JP2007188368A - Foreign exchange unit transaction system, method therefor, program, and program storage medium - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To provide a technique for eliminating a margin in a foreign exchange margin transaction. <P>SOLUTION: This foreign exchange unit transaction system 100 is provided with a margin transaction processing means 10 for supporting the foreign exchange margin transaction, an optional transaction processing means 20 for supporting an optional transaction, a hedge option proposing means 30 for proposing a hedge option proposal HO to a customer 2 to be displayed, in order to carry out an optional transaction capable of hedging a risk to an open interest fx of the margin transaction, and a unit generating means 40 for indicating to an undertaker a unit (un) generated by combining an option op selected by the customer 2 out of the hedge option proposal HO with the open interest fx of the margin transaction, in a foreign exchange transaction support server 99, and the unit generating means 40 guides to the customer 2 the combination of the units (un) to minimize a delta margin δ that is a loss amount from a difference of price between a contract price α of the open interest fx of the margin transaction and a strike price β of the option. <P>COPYRIGHT: (C)2007,JPO&INPIT

Description

  The present invention relates to a foreign exchange trading system using a computer connected to the Internet, and in particular, a system that supports trading in a form combining margin trading and option trading, its processing method, and its processing method realized by a computer. And a medium for storing the program.

  As one form of the foreign exchange transaction, there are a margin transaction (hereinafter also referred to as “FX transaction” or “FX”) and an option transaction (hereinafter also referred to as “OP transaction” or “OP”). FX trading is a transaction in which the customer first deposits with a business operator with a margin of about 5-10% of the transaction amount as collateral, and then buys and sells US dollars, euros, British pounds and other foreign currencies. When a counter-buying (hereinafter referred to as “hand closing”) is performed, the customer receives and pays a loss amount for a quantity corresponding to the buying and selling.

  In a FX transaction, when a new order is executed, the customer takes economic risk due to fluctuations in foreign currency prices until the order is closed. The economic risk state that this customer bears is the so-called position (hereinafter referred to as “open interest”), and there are open interest and open interest. The open interest is buying foreign currency, and the open interest is selling foreign currency. In the case of a buy-and-buy ball, the customer can make a profit if he / she makes a settlement when the foreign currency is higher than the purchase price, but a loss occurs if he / she makes a settlement when the foreign currency is lower than the purchase price. Also, the open position is the reverse of the open position.

  If the market price does not change according to the customer's expectation, the customer needs to deposit additional margin with the operator in order to maintain the current position. If there is a request for such additional margin, the customer suffers disadvantages, and there is a technique for preventing the generation of additional margin (for example, Patent Document 1).

  On the other hand, the OP transaction is a transaction in which a customer obtains a right to sell or buy a certain amount of foreign currency at a certain price within a certain period by paying a business operator a price called premium. The right to sell is called a put option (hereinafter referred to as “put”), and the right to buy is referred to as a call option (hereinafter referred to as “call”). In general, a call is a right to buy a dollar, for example, a dollar, and a put is a right to sell the first currency.

Patent Document 1 includes an option setting reception unit, an option strike price calculation unit, and an option setting unit, and in a financial transaction processing apparatus connected to a customer via a network,
1) For FX trading open interest (hereinafter also referred to as “FX open interest” or “open interest fx”), option data including the cap rate (upper limit price) or floor rate (lower limit price) of the foreign currency price is sent to the financial transaction processing device. Send.
2) The option exercise price calculation unit calculates a floor rate or a cap rate that satisfies a predetermined condition.
3) Furthermore, the option exercise price calculation unit combines a call with the cap rate as the exercise price and a put with the floor rate as the exercise price.
4) The option setting unit is an option open interest with the exercise price calculated by the option exercise price calculation unit (hereinafter referred to as “OP open interest”, “open interest op”) based on OP transaction conditions suitable for combining with open interest FX of FX transactions. Or “option op”).

  Disclosed is a financial transaction processing apparatus, a processing method, and a program for realizing the method, which have a function of processing an OP transaction in combination with an FX transaction, which is processed including the procedures shown in the above 1) to 4) Yes.

  Specifically, in a financial transaction processing apparatus for processing FX transactions, option exercise price calculation means for calculating an option exercise price that satisfies a predetermined condition for FX open interest, and option setting means for setting an option having an exercise price for FX open interest And option exercise / waiver judgment means for deciding whether to exercise the option and settle the FX open interest based on the exercise price and actual price on the option date, or whether to renounce the option, and option exercise / waiver judgment And an option exercising and abandoning execution means for processing the option and FX open interest based on the determination result by the means.

  As a result, when an option is set for FX open interest and the maturity date of the option (hereinafter referred to as “delivery date”, “option due date”, “due date”, “expiration date” or “contract month”), The FX open interest can be settled by exercising options (hereinafter also referred to as “exercise options” or “exercise rights”) based on the prevailing price and the exercise price. Therefore, for example, if the market price does not change as expected by the customer, the financial transaction processing device automatically exercises the rights and further settles the FX open interest, thereby limiting the loss.

  In the above-described financial transaction processing method for processing FX transactions, a computer calculates an exercise price of an option that satisfies a predetermined condition for FX open interest, a computer executes an option having an exercise price for FX open interest, On the due date, based on the exercise price and the prevailing price, it is determined whether to exercise the option and close the FX open interest, or whether to abandon the option. The computer determines the option and FX open interest based on the determination result. To process.

By doing so, it becomes possible to eliminate the need for additional margin to maintain the open interest that the customer currently holds, even if the price of the foreign currency does not move as expected by the customer, In addition, it is possible to limit the loss experienced by the customer in that case.
Japanese Patent Laying-Open No. 2003-58712 (paragraphs 0006 to 0020, FIG. 1)

  However, in the financial transaction, a technique for preventing the generation of additional margin related to the FX transaction is disclosed, but the technique is not a technique that makes the margin unnecessary from the start to the end of the transaction.

  And in order to support a customer's decision-making, the function to display a real-time market price data on an information terminal is immature, and the function to make a business instruction from a customer efficiently consigned to an operator was also immature. In these respects, there was a problem of improving the convenience of foreign exchange transactions.

  The present invention solves the above-described problems and eliminates the need for margin deposits in foreign exchange margin transactions from the beginning of the transaction. Real-time data that supports customer decision-making is efficiently transferred to an information terminal. A foreign exchange unit transaction system for performing unit transactions, which is a transaction form in which margin transactions and option transactions are combined, enabling the operator to efficiently accept the customer's transaction instructions from the information terminal. It is an object to provide a program and a program storage medium.

  In order to solve the above-mentioned problem, the invention according to claim 1 is that the business operator (3) who accepts foreign exchange transactions through information communication with the customer (2) via the Internet (1) allows margin transactions and option transactions. A foreign exchange unit transaction system (100) used for supporting unit transactions, which is a combination of transaction types, having a foreign exchange transaction support server (99) as a core, the foreign exchange transaction support server (99) includes , Margin trading processing means (10) that supports margin trading by inserting margin of collateral, and the right to buy and sell the transaction target asset at the strike price (β) specified in advance in the period until the maturity date Option trading processing means (20) for supporting option trading, and risk hedging option trading for the open interest (fx) of the margin trading The option (op) selected by the customer (2) from the hedge option candidates (HO) and the margin option proposal means (30) for proposing and displaying the option (HO) to the customer (2) Unit generating means (40) for instructing the operator (3) a unit (un) generated in combination with the open interest (fx) of the transaction, the contract price (α) of the open interest (fx) of the margin transaction ) And the strike price (β) of the option (op), the unit generation means (40) generates a combination of the units (un) that minimizes the delta margin (δ), which is a loss amount. ) Is a foreign exchange unit transaction system (100).

  According to the invention of claim 1, the foreign exchange unit transaction system (100) uses the Internet (1) mainly as a foreign exchange transaction support server (99) used by a business operator (3) entrusting foreign exchange transactions. It is configured to be able to accept foreign exchange transactions while communicating information with a customer information terminal (simply called “customer” throughout the entire text) (2).

  The unit transaction referred to here is a transaction form combining margin transaction and option transaction in foreign exchange transaction.

  The foreign exchange transaction support server (99) is equipped with computer programs (hereinafter simply referred to as “programs”) necessary to support unit transactions, and supports foreign exchange transactions by executing those programs. To do.

  The foreign exchange transaction support server (99) is a computer device capable of information communication by connecting to the Internet (1). By executing various programs, the margin transaction processing means (10), the option transaction processing means ( 20), a hedge option proposing means (30), and a unit generating means (40).

  The margin trading processing means (10) supports foreign exchange margin trading in which collateral margin is inserted to make a relative transaction. Specifically, if the customer's (2) transaction intention is recognized using hardware arranged inside and outside the foreign exchange transaction support server (99), the transaction intention is processed and stored in a realizable manner. And display for easy confirmation.

  The option transaction processing means (20) supports option transactions for trading the right to buy and sell the transaction target asset at a strike price (β) designated in advance during the period until the maturity date. This also uses the hardware to process, store and display the customer's (2) willingness to make it easier to confirm.

  The hedging option proposing means (30) displays a margin option (fx) for proposing a hedging option candidate (HO) to the customer (2) for risk hedging option trading. For the hedge option candidate (HO), a plurality of candidates are listed in a freely selectable manner by an operation that minimizes the loss of the customer (2).

  The unit generating means (40) generates a contract price (α) of the open interest (fx) of the margin transaction and an option when generating a unit (un) combining the margin transaction and the option transaction in the foreign exchange transaction. The combination that minimizes the delta margin (δ), which is the amount of loss from the strike price (β), is guided so that the customer (2) can easily select the combination.

  Here, risk hedging is achieved by minimizing the delta margin (δ), which is the amount of loss between the contract price (α) of the open interest (fx) in margin trading and the option strike price (β). The effect can be almost perfect.

  The unit generating means (40) generates the unit (un) by combining the open interest (op) of the option selected by the customer (2) from the hedge option candidates (HO) with the open interest (fx) of the margin transaction. Therefore, the operator (3) accepts the foreign exchange transaction by this unit (un).

  If the margin trading position (fx) embedded in the unit (un) generated in this way causes a loss against the customer (2) 's expectation, the optional position position included in this unit (un) If the customer (2) exercises (op) before the due date, a profit sufficient to offset the loss of margin trading is generated.

  This means that the open interest of the option (α) and the delta margin (δ), which is the difference between the contract price (α) of the open interest (fx) of the margin transaction and the option exercise price (β), are close to zero. Op) is combined with the open interest (fx) of the margin trading to generate the unit (un), so the risk hedging effect will be ensured, so that not only the additional margin when the market forecast of the margin trading falls off, It becomes possible to make the margin unnecessary from the start to the end of margin trading.

  In other words, even if the open interest (fx) of margin trading is not the customer's (2) expectations, the option open interest (op) is fully risk-hedged, so the customer (2) has less self-financing and poor knowledge experience. This enables safer investment activities including misjudgment.

  The invention according to claim 2 is a foreign transaction form in which a business operator (3) who is entrusted with a foreign exchange transaction through information communication with a customer (2) via the Internet (1) combines a margin transaction and an option transaction. A foreign exchange unit transaction method that uses a computer to support exchange unit transactions, and proposes a hedge option candidate (HO) to a customer (2) in order to conduct risk-hedged option transactions for the open interest (fx) of the margin transaction. Hedging option proposal processing (S1) to be displayed, and option trading processing (S2) to support option trading for trading the right to buy and sell the trading target asset at a pre-specified strike price (β) in the period until the maturity date , Which is the amount of loss between the contract price (α) of the open interest (fx) in the margin transaction and the exercise price (β) of the option (op) Delta margin minimization processing (S3) in which the unit generation means (40) guides the combination of the units (un) that minimizes jin (δ) to the customer (2), and the margin of collateral Margin transaction processing (S4) for supporting margin transactions for insertion and relative transactions, and the option (op) selected by the customer (2) from the candidate hedge options (HO) is the position of the margin transaction (fx A unit generation process (S5) for instructing the business operator (3) the unit (un) generated in combination with the foreign exchange unit transaction. Is the method.

  According to the invention of claim 2, the same effect as that of the invention of claim 1 is obtained.

  The invention according to claim 3 is a foreign transaction form in which a business operator (3) who is entrusted with a foreign exchange transaction by information communication with a customer (2) via the Internet (1) combines a margin transaction and an option transaction. A program that causes a computer to execute processing related to exchange unit transactions, and proposes a hedge option candidate (HO) to a customer (2) in order to conduct risk hedging option trading for the open interest (fx) of the margin transaction. Hedging option proposal processing (S1) to be displayed, and option trading processing (S2) to support option trading for trading the right to buy and sell the trading target asset at a pre-specified strike price (β) in the period until the maturity date; , The delta margin (δ), which is the difference between the contract price (α) of the open interest (fx) in the margin trading and the option strike price (β) Delta margin minimization processing (S3) in which the unit generation means (40) guides the combination of the units (un) that minimizes to the customer (2), and a collateral margin is inserted for a relative transaction Margin trading processing (S4) that supports margin trading and the option (op) selected by the customer (2) from the candidate hedge options (HO) are combined with the open interest (fx) of the margin trading. A program that causes the computer to execute a process including a unit generation process (S5) for instructing the business operator (3) the generated unit (un).

  According to the invention of claim 3, the same effect as that of the invention of claim 1 or claim 2 is obtained.

  The invention according to claim 4 is a computer-readable recording medium on which the program according to claim 3 is recorded.

  The invention according to claim 4 has the same effects as the inventions according to claims 1 to 3.

  According to the present invention, a low risk and a high return are realized by proposing an efficient combination with an option transaction in a margin transaction that is originally a high risk. It is also possible to eliminate the need for margin from the start to the end of margin trading. In addition, real-time data that supports customer decision-making can be efficiently displayed on an information terminal, and the customer's intention can be efficiently reflected in foreign exchange transactions from the information terminal, improving the convenience of foreign exchange transactions. It is possible to make it.

  Hereinafter, embodiments of the present invention will be described with reference to the drawings. FIG. 1 is a configuration diagram of a unit transaction system (hereinafter also referred to as “the present system”) 100. This unit transaction (UN transaction) is a transaction form that combines a margin transaction (FX transaction) of foreign exchange and an option transaction (OP transaction).

  As shown in FIG. 1, the system 100 allows a business operator 3 who is entrusted with a foreign exchange transaction (hereinafter also simply referred to as “transaction”) to communicate information with a customer 2 using an information terminal via the Internet 1. This is a configuration in which UN transactions can be performed unattended with the foreign exchange transaction support server 99 as the core.

  The business operator 3 transfers the commissioned order from the customer 2 to the foreign exchange market 5 such as the interbank market through the dedicated online 4. The foreign exchange market 5 does not have exchanges such as stock exchanges or commodity exchanges, and exchanges are carried out with relative transactions between banks within the limits of the credit limit permitted for each bank. There are spot market transactions.

  Further, the external information vendor 6 provides the system 100 with information related to foreign currency rate (price) and information necessary for calculating a premium (option price). An external transaction system 200 that is communicably connected to the system 100 is a similar system of another company in the same industry that conducts foreign exchange transactions, and the system 100 is a trading partner according to an order received from the customer 2. It is also possible.

  The premium (refer to the premium display section 55 in FIG. 5) is applied when making a relative transaction with the customer 2. However, the price is not directly formed in the market. The basis for the calculation of the price calculated by each calculation formula has been elucidated mathematically so that the Black-Scholes model is well known. The market value of the target stock, the strike price β, It is determined by the influence of complex factors such as the number of days remaining (time value), volatility (rate of change), and short-term interest rates, so it fluctuates like a market.

Premium = Intrinsic value + Time value Intrinsic value = Target market value-Strike price β
Time value = Expected value related to the number of days remaining until the deadline

  However, it is actually sufficient for the customer 2 to browse the premium price posted on the corresponding homepage or the like via the Internet 1. Alternatively, as will be described later with reference to FIG. 5, the price is displayed for each option on the premium display section 55 of the hedge option proposal screen 50 in the present system 100, so the customer 2 has the effort to know the price for each option. Less is enough.

  The foreign exchange transaction support server 99 includes an input unit 91, a processing unit 92, a storage unit 93, a display unit 94, which are hardware arranged inside and outside, and a program necessary to support UN transactions. If these programs are executed, the margin transaction processing means 10, the option transaction processing means 20, the hedging option proposing means 30, and the unit generation means 40 function to make a decision on the customer 2 who conducts the foreign exchange transaction. It is configured so that it can also support and relay orders to the foreign exchange market 5.

  The margin transaction processing means 10 supports FX transactions in which a margin as collateral is inserted into the operator 3 as necessary, and the transactions are carried out in a relative transaction. For that purpose, if the order of the customer 2 is recognized using the hardware arranged inside and outside the foreign exchange transaction support server 99, the order is processed and stored in an information form that can be executed, and the customer 2 to facilitate confirmation of parties including 2.

  The option transaction processing means 20 supports OP transactions in which an option op (see FIGS. 5, 7, and 9) that is a right to buy and sell the transaction target asset with a strike price β designated in advance within the time limit is traded. This also uses the hardware to process the customer 2's order so that it can be executed, store it, and display it for easy confirmation.

  The hedge option proposing means 30 proposes a hedge option candidate HO to the customer 2 in order to make a risk-hedging OP transaction for the open trade FX fx (see FIGS. 4, 8, and 9), and displays it freely. (See FIG. 5). The hedge option candidate HO is generated by the hedge option proposing means 30 in consideration of an operation for minimizing the loss of the customer 2, and a plurality of candidates are listed in a freely selectable manner. The calculation will be described later with reference to FIG.

  The unit generation means 40 is the amount of loss between the contract price α of the open interest fx of the FX transaction and the strike price β of the option op when generating the unit “un” that combines the FX transaction and the OP transaction in the foreign exchange transaction. The customer 2 is guided so that it is easy to select the combination in which the delta margin δ is zero or the minimum. This delta margin δ is the amount of loss between the contract price α of the open interest fx of margin trading and the option strike price β, and the effect of risk hedging by making it zero or minimum To the maximum.

  Specifically, as will be described later with reference to FIGS. 5 to 8, when the customer 2 generates the unit “un”, if the delta margin δ is generated, the customer 2 can easily perform mental calculation. The contract price α of the open interest fx and the option strike price β are displayed on the screen. The customer 2 is configured to generate a unit “un” by selecting a combination with which the delta margin δ becomes zero or minimum by a mouse click operation with cursor alignment.

  The unit generation means 40 generates the unit “un” by combining the option op selected by the customer 2 from the hedge option candidates HO with the open interest fx of the FX transaction. It should be noted that the delta margin δ may be set not to be minimized by the manual operation of the customer 2. For example, even if the risk hedging is incomplete, if the premium price is low, the manual operation of the customer 2 based on the investment judgment that it is advantageous is also effective.

  The unit un generated in this way (see FIG. 4) may be set manually by the customer 2, or automatically or semi-automatically set by the arithmetic processing of the unit generating means 40. By this unit “un”, the business operator 3 accepts foreign exchange transactions from the customer 2. The business operator 3 also performs exclusive transactions using the foreign exchange market 5 and the dedicated online 4 as necessary to preserve its assets.

  Then, if a position FX in FX trading incorporated in unit un causes a loss against customer 2's expectation, the loss of FX trading is offset by exercising the option op incorporated in unit un. Only profits. Then, the initial investment amount for the open interest fx incorporated in the unit “un”, that is, the loss as the unit “un” initially planned is determined.

  For this option op, it is sufficient to have a premium purchase fund of 1 to 2% for the exercise of rights (see the premium display section 55 in FIG. 5). Moreover, if the option op is viewed as a single unit, the profit is infinite, the risk if the market price for the option op moves in the opposite direction to the expectation is limited to the premium purchase price paid at the time of purchase, and there is no additional margin It is unnecessary.

  In this way, the open interest FX of FX trading and the option op have a sufficient relationship to ensure and complement the risk hedging effect, so not only additional margin but also evidence from the start to the end of FX trading Money can be eliminated. In other words, even if the FX trading open interest fx deviates from the customer 2's expectation, complete risk hedging is done with the option op, so it is safer for the customer 2 including less self-financing, poor knowledge experience, judgment error, etc. Investment activities.

  In OP transactions, there are two types of arrangements that can be exercised: “American type” and “European type”. Of these, the “European type” is limited to the date of payment (due date), and the profit and loss cannot be determined until the due date arrives. The other “American type” can be exercised at any time within the time limit.

  FIG. 2 is a flowchart showing the UN transaction method. The foreign exchange transaction support server 99 performs a hedge option proposal process (S1), an option transaction process (S2), a delta margin minimization process (S3), and a margin transaction process (S4). ) And the unit generation process (S5), and the procedure for supporting the UN transaction of the customer 2 is shown.

  In the hedging option proposal process (S1), a hedge option candidate HO is displayed and proposed to the customer 2 in order to perform risk hedging OP trading for the FX position open interest fx (see FIG. 5).

  In the option transaction process (S2), the order of OP transaction is selected by the customer 2 selection from the hedge option candidate HO displayed to be proposed from the foreign exchange transaction support server 99 to the customer 2 by the hedge option proposal process (S1). The business operator 3 is entrusted and performs processing for dealing with the foreign exchange market 5 or other counterparts from the business operator 3 in connection with the order.

  In the option transaction processing (S2), for example, in the case of an option whose currency pair is dollar / yen, since the dollar is the first currency, the call means the right to buy dollars against yen, and put is The right to sell dollars in yen.

The option op that the system 100 proposes to the customer 2 the unit un combination (see FIG. 4) (see FIG. 5) is an open interest fx held when the customer 2 newly executes a FX transaction by buying or selling. Is needed to hedge. For this hedging purpose, it is sufficient to divert option open interests op 1 to _n that are held before FX trading. Therefore, it has the property that additional funds such as premiums are unnecessary for hedging applications.

  Unit combination that minimizes the delta margin δ, which is the difference between the contract price α of FX position FX and the strike price β of option op, is generated by the delta margin minimization process (S3) The means 40 guides the customer 2 (see FIG. 5).

  Margin transaction processing (S4) is possible only when options are set by option transaction processing (S2). This is a characteristic of UN trading, and a risk hedging function is formed by a program constituting the margin trading processing means 10 and the unit generation means 40 shown in FIG.

  In the unit generation process (S5), the operator 3 is instructed to the operator 3 the unit un generated by combining the option op selected by the customer 2 from the hedge option candidates HO with the open trade FX fx.

  FIG. 3 is a flowchart showing an example of UN transaction. Option purchase process (S11), FX open interest setting process (S12), delta margin minimization process (S13), FX settlement process (S14), OP settlement process (S15) ) And option right exercise processing (S16).

  In the option purchase process (S11), as will be described later with reference to FIGS. 5 and 7, the currency pair, contract month, “call” or “put” type of the OP transaction is selected, and the premium is confirmed. To display the ordering screen. Then, for example, the number of trading units is set to tens of thousands of dollars, and “execution” or “limit” is selected, and execution conditions such as a deadline for maintaining the conditions are selected. If you want to place an order for “Limit” or “Stop Limit”, enter the limit and then click the “Execute” button with the mouse. When an order is executed, it is displayed in the open interest list. The option purchase process (S11) can be achieved by executing a program constituting the option transaction processing means 20 (see FIG. 1).

  The FX open interest setting process (S12) selects a currency and clicks on the exchange rate display section (selected currency exchange rate display section 72) for “buy” or “sell” as described later with reference to FIG. To do. At this time, in order to obtain a hedging effect, “sell” is established for “call” and “buy” is established for “put”. Next, the number of trading units is set to tens of thousands of dollars, and “market” or “limit” is selected. Then, an execution condition such as a time limit for maintaining the execution condition is selected.

If you want to place an order for “Limit Price” or “Stop Price”, enter the limit price and click the execution (order) button with the mouse. When the order is executed, it is displayed in the open interest list, and the maintenance rate and margin are displayed in the account column. At this time, if there is no option op 1 to _n (see FIG. 4) _to be combined for generating the unit “un”, the order processing related to FX open interest is not executed, so the number of FX open interest setting processing is the option op 1 _{to n.} Set to the same number or less. The FX position setting process (S12) can be achieved by executing a program constituting the margin transaction processing means 10 (see FIG. 1).

  In the delta margin minimization process (S13), if a swap interest rate arises and deposits of interest contributions are required, the amount of interest contributions will be displayed along with the amount of delta margin δ and the margin on the FX ordering screen. Displayed in the column. The delta margin minimization process (S13) can be achieved by executing the programs constituting the unit generation means 40 and the margin transaction processing means 10 (see FIG. 1).

  In the FX settlement process (S14), the open interest fx of the FX transaction is settled according to the following procedure. Select FX trading and select “Buy” or “Sell”. Next, the currency pair, the number of trading units, and the execution conditions are selected. As an execution condition, “success” is selected from “success”, and “limit” is selected from LMTGTC (valid until cancel), LMTEOD (valid on the day), and LMGTTW (valid until the weekend).

  On the other hand, in the case of “stopping price”, the selection is made from STPGTC (valid until cancel), STPEOD (valid on the day), and STPGTW (valid until the weekend). If you place an order for “Limit” or “Stop Limit”, enter the numerical value before placing a close order. The FX settlement process (S14) can also be achieved by executing a program constituting the margin transaction processing means 10 (see FIG. 1).

  In the OP settlement process (S15), the contract month, currency pair, “call” or “put” type is selected. Then, the number of transaction units is input, and as the execution condition, “limit” is selected from any one of LMTGTC, LMTEOD, and LMGTTW, or “execution” is selected. Then, when placing an order of “limit price” or “reverse limit price”, the limit is input and then the order is executed. When the order is executed, the display disappears from the open interest list. The OP settlement process (S15) can also be achieved by executing a program constituting the option transaction processing means 20 (see FIG. 1).

There are three option transaction settlement methods: “resale”, “waiver” and “exercise rights”.
1) Resale is the most common settlement method that resells within a time limit and receives a premium of market value. If the market price is as expected, the premium purchased at 2 yen can be resold at 7 yen. Also do.
2) Waiver means that if the market price is not expected and the strike price β has not been reached on the last day of the deadline, the right is waived and the transaction is terminated. The value of is zero.
3) Exercising is a method in which the open interest can be transferred to FX trading. In the case of a call, the exercise price β is the contract price of the FX transaction, and in the case of a put, the exercise price β is FX transaction. The sale contract price.

The settlement method for in-the-money positions (open interest-making positions) in OP transactions is as follows.
1) In the case of call open interest, after selling the same amount of FX open interest, by exercising the right to buy call open interest, the difference between the strike price β and the FX transaction can be obtained as profit.
2) In the case of put open interest, after buying the same amount of FX open interest, by exercising the right to sell put open interest, the difference between the strike price β and FX trading can be obtained as profit.

  Note that the in-the-money means that the option op has an intrinsic value and a profit is generated when the option op buyer exercises the right. For example, in the case of a call, the market price of the underlying asset is higher than the strike price β, and in the case of a put, the market price is cheap. Further, out-of-the-money refers to a loss occurrence state, and at-the-money refers to a state where profits are offset (zero).

  In the option exercise process (S16), the option ordering screen is opened, the option to exercise the right is selected from the open interest list, and the mouse is clicked (FIG. 5). Select “EXRMKT” (exercise rights) as the execution condition and click the “execution” part with the mouse. When the right is exercised, the display disappears from the open interest list (FIGS. 6 to 9). The option right exercising process (S16) can also be achieved by executing a program constituting the option transaction processing means 20 (see FIG. 1).

Figure 4 is an explanatory view of the delta margin minimization process (S13), assuming that the customer 2 alone dollar / yen (not units) already maintains the three put open interest op ₁ ~op ₃ To do. The breakdown of these is the option op ₁ strike price β ₁ = 111 yen, the option op ₂ strike price β ₂ = 110 yen, and the option op ₃ strike price β ₃ = 109 yen. At this time, it means that the open interest fx ₁ having the contract price α = 110 yen has been bought. At this time, the open interest fx ₁ is preferentially combined with a single option having the maximum in-the-money (profit) width, that is, the delta margin δ being zero or minimum.

In order to make the delta margin δ zero, for the time being, if the unit is formed with option op ₂ with the strike price β ₂ = 110 yen that is the same value as the contract price α = 110 yen of the open interest fx ₁ , it is completely risk hedged It can be done (at the money). Furthermore, if there is no option that can be risk-hedged (hereinafter referred to as “hedging option”), the FX open interest setting process (S12) shown in FIG. Yes. Furthermore, since the delta margin minimization process (S13) can be achieved instantaneously and automatically by executing these programs, the customer 2 can safely and easily perform FX transactions that are originally considered to be high risk. .

Here, as a condition for δ = 0, α = β ₂ = 110 yen may be set as a unit. Actually, however, the value is shifted to β ₁ = 111 yen, which is 1 yen higher than α = 110 yen. is the unit formed by the combination of the alpha <beta _1. The reason for this is that, in the reality of the transaction, including the order Shigeyuki, because it is a state in which sales methods and the buyers are seeking the contract price while always varying the asking price, be matched perfectly to the α = β ₂ Because it is difficult.

Specifically, because it is a system in which the price fluctuation range of the strike price β in OP transactions is set in stages with two digits after the decimal, β ₂ = 110.00 yen is intended, but after 110.25 yen it is 110 Searching for optimal options in stages, such as .50 yen, 110.75 yen, 111.00 yen, and 111.25 yen, it is not possible to make stepless pricing between 0.25 yen increments.

On the other hand, the contract price α of FX trading is usually established after a time delay that causes a slight price difference from the limit immediately after a matching trading partner is found, even if it is a limit order. It is. Then, a unit of β ₁ = 111 yen is automatically formed for α = 110 yen.

  When unit un is formed in this way and there are several units without a single option open interest, by exercising the option before the deadline, the FX open interest closest to the option strike price β is obtained. Can be offset.

In addition, if you have two or more single options with different strike price β and do not have FX open interest, and you build a new FX open interest to form a unit, FX open interest has the largest in-the-money width. A combination of such units un is preferentially combined. If β ₀ option op ₀ (not shown), which has a higher strike price than β ₁ = 111 yen shown in FIG. 4, is purchased, the in-the-money width is calculated from the relationship α <β ₁ <β _0. A unit is formed by a combination of α <β _{0 that} can be secured larger. Naturally, there is no delta margin δ, which is the amount of loss between the contract price α of the open interest fx in margin trading and the option strike price β.

  The delta margin minimization process (S13) is achieved mainly by executing a program constituting the unit generation means 40. In other words, the customer 2 is guided so that the customer 2 clicks the numerical data at the location specified by the cursor highlight or the like on the screen (for example, FIG. 5). However, as a risk condition for δ> 0, for example, a unit setting such as α> β can be set by a manual operation or the like that intentionally cancels the risk hedging function based on the investment judgment of the customer 2. In FIG. 4, when “put” is read as “call” and “buy” is read as “sell”, the unit “un” is generated so that “α <β” becomes “α> β”.

In the system 100, the unit generation means 40 disposed in the foreign exchange transaction support server 99 used by the operator 3 is a hedge option candidate HO (FIG. 5), that is, the options op ₁ to option op ₃ shown in FIG. In the state where there are three puts, the operator 3 entrusts the unit “un” generated by combining the option op ₁ selected by the customer 2 with the open interest fx ₁ , and in connection with the order, The person 3 may trade with the foreign exchange market 5 (FIG. 1) or with another party.

  FIG. 5 is a diagram of a hedge option proposal screen 50, which includes a currency pair selection unit 5 l, a contract selection unit 52, a call / put selection unit 53, an update button 54, and a premium display unit (also called an ordering screen call button) 55. Options that the customer 2 can appropriately click with a mouse are presented.

  For example, if “USD / JPY” is displayed, the currency pair selection unit 5l means selling and buying US dollars of the first currency, which is the main axis, in yen of the second currency, and other major currencies also The first and second currency rankings can be selected within a specified range.

  For example, if "Jan. 2006" is displayed, the contract month selection unit 52 means the expiration date January 31, 2006, and can be selected by month within a prescribed range.

  The call / put selection unit 53 can be selected as appropriate according to the investment judgment of the customer 2. “Call” or “call” is displayed if a call is desired, and “put” or “put” is displayed if a call is desired. It should be noted that any national language of the screen display is included in the technical idea of the present invention.

  The update button 54 is arranged so that the latest data of the foreign exchange rate that changes from time to time is collected and displayed from the information vendor 6 (FIG. 1), so that the customer 2 can appropriately click the mouse when making a transaction decision. ing.

The premium display unit 55 displays a price specific to the option op ₄ and can be updated to the latest value according to a mouse click operation of the update button 54. Since the premium display unit 55 also functions as an order screen call button, the order screen shown in FIG. 6 is called by a mouse click operation.

  The premium display section 55 has an effect of guiding the customer 2 so that the customer 2 can easily click the numerical data of the portion highlighted by the cursor highlight or the like. By this inductive action, the customer 2 can prompt a safe and advantageous investment decision. However, depending on the investment judgment of the customer 2, it is configured so that an order can be made even by clicking the numerical data of a portion not highlighted with a cursor.

  FIG. 6 is a view of an OP ordering screen 60 including a list of open interests. In the upper half, a buy / sell selection button 61, a number setting unit 62, a currency pair selection unit 51, a strike price setting unit 64, a call / put. A selection unit 53, a contract month selection unit 52, an execution condition selection unit 67, a limit setting unit 68, a erection / deletion selection button 69, and an order (denoted as “execution” in FIG. 6) button 7 are arranged. The open interest list is displayed and an order number display portion 71 is arranged.

  The buy / sell selection button 61 is a button for selecting, by a mouse click operation, whether the customer 2 orders the business operator 3 by selling settlement or buying settlement. However, when the system 100 is used in a mode limited to UN transactions according to the setting of the operator 3, the operation of the buy / sell selection button 61 is not accepted, and only a buy order is available for any option of call or put. It is possible to simplify the business management by entrusting the service. Hereinafter, the explanation will be made on the assumption that the OP position in the UN transaction is a buy order.

  For example, if 10,000 dollars is defined as the minimum transaction unit, the number setting unit 62 adds or subtracts a numerical value displayed in the unit of the number by the mouse click operation of the up / down adjustment unit or the numeric keypad. Enter the value directly with.

  For example, if it is dollar / yen, the currency pair selection unit 51 displays “USD / JPY” on the window frame and selects it by a mouse click operation. By clicking the mouse on the up / down adjustment part on the right side of the window frame, “EUR / USD” can be displayed on the window frame instead of “USD / JPY” to select euro / dollar.

  The strike price setting unit 64 sets the strike price β by adding or subtracting the displayed numerical value by a mouse click operation of the up / down adjustment unit or by directly inputting the numeric value with the numeric keypad. Hereinafter, all operations in the present embodiment are performed by mouse clicks or numeric keys, but depending on the information terminal of the computer used by the customer 2, a configuration in which the touch operation is performed with a touch pen or the like on the display screen may be used.

  As described above, the execution condition selection unit 67 executes “successful execution” in the FX settlement process (S14), OP settlement process (S15), and option right exercise process (S16) shown in FIG. ”Is“ MARKET ”,“ Limit is valid until cancellation ”is“ LMTGTC ”,“ Limit is valid only on the current day ”is LMTEOD, and“ Limit is valid until weekend ”is“ LMTGTW ” “Exercise Rights”, “EXRMKT” is displayed in the window frame and selected. In addition, it is not limited to these display words over the whole sentence, and other words may be used as long as it is an expression that can obtain a general understanding of the industry.

  The limit setting unit 68 adjusts the displayed limit by the up / down adjustment unit or inputs a numerical value to use as appropriate. In addition, based on the market price information from the information vendor 6, based on the prevailing price for the trading target brand, etc., a numerical value advantageous to the customer 2 by the minimum price movement range is automatically displayed on the limit setting unit 68, and the customer 2 You may make it approve by mouse click operation.

  The building / falling selection button 69 is selected by displaying “building” when setting a new option, and “falling” when finishing an already set option.

  If the customer 2 performs a mouse click operation on the order (execution) button 7, an order is placed according to the intention of the customer 2 already selected on the OP order screen 60. Then, after a new option is set by placing a “building” order, it is displayed in the open interest list that occupies the lower half of the OP ordering screen 60 for the period from when the new option is closed to the “declining” order. In the number display portion 71, an order number is displayed.

  FIG. 7 is a diagram of another form of the OP order screen 70, in which the number setting unit 62 arranged in the upper half, the buy / sell selection button 61, the OP / FX selection button 63, the contract month selection unit 52, and the currency pair selection unit 51. It is possible to place an OP order by performing a mouse click operation on the strike price setting unit 64, the call / put selection unit 53, the limit setting unit 68, the execution condition selection unit 67, and the order button 7 in almost the order described.

Here, if the OP / FX selection button 63 is selected to be “OP”, OP ordering is possible, and if “FX” is selected, FX ordering is possible. However, has been described only OP ordering screen 70 in the OP ordering mode, it is displayed options op ₅ in the open position list, which accounts for the lower half of the screen.

  In addition, in each part and each button shown in FIGS. 5-9, the same code | symbol is attached | subjected to the location of the same effect already demonstrated in the other figure, and description is abbreviate | omitted.

  FIG. 8 is a diagram of an ordering screen 80 including a FX open interest list. OP / FX selection button 63 disposed at the upper left of the screen, selected currency trading exchange rate display section 72, trading selection button 61 disposed at the lower left of the screen, number setting section 62, currency pair selecting section 51, execution condition selecting section 67. It is possible to place an FX order by performing a mouse click operation on the limit setting unit 68, the erection / deletion selection button 69, and the order (execution) button 7 in almost the order described.

The maintenance rate related to the margin at that time is displayed on the maintenance rate display unit 73 arranged in the upper right of the screen, the amount is displayed on the margin display unit 74, and the open position fx ₂ for which FX is ordered is displayed.

  FIG. 9 is a diagram of an FX order screen 90 in another format. The number setting unit 62, the trade selection button 61, the OP / FX selection button 63, the contract selection unit 52, the currency pair selection unit 51, the strike price (“Strike Price” in FIG. 9) arranged in the upper half of the screen. Notation) It is possible to place an FX order by performing a mouse click operation on the setting unit 64, the call / put selection unit 53, the limit setting unit 68, the execution condition selection unit 67, and the order button 7 in almost the order described.

The FX ordering screen 90 displays open interests fx _{6 to} fx ₇ as well as open interests op _{6 to} op ₇ capable of risk hedging them in the same open interest list that occupies the lower half of the screen.

  As described above, according to the present system 100, the hedge option proposal screen 50, the OP order screen 60 including the open interest list, the OP order screen 70 of another format, the FX order screen 80 including the open interest list, and the other format By using the FX ordering screen 90, it is possible to efficiently display real-time data on the customer's information terminal (simply referred to as “customer” throughout the entire text and drawings) 2 to support the customer 2's decision making. It is possible to improve the convenience of foreign exchange transactions.

  In addition, a low-risk high-return is realized by guiding the customer 2 from the hedge option proposal screen 50 for an efficient combination of FX trading and OP trading, and margin in FX trading is unnecessary from the beginning to the end of the trading It is also possible to make it.

  As described above, OP transactions have the characteristics of low risk and high return. In contrast to the excellent characteristics of OP trading, it is possible to superimpose OP trading on FX trading, which has the disadvantages of high risk and high return, to transform it into characteristics of low risk and high return, and to realize a variety of trading forms. It is letting me.

  The foreign exchange transaction support server 99 constituting the main part of the system 100 may be a centralized computer, or a distributed type that is provided in different computers and operates in cooperation via a network. .

  A program for causing a computer to perform control equivalent to the functions performed by the margin transaction processing means 10, the option transaction processing means 20, the hedge option proposing means 30, and the unit generation means 40 constituting the foreign exchange transaction support server 99. May be read (installed) by the customer 2 from a computer-readable recording medium, such as a CD-ROM, on which the personal computer is recorded.

  Alternatively, the program can be downloaded from a network to a computer and executed. That is, an embodiment in which a personal computer executes a program that is downloaded from the business operator 3 to the customer 2 via the Internet 1 is also included in the technical idea of the present invention.

It is a block diagram of this system. It is a flowchart which shows a UN transaction method. It is a flowchart which shows an example of UN transaction. It is explanatory drawing of a delta margin minimization process. It is a figure of a hedge option proposal screen. It is a figure of OP ordering screen containing a position list. It is a figure of OP order screen of another form. It is a figure of the FX ordering screen containing a list of open interest. It is a figure of the FX order screen of another format.

Explanation of symbols

1 Internet 2 Customers (customers who can use information terminals)
3 Operator 4 Dedicated Online 5 Foreign Exchange Market 6 Information Vendor 7 Order (Execute) Button 10 Margin Transaction Processing Unit 20 Option Transaction Processing Unit 30 Hedge Option Proposal Unit 40 Unit Generation Unit 50 Hedge Option Proposal Screen 5l Currency Pair Selection Unit 52 Contract selection section 53 Call / put selection section 54 Update button 55 Premium display section 60 OP order screen including open interest list 61 Trade selection button 62 Number setting section 63 OP / FX selection button 64 Strike price setting section 67 Execution condition selection section 68 Limit setting part 69 Position / deletion selection button 70 OP order screen of another format 71 Order number display part 72 Selected currency trading exchange rate display part 73 Maintenance rate display part 74 Margin display part 80 FX ordering screen including open interest list 90 FX order screen of format 91 Input section 92 The display unit 99 management unit 93 storage unit 94 foreign exchange transaction support server 100 foreign exchange unit trading system (the system)
200 External trading system fx, fx _{1 to} fx _n Open interest HO Hedging option candidates op, op _{1 to} op _n (Optional) Open interest un, un _{1 to} un _n units α Contract price β, β ₁ ~ Β _n Strike Price δ Delta Margin

Claims (4)

Foreign companies used to support unit transactions, which is a transaction form that combines margin trading and option trading, by a business operator (3) entrusted with foreign exchange transactions through information communication with customers (2) via the Internet (1) A currency exchange unit trading system (100),
With the foreign exchange transaction support server (99) as the core, the foreign exchange transaction support server (99)
A margin transaction processing means (10) for supporting margin transactions in which a collateral margin is inserted to make a relative transaction;
An option transaction processing means (20) for supporting an option transaction for trading the right to buy and sell the transaction target asset at a strike price designated in advance in a period until the maturity date;
A hedging option proposing means (30) for proposing and displaying a hedging option candidate (HO) to the customer (2) for risk hedging option trading for the open interest (fx) of the margin trading;
Instructing the operator (3) the unit (un) generated by combining the option (op) selected by the customer (2) from the candidate hedge options (HO) with the open interest (fx) of the margin transaction Unit generating means (40),
The unit (un) combination that minimizes the delta margin (δ), which is the amount of loss between the contract price (α) of the open interest (fx) of the margin transaction and the strike price (β) of the option (op) The foreign exchange unit transaction system (100), wherein the unit generation means (40) guides the customer to the customer (2). A business operator (3) who is entrusted with a foreign exchange transaction through information communication with a customer (2) via the Internet (1) supports a foreign exchange unit transaction, which is a transaction form combining margin transaction and option transaction, using a computer. Forex unit transaction method,
Hedging option proposal processing (S1) for proposing and displaying a hedge option candidate (HO) to the customer (2) for risk hedging option trading against the open interest (fx) of the margin trading,
Option transaction processing (S2) for supporting option transactions for trading the right to buy and sell the trading target asset at a strike price (β) designated in advance in the period until the maturity date;
The unit (un) that minimizes the delta margin (δ), which is the difference between the contract price (α) of the open interest (fx) of the margin transaction and the strike price (β) of the option (op) A delta margin minimizing process (S3) in which the unit generating means (40) guides the combination to the customer (2);
Margin transaction processing (S4) that supports margin transactions in which collateral margins are inserted to make a relative transaction;
The unit (un) generated by combining the option (op) selected by the customer (2) from the hedge option candidates (HO) with the open interest (fx) of the margin transaction is given to the operator (3). And a unit generation process (S5) for instructing, and performing a foreign exchange unit transaction by a computer. A business operator (3) entrusted with foreign exchange transactions through information communication with customers (2) via the Internet (1) performs processing related to foreign exchange unit transactions, which is a transaction form combining margin transactions and option transactions. A program to be executed,
Hedging option proposal processing (S1) for proposing and displaying a hedge option candidate (HO) to the customer (2) for risk hedging option trading against the open interest (fx) of the margin trading,
Option transaction processing (S2) for supporting option transactions for trading the right to buy and sell the trading target asset at a strike price (β) designated in advance in the period until the maturity date;
The unit (UN) combination that minimizes the delta margin (δ), which is the amount of loss between the contract price (α) of the open interest (fx) of the margin trading and the option strike price (β), is A delta margin minimization process (S3) guided by the unit generation means (40) to the customer (2);
Margin transaction processing (S4) that supports margin transactions in which collateral margins are inserted to make a relative transaction;
The unit (un) generated by combining the option (op) selected by the customer (2) from the hedge option candidates (HO) with the open interest (fx) of the margin transaction is given to the operator (3). A program that causes the computer to execute a process including an instructing unit generation process (S5).   A computer-readable recording medium on which the program according to claim 3 is recorded.

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