to perform such processing, the profit risk assessment / transaction optimization device 2 performs the above processing on the purchase cost of the forward product obtained by the product price setting support system 1 and the expected value of the future forward product price, Data such as standard deviation and fluctuation range are processed as a part of input data.

[Product purchase cost calculation processing]
FIG. 6 shows the procedure of the product purchase cost calculation process (S161) performed as part of the product purchase cost evaluation process (S160) by the product purchase cost evaluation unit 16 in the operation of the product price setting support system 1 in the present embodiment. It is a flowchart which shows an example.

  As shown in FIG. 6, in the product purchase cost calculation process (S161), the product purchase cost evaluation unit 16 first sets the first delivery transaction number i to “1” (S1611), and the i-th delivery transaction time point. Is set (S1612). It should be noted that the time difference between the first delivery transaction time and the delivery time is “the longest maturity or contract month of the delivery product” obtained by the demand fluctuation calculation parameter acquisition process (S130) by the demand fluctuation calculation parameter acquisition unit 13. Must be set to be inside. Further, it is necessary that the forward transaction time is before the time of delivery of the product.

  As described above, the i-th delivery transaction time is set (S1612), and when the set delivery transaction time is before the product delivery time (YES in S1613), the product purchase cost evaluation unit 16 The following series of processing (S1614 to S1618) is performed for the forward transaction at the time of the i-th forward transaction.

  In other words, the product purchase cost evaluation unit 16 first considers the probability of a forward transaction contract within one month with respect to the period until the maturity for the current (i-th currently processed) forward transaction point. And the value of the random number is compared with the forward transaction contract probability (S1614). When the value of the random number is less than or equal to the forward transaction contract probability, it is determined that the forward transaction is established (YES in S1615), and the process proceeds to the next.

  On the other hand, if the forward transaction is not successful (NO in S1615), the forward transaction time is set with a delay of one month (S1612), and if the set forward transaction time is before the delivery time (YES in S1613). Then, the success / failure probability of the forward transaction is considered (S1614), and the success / failure of the transaction is determined (S1615).

  If the current (i-th currently being processed) forward transaction is established (YES in S1615), the product purchase cost evaluation unit 16 then continues based on the probabilistic model of the assumed demand and the forward product price prepared in advance. Then, a random number is generated, and the price of the forwarded product having the assumed demand and delivery time at that time as the contract month (maturity) is estimated (S1616).

  Next, the product purchase cost evaluation unit 16 estimates that the forward transaction volume at this time (i-th currently being processed) only at the first time (i = 1), that is, the forward transaction volume = assumed demand. After calculating the value obtained by subtracting the previous (i-1) estimated demand from the current (i) assumed demand (S1617), the current (i) forward transaction amount is calculated as the current (i) forward transaction. It is calculated by the product of the quantity and the forward price (S1618).

  For the current (i-th) forward transaction, when the above-described series of processing (S1614 to S1618) is performed to calculate the forward transaction amount, the product purchase cost evaluation unit 16 increases the number of forward transactions i by one ( S1619) After setting a new i-th delivery transaction time (S1612), if the set delivery transaction time is before the delivery time (YES in S1613), a series of processing is similarly performed for the new i-th time. It performs (S1614-S1618).

  Note that the current (i-th) transaction time is the “forward transaction” obtained by the demand fluctuation-type calculation parameter acquisition process (S130) by the demand fluctuation-type calculation parameter acquisition unit 13 at the previous (i−1) -time transaction time. The interval is added.

  The commodity purchase cost evaluation unit 16 repeats the setting of the time of each forward transaction (S1612), the confirmation of the time of delivery (S1613), and the series of processes (S1614 to S1618) at that time, and then the time of the forward transaction. Exceeds the delivery time (NO in S1613), the total of the forward transaction amount from the first to the last round and the total of the forward transaction amount are calculated (S1620), and the average price of the forward transaction (= the transaction amount) is calculated as the forward product purchase cost. (Total ÷ total transaction amount) is calculated (S1621).

  The product purchase cost evaluation unit 16 repeats the product purchase cost calculation process (S161) as described above many times, so that a large number of advance product purchase costs can be obtained and the average and standard deviation thereof can be obtained.

[effect]
According to the first embodiment as described above, the price fluctuation model constant representing the commodity price fluctuation in the forward wholesale market, the demand fluctuation model constant representing the demand fluctuation of the consumer, and the uncertainty of the success or failure of the transaction in the forward wholesale market. Because it is possible to calculate the purchase cost of forwarded products using values such as the probability of transaction close, which indicates the potential, it is uncertain about the forward price, uncertain demand, and uncertain about the success or failure of the forward market. Therefore, it is possible to accurately evaluate uncertainties such as the purchase cost of a forwarded product and its fluctuation range. Accordingly, it is possible to support the setting of product prices in consideration of market risk, quantitative risk, and liquidity risk.

  In addition, by sending the data obtained by the product pricing support system to the profit risk assessment / product transaction optimization device, the forward price uncertainty, the demand uncertainty, and the success or failure of the forward market Considering uncertainties, it is possible to accurately evaluate profit risk related to product transactions and optimize product transactions. Therefore, it is possible to support the evaluation of profit risk and the optimization of commodity transactions taking market risk, quantitative risk, and liquidity risk into consideration.

[Second Embodiment]
[Constitution]
FIG. 7 is a block diagram showing a configuration of a commodity price setting support system according to the second embodiment to which the present invention is applied. In the present embodiment, when the transaction condition with the customer is delivery of the product at a certain period, a certain price, and a certain amount, the uncertainties such as the purchase cost of the forwarded product and the fluctuation range thereof are expressed as the forward price. It shows one form of evaluation in consideration of the uncertainty of the future and the uncertainty of the success or failure of the transaction in the forward market.

  As shown in FIG. 7, the commodity price setting support system 1 of the present embodiment replaces the demand fluctuation type calculation parameter acquisition unit 13 of the commodity price setting support system 1 according to the first embodiment with a fixed demand calculation. It has the parameter acquisition part 17, and another structure is the same as that of 1st Embodiment.

  As described above, since the transaction conditions with the customer are a certain period, a certain price, and a certain amount, the processing by the product purchase cost evaluation unit 16 is different from the first embodiment as described later. The calculation parameters acquired by the demand fixed calculation parameter acquisition unit 17 are also different from the demand fluctuation type calculation parameter acquisition unit 13 in the first embodiment. That is, the fixed demand calculation parameter acquisition unit 17 stores, as the calculation parameters, the “delivery start time”, “demand amount”, “delivery period”, and “the longest maturity or contract month of the delivery product” through the interface unit 20 or Obtained from the unit 30.

[Outline of operation]
FIG. 8 is a flowchart showing an outline of the operation in the commodity price setting support system according to the present embodiment having the above-described configuration.

  As shown in FIG. 8, the basic flow of the operation of the commodity price setting support system of this embodiment is as follows except for the fixed demand calculation parameter acquisition process (S230) and the commodity purchase cost evaluation process (S260). Since it is the same as the operation in the system of the first embodiment shown in FIG. 5, the same processes are denoted by the same reference numerals, and description thereof is omitted.

  That is, in the commodity price setting support system 1 of the present embodiment, the demand fixed calculation parameter acquisition unit 17 performs a fixed period calculation parameter acquisition process in which a transaction condition with a consumer has a fixed period, a fixed price, and a fixed amount. The calculation parameters corresponding to the above, that is, the delivery start time, the demand amount, the delivery period, and the longest maturity or contract month of the delivery product are acquired (S230).

  The product price setting support system 1 also uses the product purchase cost evaluation unit 16 as product purchase cost evaluation processing as product price analysis processing (S120), demand fixed calculation parameter acquisition processing (S230), and transaction contract probability setting processing ( Based on the data obtained in S150), an average calculation of the purchase cost of the average delivery product for the delivery period is performed (S260).

[Product purchase cost calculation processing]
FIG. 9 shows the procedure of the product purchase cost calculation process (S261) performed as part of the product purchase cost evaluation process (S260) by the product purchase cost evaluation unit 16 in the operation of the product price setting support system 1 in the present embodiment. It is a flowchart which shows an example.

  As shown in FIG. 9, in the product purchase cost calculation process (S261), the product purchase cost evaluation unit 16 first sets the first delivery time point i to “1” (S2611), and sets the i-th delivery time point. Is performed (S2612). If the delivery time is within the delivery period (before the final delivery time) (YES in S2613), the product purchase cost evaluation unit 16 sets the i-th delivery transaction time required for delivery at that time ( S2614).

  The time difference between the delivery time point and the delivery time point is within the “longest maturity or contract month of the forward product” obtained by the demand fixed type calculation parameter acquisition process (S230) by the demand fixed type calculation parameter acquisition unit 17. Must be set to In addition, the forward transaction time must be before the final delivery time of the product.

  After setting the i-th forward transaction time as described above (S2614), the product purchase cost evaluation unit 16 performs the following series of processing (S2615) for the forward transaction at the i-th forward transaction time point (S2615) To S2618).

  In other words, the product purchase cost evaluation unit 16 first considers the probability of a forward transaction contract within one month with respect to the period until the maturity for the current (i-th currently processed) forward transaction point. And the value of the random number is compared with the forward transaction contract probability (S2615). If the value of the random number is less than or equal to the forward transaction contract probability, it is determined that the forward transaction is established (YES in S2616) and the process proceeds to the next.

  On the other hand, when the forward transaction is not successful (NO in S2616), the time of the forward transaction is set with a delay of one month (S2614), and the success / failure probability of the forward transaction is taken into consideration (S2615) to determine the success or failure of the transaction (S2616). ).

  If the current (i-th currently processed) forward transaction is established (YES in S2616), the product purchase cost evaluation unit 16 then generates a random number based on a pre-prepared forward product price probability model. The price of the forwarded product is estimated with the delivery time at that time as the contract month (maturity) (S2617).

  Next, the product purchase cost evaluation unit 16 determines the fixed forward transaction volume determined in accordance with the demand amount obtained by the demand fixed calculation parameter acquisition process (S230) by the demand fixed calculation parameter acquisition unit 17 and the current (i The product of the delivery price of the (second) delivery is obtained as the delivery transaction amount for purchasing the goods necessary at the time of the delivery (i-th) (S2618).

  For the current (i-th) delivery transaction, when the above-described series of processing (S2613 to S2618) is performed to calculate the delivery transaction amount, the product purchase cost evaluation unit 16 increases the number i at the time of delivery by one. (S2619) After setting a new i-th delivery time point (S2612), a series of processing is similarly performed for the new i-th time (S2613 to S2618).

  The product purchase cost evaluation unit 16 repeats the above-described setting of each delivery time (S2612) and a series of processes (S2613 to S2618) at that time, and then the delivery time is a delivery period (final delivery time). If exceeded (NO in S2613), the total of the amount of forward transaction from the first time to the final time is calculated (S2620), and the average price of the forward transaction (= total amount of transaction / total amount of transaction) is calculated as the purchase cost of the forwarded product ( S2621). The total transaction volume is obtained by multiplying a certain amount of forward transaction volume and the number of transactions.

  The product purchase cost evaluation unit 16 repeats the product purchase cost calculation process (S261) as described above many times, so that a number of forward product purchase costs can be obtained and the average and standard deviation thereof can be obtained.

[effect]
According to the second embodiment as described above, when the transaction condition with the customer is delivery of a product in a certain amount, the price fluctuation model constant representing the product price fluctuation in the forward wholesale market and the forward wholesale market Uncertainty of the forward price and uncertainty of the success or failure of the transaction in the forward market, because it is possible to evaluate the purchase cost of the forwarded product using the value such as the probability of successful trade that represents the uncertainty of the success or failure In consideration of this, it is possible to accurately evaluate uncertainties such as the purchase cost of the forwarded product and its fluctuation range. Therefore, it is possible to support the setting of product prices in consideration of market risk and liquidity risk.

  In addition, by sending the data obtained by the product pricing support system to the revenue risk assessment / product transaction optimization device, if the transaction condition with the customer is the delivery of the product in a certain amount, the forward price In consideration of the uncertainties and uncertainties regarding the success or failure of transactions in the forward market, it is possible to accurately evaluate the profit risk related to the product transactions and optimize the product transactions. Therefore, when it is not necessary to consider the quantitative risk, it is possible to support the evaluation of the profit risk considering the market risk and the liquidity risk and the optimization of the commodity transaction.

[Other Embodiments]
It should be noted that the present invention is not limited to the above-described embodiments, and various other variations can be implemented within the scope of the present invention. First, the system configuration and flowchart shown in the drawings are merely examples, and a specific functional configuration, details of operation procedures and details of each process, a specific configuration of data to be used, and the like can be selected as appropriate.

  For example, the first and second embodiments are combined to provide a common calculation parameter acquisition unit that serves both as a demand fluctuation type and a fixed demand type calculation parameter acquisition unit, and the product purchase cost evaluation unit is used as a consumer. It is possible to implement a mode such as operating in a plurality of modes according to the transaction conditions.

  Moreover, in the said embodiment, although the structure which connected the product price setting support system and the profit risk evaluation and the product transaction optimization apparatus via communication media, such as a cable and a network, was shown, on one computer, It is also possible to incorporate a program specialized for product pricing support and profit risk assessment / product transaction optimization.

  In the above embodiment, the case where the method of the present invention is realized as a system and method using computer hardware and a program has been described. However, the method of the present invention is a computer specialized for product price setting support. It can also be realized in the form of a program only.

  That is, the present invention uses a value representing the commodity price fluctuation in the forward wholesale market and a value representing the uncertainty of the success or failure of the transaction in the forward wholesale market, and selectively uses the value representing the demand fluctuation of the consumer. As long as the evaluation calculation of the purchase cost of goods is performed, the specific embodiment can be freely selected.

The figure which shows typically the relationship between the fluctuation | variation assumption demand and forward transaction volume in order to demonstrate the basic technical idea of this invention. The figure which shows typically the relationship between time and the fluctuating forward price in order to demonstrate the basic technical idea of this invention. The figure which shows typically the relationship between the period until a maturity, and a forward transaction contract probability, in order to demonstrate the basic technical idea of this invention. The block diagram which shows the structure of the goods price setting assistance system which concerns on 1st Embodiment to which this invention is applied. The flowchart which shows the outline of operation | movement in the goods price setting assistance system which concerns on 1st Embodiment. The flowchart which shows an example of the procedure of the goods purchase cost calculation process performed as a part of goods purchase cost evaluation process in 1st Embodiment. The block diagram which shows the structure of the goods price setting assistance system which concerns on 2nd Embodiment to which this invention is applied. The flowchart which shows the outline | summary of operation | movement in the goods price setting assistance system which concerns on 2nd Embodiment. The flowchart which shows an example of the procedure of the merchandise purchase cost calculation process performed as a part of merchandise purchase cost evaluation process in 2nd Embodiment.

Explanation of symbols

DESCRIPTION OF SYMBOLS 1 ... Product price setting support system 2 ... Revenue risk evaluation and product transaction optimization apparatus 3 ... Communication medium 10 ... Calculation part 11 ... Product price data acquisition part 12 ... Product price analysis part 13 ... Demand fluctuation type calculation parameter acquisition part 14 ... Transaction contract probability record data acquisition unit 15 ... Transaction contract probability setting unit 16 ... Product purchase cost evaluation unit 17 ... Demand-fixed calculation parameter acquisition unit 20 ... Interface unit 21 ... Data input unit 22 ... Data output unit 23 ... Data communication unit 30 ... memory part

Claims (10)

In a product pricing support system that supports pricing for products purchased in the forward wholesale market and sold to consumers,
Use the value that represents the commodity price fluctuation in the forward wholesale market and the value that represents the uncertainty of the success or failure of the transaction in the forward wholesale market, and selectively select the value that represents the demand fluctuation of the customer according to the transaction conditions with the consumer. Product purchase cost evaluation means for calculating purchase cost of forwarded products using,
Storage means for storing calculation conditions and calculation results of the evaluation calculation;
A commodity price setting support system comprising interface means for inputting data necessary for the evaluation calculation and outputting a calculation result. The product purchase cost evaluation means calculates the purchase cost of the forward product without using a value representing the demand fluctuation of the consumer when the transaction condition with the customer is delivery of the product in a certain amount. And when the transaction conditions with the consumer are not delivery of the product in a certain amount, the purchase cost of the delivery product is evaluated using the value representing the demand fluctuation of the consumer. The commodity price setting support system according to claim 1. Product price data acquisition means for acquiring past forward product price data indicating the price of the forward product that has been traded in the forward wholesale market in the past through the interface means or from the storage unit;
Product price analysis means for analyzing the past forward product price data and determining a price fluctuation model constant necessary for calculating a model representing fluctuations in the forward price;
As calculation parameters, the delivery time when the product is delivered to the consumer, the demand fluctuation model constant necessary for calculating the model representing the fluctuation of the consumer's product demand, the initial assumed demand, the demand growth rate, the product A calculation parameter acquisition means for acquiring an interval of a forward transaction for purchasing from the forward wholesale market and a longest maturity or a contract month of the forwarded product in the forward wholesale market through the interface means or from the storage unit;
Transaction contract probability actual data acquisition means for acquiring the actual data of the forward transaction contract probability at the time of issuing a purchase order of the forward commodity in the forward wholesale market, through the interface means or from the storage unit;
A transaction that sets the forward transaction contract probability used in the evaluation calculation by approximating the actual data of the forward transaction contract probability with a smooth function as a function of the period until the expiration date or contract month of the forward product and the order quantity. A contract probability setting means;
The product purchase cost evaluation unit performs an evaluation calculation of the purchase cost of the forwarded product at each delivery time based on the data obtained by the product price analysis unit, the calculation parameter acquisition unit, and the transaction contract probability setting unit. The commodity price setting support system according to claim 1, wherein the product price setting support system is configured to display the calculation result by the interface means. Product price data acquisition means for acquiring past forward product price data indicating the price of the forward product that has been traded in the forward wholesale market in the past through the interface means or from the storage unit;
Product price analysis means for analyzing the past forward product price data and determining a calculation model constant representing a change in the forward price;
As calculation parameters, obtain the calculation parameters by acquiring the quantity of products delivered to the consumer, delivery start time, delivery period, and the longest maturity or contract month of the delivered products in the forward wholesale market through the interface means or from the storage unit. Means,
Transaction contract probability actual data acquisition means for acquiring the actual data of the forward transaction contract probability at the time of issuing a purchase order of the forward commodity in the forward wholesale market, through the interface means or from the storage unit;
A transaction that sets the forward transaction contract probability used in the evaluation calculation by approximating the actual data of the forward transaction contract probability with a smooth function as a function of the period until the expiration date or contract month of the forward product and the order quantity. A contract probability setting means;
The product purchase cost evaluation unit is configured to evaluate an average purchase cost of an advance product for the delivery period based on data obtained by the product price analysis unit, the calculation parameter acquisition unit, and the transaction contract probability setting unit. 3. The commodity price setting support system according to claim 1, wherein the product price setting support system is configured to perform calculation and to display a calculation result by the interface means. The product purchase cost evaluation means is configured to perform an evaluation calculation of an expected value, a standard deviation, or a fluctuation range of the purchase cost of the forwarded product as a value representing uncertainty of the purchase cost of the forwarded product. The product price setting support system according to any one of claims 1 to 4, characterized in that: The said goods purchase cost evaluation means is comprised so that evaluation calculation of the probability distribution or probability density distribution of the purchase cost of a forwarded goods may be performed, The any one of Claim 1 thru | or 5 characterized by the above-mentioned. Product pricing support system. 7. A forward price evaluation means for performing an evaluation calculation of an expected value, a standard deviation, or a fluctuation range of a future forward price as a value representing the uncertainty of the future forward price. The product price setting support system according to any one of the above. Connected to a revenue risk assessment and product transaction optimization device that supports product risk assessment or product transaction optimization support,
The product purchase cost evaluation unit is configured to output a value representing the purchase cost of the forwarded product obtained as a result of the evaluation calculation and its uncertainty to the revenue risk evaluation / product transaction optimization device. The commodity price setting support system according to any one of claims 1 to 7, wherein the commodity price setting support system is provided. In a product pricing support method for supporting the pricing of products purchased in a forward wholesale market and sold to consumers using a computer having a calculation unit, a storage unit, and an interface unit,
The calculation unit performs a product purchase cost evaluation step of calculating a purchase cost of the forward product using a value representing a commodity price fluctuation in the forward wholesale market and a value representing uncertainty of success or failure of the transaction in the forward wholesale market. ,
The storage unit performs a storage step of saving the calculation result of the evaluation calculation,
A product price setting support method comprising performing a result display step of displaying a calculation result by the interface unit. In the product pricing support program that supports the pricing of products purchased in the forward wholesale market and sold to consumers,
A product purchase cost evaluation function that calculates a purchase cost of a forward product using a value that represents a change in the product price in the forward wholesale market and a value that represents the uncertainty of the success or failure of the transaction in the forward wholesale market;
A storage function for storing calculation conditions and calculation results of the evaluation calculation;
A commodity price setting support program for causing a computer to realize an interface function for inputting data necessary for the evaluation calculation and outputting a calculation result.

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