JP2009271563A - Method and apparatus relating to formulation and negotiation of risk management contract - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To disclose the formulation of multi-party risk management contracts. <P>SOLUTION: An ordering party (13) inputs, by using a data processor (1), contract data representing an offered contract relating to a predetermined phenomenon, the phenomenon having a range of possible outcomes at a time of maturity, and the contract data specifying the same entitlement for each outcome due to the ordering party at maturity and a consideration due to a counterparty. The potential counterparties (14) input, by using data processing means (51), registering data relating to the range of possible outcomes for the predetermined phenomenon. An offered contract is priced using a data processor (20) by the steps of calculating a counter value from each counterparty's registering data, and comparing a consideration designated by the ordering party with the calculated counter value. Matching is performed on the basis of the comparison. <P>COPYRIGHT: (C)2010,JPO&INPIT

Description

  The present invention relates to the formulation and negotiation of risk management contracts. Related International Patent Application No. PCT / AU93 / 00250 by the same applicant discloses a similar method and apparatus. The contents of the above international patent application are cited in this specification.

  International Patent Application No. PCT / AU93 / 00250 states that individuals and businesses are constantly at risk due to future events beyond their control. The consequences of such events can have a positive or negative impact on personal and corporate well-being. Individuals and businesses are generally unwilling to face exposure to the possibility of bad consequences, even though they recognize that this can happen. For individuals and corporations, it is beneficial to consider giving up if the “power” that they currently own is given up and the possibility of being damaged by future results decreases.

  Risk can take many forms in view of the wide range and types of future events that can have adverse consequences. Risks that can be classified as economic in nature include indices based on commodity prices, currency exchange rates, interest rates, asset prices, stock prices, inflation rates, company performance and market events.

  The importance of risk management capabilities increases with time as opportunities for exposure to a wider, comprehensive range of future events beyond the control of individuals or companies continue to increase. Further, the range of feasibility of possible future events is widened, and uncertainty about the likelihood of incidents related to any single future phenomenon is increased, i.e., instability is increased.

  In the face of economic risks, individuals and businesses should avoid the risk of adverse outcomes through indirect means such as self-insurance and direct means such as future contracts, futures contracts and swap transactions. It has been known. Such available economic risk management mechanisms have drawbacks or limitations. In particular, the above mechanism offers at best only an indirect way of handling risk management needs. The available mechanisms are fairly expensive and the phenomena they cover are limited and do not meet the demands of parties trying to avoid such a wide range of future risks. The infrastructure and payment costs associated with the exchange between commodity and stock markets are often as high as prohibitions for both small and large entities. As a result, institutions are under debt that cannot be escaped with little control.

  International Patent Application No. PCT / AU93 / 00250 describes a number of prior patents that handle various forms of risk management.

  The invention of International Patent Application No. PCT / AU93 / 00250 can be summarized as a risk management contract formulation that consists of ordering, pricing and matching stages. The orderer initiates the contract formulation by submitting an order relating to a particular phenomenon with a range of possible outcomes for future maturity dates. The orderer specifies the elemental guarantee (payment) to be paid on the maturity date for the actual result of the phenomenon and the maximum remuneration to be paid to the counterparty at the time of agreement. Independently, potential opponents submit their registration data based on their own assessment of each possible outcome of the maturity date for the phenomenon. From this registered data of the relatives, the data processing system tries to price each relative for the guarantee specified by the orderer. Roughly speaking, this involves deriving the reward (consideration) for the counterpart by multiplying each elemental guarantee to the order by the corresponding probability by the counterpart and summing the results. In order to be able to garnish, the reward for this opponent must be less than the orderer's maximum reward. Most commonly, a match is made between the orderer and the opponent with the lowest consideration. During contract pricing and garnishing periods, the identity of the counterparty is left undisclosed by the orderer, so it is essentially a “blind” transaction.

  The present invention aims to improve the formulation of risk management contracts.

  In one general form, according to the present invention, the phenomenon for a contract to be applied is specified such that the elemental guarantees for the range of outcomes are the same for each outcome. Mathematically speaking, this corresponds to a shape in the xy coordinate system in which the guarantee value (y) for the resulting value (x) is a flat line. In other words, the shape of the guaranteed pair result (y, x) has a zero gradient (Δy / Δx). This type of guarantee / result shape is considered a form of lending (this is when the guarantee is positive, and borrowing if the guarantee is negative). This is in that the orderer now makes the reward available as a loan, hoping to receive a known (non-state dependent) guarantee in the future. Contract pricing and matching with counterparties will be done as usual.

Accordingly, the present invention discloses a data processing system that enables the formulation of a multi-party risk management contract. This system
Contract data representing an application contract for a given phenomenon having a range of results that may be realized at a future maturity, wherein the orderer is to be paid to the orderer for each of the above results An input means for entering the contract data specifying the security and the remuneration to be paid to a certain opponent, and allowing at least one opponent to input the registration data for the predetermined phenomenon;
A data processing means for pricing and matching a contract from the contract data and the registration data, wherein the pricing includes calculating a consideration from each of the registration data, and the pricing includes the reward for each of the above Means including, in comparison to the consideration, including the application contract with at least one of the above-mentioned opponents,
And have.

  Preferably, security should be paid at maturity.

The present invention further discloses a method that enables the formulation of a multi-party risk management contract, the method comprising:
(A) Represents a contract applied for a given phenomenon with a range of outcomes that may be realized at maturity, with a uniform guarantee to be paid to the orderer for each of the above outcomes, Inputting orderer contract data specifying the remuneration to be paid into the data processing device using an input means;
(B) inputting relative registration data relating to the results in the above range that may be realized with respect to the predetermined phenomenon into the data processing device using an input unit;
(C) Using the above data processing device for pricing and matching of the above application contract,
(i) Calculate the consideration from the registration data of each opponent,
(ii) Compare the above remuneration with the above considerations,
(iii) It consists of the stages of matching contracts based on the above comparison.

  Preferably, a reward is paid to / from the orderer at the time of contract matching. In addition, security payments are made to / from the orderer when the contract expires.

  In another broad form, according to the present invention, the subscription contract does not specify any phenomenon, so there is no range of feasible results as described above, but rather the orderer must be paid at maturity. Specify only (non-state-dependent) guarantees. This form of the invention is essentially an exchange of known (non-state dependent) guarantees and current rewards.

Accordingly, the present invention further discloses a data processing system that enables formulation of a multi-party risk management contract, the system comprising:
The contractor enters contract data specifying the security to be paid to the orderer and the remuneration to be paid to the partner, where both the security and the remuneration should be paid at the time of the contract, at least one person An input means that can enter consideration for contracts related to a range of possible coverage;
Data processing means for associating a contract from the reward and consideration for the specified security, comprising means for comparing the reward with each of the considerations and associating the application contract with at least one of the relatives .

The present invention further discloses a method that enables the formulation of a multi-party risk management contract, the method comprising:
(A) inputting into the data processing device using the input means contract data specifying the security to be paid to the orderer and the remuneration to be paid to the counterpart, both of which are to be paid at the time of matching the contract;
(B) inputting a counterparty's consideration for a contract related to a realizable coverage into the data processing device using an input means;
(C) Using the data processing device,
(i) compare the above remuneration with the above consideration for the specified guarantee;
(ii) The step of combining the application contracts by combining the contracts based on the above comparison.

  The maturity date may be when the contract is matched.

  In all of the above cases, the “money” for rewards and guarantees need not be in the same form (name unit).

  The registration data is preferably the estimated probability of occurrence of each result that can be realized for the phenomenon. The sum of the probabilities evaluated for the overall feasible result reaches one or more.

  The partner registration data includes a discount rate. The discount rate is specified by each opponent and is applied to each calculated consideration to give a net consideration. Furthermore, each counterpart may specify a fee as part of the registration data.

  In the preferred embodiment, the guarantee may be in the form of “cash” payments (both positive and negative) at maturity of the contract entered into, or in the form of a product, service, warranty, credit or warrant. . The fees specified by the orderer or calculated by the counterparty can be essentially premiums or payments, or can be delayed at maturity or possibly past maturity, May relate to other “non-cash” forms of assets or liabilities that can be transferred when the contracts are matched.

  During the period between contract formation and maturity, various orderers, counterparties, and other contract stakeholders review any contracts for which they are parties, pricing and matching processes, or A modification of the pricing and matching process can attempt to trade the contract with other parties. A means of minimizing the expected loss when your outlook on the outcome of the future phenomenon that is the subject of the contract changes significantly, or when some unforeseen bad sign occurs as a result of the current phenomenon As above. In addition to trading existing contracts, you may apply for additional contracts to “keep away” or avoid risk. Stakeholders can accumulate portfolios of collateralized contracts and applied contracts that are continually traded to always obtain the best feasible position, and that position is continuously reviewed over time. It is.

  In addition, both matched contracts and subscribed contracts are considered to manage the risk perceived to be between phenomena based on differences between phenomena. Thus, the elemental contract phenomenon is developed to meet the most specific requirements of the orderer and counterparty, thus creating significant flexibility.

  In most cases, maturity dates are predetermined by “product sponsor” stakeholders. Even so, it is conceivable that the maturity date may be tied to a specified time from the time the contracts are matched. This can be appropriate if the maturity is in the near future, in which case the applied contract may remain unpaid even at maturity after the initial application.

  Other stakeholders have a regulatory role in management, ensuring the behavior of orderers and counterparties, rules, supervision, etc. Thus, the number and type of orderers and counterparties that can be considered when pricing and matching application contracts is controlled.

  In all the above cases and in the case of the contract formulation described in International Patent Application No. PCT / AU93 / 00250, the orderer is required to make the necessary guarantees (state dependent on the consequences of the phenomenon). Some prospects must be formed about the rewards offered for specific guarantees (whether or not state-dependent). Similarly, relatives (generally referred to as participants) need to form a perspective of the relative probability of occurrence of the results so that consideration can be obtained in the pricing process. It would be beneficial if both the orderer and the counterparty could rely on decision support means that could assist in formulating the orderer's submission data and the counterparty's registration data based on a more commonly perceived attitude and purpose. I will.

Accordingly, the present invention discloses a data processing system that enables risk management by formulating a risk management contract, the system comprising:
A data input means that the participant can use to enter data relating to at least one predetermined phenomenon having a range of realizable results and a future maturity;
It consists of data processing means connected to each input means, and contract pricing and matching between participants, and each contract is for a range of possible results for at least one of the above phenomena. Pricing and matching based on application data specifying the security to be paid at maturity and registration data of the respective probabilities of results within the predetermined range at maturity for the at least one phenomenon. The application data and the pricing data are obtained from the participant data.

  Participant data may further include application data and / or pricing data.

  Preferably, the pricing includes a calculation of a consideration derived from the probability, and the valuation compares the application data with at least one of the registration data, so that the reward is compared with the consideration. Including.

The present invention further discloses a method of enabling risk management by formulating a risk management contract, the method comprising:
A participant entering data having a range of future outcomes and future maturities for at least one predetermined phenomenon using at least one data entry means;
Application data that specifies the security to be paid at maturity for the feasible results in the above range for one or more of the above phenomena among the participants using the data processing means, and the above one Each contract is priced and matched based on the registration data of the probability of each result in the above-mentioned predetermined range at the maturity for the above phenomenon. Obtained from participant data.

  Preferably, the pricing includes calculating a consideration derived from the probability, and the valuation includes the reward and the consideration to match the application data with at least one of the registration data. Including a step of comparing.

  Preferably, for both the system and method described above, the participant's attitude can be obtained as registration data only, or as both registration data and application data.

  Derivation from participant attitudes to registration data and / or application data is an algorithm based on at least one of prediction, purpose, impact from perceived phenomena (exposure) and contract status information It is advantageous to be carried out automatically.

  Attitudes, in some embodiments, can include a participant's prediction, which is the probability of a future event occurring. Attitudes may further include the participant's objectives regarding the specific desired contracts, products, and minimum and maximum reward payments. Attitudes can further include effects from perceived phenomena.

  Participants are provided with information about contracts submitted, priced or matched by data processing means.

  Individual participants can perform the role of the orderer, the counterparty, or both the orderer and the counterparty, and at least some of the participants need to be recognized as counterparties to the registered product However, the present invention retains the concept of interested parties as orderers or order counterparts.

  Thus, the present invention provides a variety of application promoters, product sponsors, guarantors, asset transfer entities, regulators and various other types of various types. It is possible to accept a large number of institutional participants and interested / registered stakeholders.

  It is the concept of contract order initiation that distinguishes the orderer from the counterpart. The orderer initiates a new contract order and the counterpart is the “acceptors” of the potential collateral of the contract order. These roles are played by constantly submitting order pricing and limit conditions to the system.

  In general, all relatives can be orderers, but not all orderers can be relatives. The reason is that the counterparty needs to be recognized by the orderer as always capable of paying future contractual obligations.

In addition to starting a new contract order (in the case of the orderer) and submitting the contract order pricing and limit conditions to the system at all times (in the case of relatives), all participants
(A) sell to any other participant the (positive or zero payment part) of a contract that is confirmed to be a party;
(B) purchase from any other participant a (positive or zero payment portion) of a confirmed contract that has been applied for sale by one other participant;
(C) purchase or sell an option to become a party to a new contract;
(D) exercise the purchased option to become a party to a new contract;
(E) purchase or sell an option to purchase / sell the (positive or zero payment portion) of an existing contract;
(F) Exercising purchased options that purchase / sell the (positive or zero payment portion) of an existing contract;
(G) withdraw all types of transactions that have been submitted but have not yet been executed,
(H) It is also possible to submit a pricing survey order for all of the above transaction types.

  Embodiments of the present invention significantly advance the technical level of risk management contract formulation and trading. In essence, this is achieved by a computing / telecommunications infrastructure that is globally accessible by any company / individual with access to computer and telephone networks. Furthermore, it can accommodate a virtually unlimited number and range of risk types. Some embodiments appear in the form of assisting users in determining reward-guarantee (insurance-type) exchange terms, and provide an anonymous but transparent price discovery and transaction process. The ability to create special case lending / borrowing and exchange products provides end users with a low-cost mechanism for pricing and acquiring these products without the involvement of traditional intermediaries.

DESCRIPTION OF PREFERRED EMBODIMENTS AND BEST MODE OF PERFORMANCE FIG. 1 is a block diagram of a general system 10 that implements the present invention. Various stakeholders or parties to the system 10 each have access to the central processing unit 20. The processing unit 20 is composed of at least one data processing device, and each data processing device provides access to application software supported by the system 10 to at least one of various stakeholders. The processing units are interconnected. Access rights to at least one data processing device are controlled by a common type of communication coordination and security processing unit 25.

  Further, FIG. 1 shows several types of stakeholders and several individual stakeholders within each stakeholder type. Basic stakeholder types are: Application Promoter 11, Product Sponsor 12, Product Ordering Parties 13, Potential Product Counterparties 14, Relative Represented as Counterparty Guarantors 15, Regulators 16, Reward / Entitlement Transfer Entities 17, and Miscellaneous Parties 18. The number of stakeholder types shown in FIG. 1 is typically the maximum number supported by the system 10.

  One embodiment of a computer system for system 10 is shown in FIG. The core of the system hardware is a set of data processing units. In the case of the above embodiment, the processing unit 20 is constituted by three interconnected data processors 93, 97 and 104 such as SUN 670 MP manufactured by Sun Microsystems, Inc. of the United States. Each processing unit 93, 97, 104 executes operating system software and application software such as Sun Microsystems OS 4.1.2. The processor structure shown in FIG. 1 is designed to handle thousands of stakeholder transactions, inputs and outputs generated by the above stakeholders, pricing, matching and subsequent processing functions of risk management contracts. Represents a large scale system.

  Each processing unit 93, 97, 104 stores at least one large volume data to store all data received from interested parties and any other data related to software operations that generate or obtain stored information. Operatively connected to the storage units 95, 100, 110. A suitable mass storage unit is, for example, a mass storage device such as that commercially available from Sun Microsystems.

  A number of communication controllers 80, 84, 87 forming the communication coordination and security processing unit 25 are connected to the processing unit 20. The controller communicates with the processing units 93, 97, 104 and various external hardware devices that are used by stakeholders to communicate data or instructions to or from the processing unit. The communication controller is, for example, a controller such as an Encore ANNEX II, an IBM AS / 400 server, or a CISCO system AGS +.

  A wide range of communication hardware products are supported and are collectively referred to as stakeholder input / output devices 70. One of the many inputs / outputs 70 is a personal computer 51 and an attached printer 52 that have a communication connection with a communication controller 80 by a modem 50. There may be an external host device 53 such as a minicomputer or mainframe computer connected to the communication controller 80 using the modem 54. In another form, communication is simply established using a tone dial telephone 56 that provides command or data input using a unique tone dial function. Alternatively, voice connection by the operator 75 may be performed. Both of the above external devices are shown connected to a communication controller 84. A further possibility is to perform the data transfer using a facsimile machine 65 shown connected to the communication controller 87.

  In any case, the use of the input device may be a system access password generation and encryption device such as a Racal RG500 (for personal use) Watchword generators 66, 67, 68, 69 and a Racal RG1000 embedded in the mainframe computer 53. Is required to use Corresponding decoding units for the devices are incorporated in the communication controllers 80, 84, 87.

  The typical processing unit 20 further includes a number of “portable” information recording devices such as printers, disk drives and the like. This allows various types of information to be printed or otherwise written on a storage medium for transport. This requires, in particular, the documentation of the associated risk management contract to be stored as a hard copy record or to be transferred to at least one stakeholder related to the individual associated contract. Suitable for the case.

  The general system 10 shown in FIG. 1 includes numerous variations on the “architecture” that can be achieved through a combination of system hardware and software, as well as the number and type of stakeholders. In that sense, it should be noted that the arrangement shown in FIG. 2a represents only one type of hardware configuration required to implement the system.

For example, FIG. 2b does not rely on a central (hub) data processing unit, but rather shows another configuration in which the necessary processing is performed locally at each stakeholder 200 _n using distributed software. Has been.

Hereinafter, the formulation, pricing, garnishing and subsequent management of the risk management contract will be described with reference to three examples.

Life cycle of risk management contract: example I
This example, taken from International Patent Application No. PCT / AU93 / 00250, manages risk related to potential future fluctuations in the value of a particular stock price index (referred to as the PTSE75 index). It represents the formulation of the contract. In summary, the above example shows that a party (such as an institutional fund manager) has experienced a significant drop in future values relative to the assumed current (June 1991) value of the PTSE 75 index (especially , Declining until June 1996), showing the possibility of contracting with another unknown party in an attempt to avoid the bad results. The other unknown party is, for example, another money manager who is trying to avoid the consequences of a corresponding significant increase in the value of the PTSE 75 index.

  This specific contract application will give the orderer a state-dependent designation for future payments in Australian dollars as compensation in exchange for the payment of the upfront compensation amount by the orderer to a still unknown partner. It provides security. The future cash guarantee is a state-dependent guarantee based on the value of the contract expiry date of the value of the PTSE 75 index determined independently [“state dependent” means, in this case, the value of the PTSE 75 index. It depends on the value at the contract expiration date].

  In the example above, the key stakeholders involved are the application promoter (BLC Inc), various product providers (BLC Inc itself in this example), various products Orderers (in this example, Abbots & Taylor and Shearer & Associates), various potential relatives (in this example, Abraham) Abrahamsons and Carpenters Inc., a guarantor (CNZ Banking Corporation) and an application regulator (Pacific Central Bank).

  A timetable representing the stages of the contract from the first stage (Application Specification) to the final stage (Contract Settlement) is shown in FIG. The following charts G2-G6 are charts supplementing FIG. 3 and need to be referred to together with the following description.

  Referring to the first stage of the timetable (Application Specification) along with Chart G2, BLC Inc handles 91.06.03.17.00.00 (ie, afternoon of June 3, 1991) to handle economic risk management. 5), the contract APP (application ID 001) is set. Application ID 001 supports a range of products related to different phenomena.

  By referring to the second stage of the timetable (Product Specification) along with Chart G3, BLC Inc has identified the product 10061 (within the range of APP ID 001 designated at the same time (91.06.03.17.00.00) It can be seen that this is the product provider of Product 10061). This product relates to a market called the stock price index and a partial market called PTSE75. The expiry date of product 10061 is 96.06.03.17.00.00.00. Compensation for specific contracts, including product 10061, is in the form of cash (Australian dollar denominated commercial bank deposits). Guarantees are also in the form of Australian dollar denominated commercial bank deposits that are paid (if necessary) immediately after the specified maturity date of the product.

  Referring to the third stage of the timetable (Potential Counterparty Product Pricing Specifications), the two agencies, Abrahamsons and Carpenters Inc, are coming to the primary product order (primary) processing product 10061. Act as a potential opponent to product orders). At this point in the timetable (95.01.01.17.00.00.00), that is 43 months after the designation of product 10061, both Abrahamsons and Carpenters Inc bid for an order that may come soon for that product. Has the currently specified parameters for.

  To refer to the fourth stage of the timetable (Primary Order Specification) along with chart G4, Orderer Abbotts & Taylor will receive the order from the Orderer within Product 10061 at time (95.01.01.17.37.06.00). You can see that you are seeking a contract. Chart G4 shows the specific parameters (guarantees) defined by Abbotts & Taylor for the contracts currently required, which is the maximum allowable contract fee of 54,000 (commercial bank in Australian dollars). ) And elemental entitlement for each of said ranges of PTSE 75 results at maturity. The security as a function of the result is conveniently represented in a graph.

By referring to the fifth stage of the timetable, Order Specification Pricing along with Chart G5, the pricing parameters specified by Abrahamsons value Abbotts &Taylor's order at time 95.01.01.17.38.02.00 It can be seen that it is used to attach. Abrahamsons pricing parameters indicate that the company's appropriate default environment ID is 26, which is a 1.25% commission rate and a 10.00% discount rate per year ( discount rate). The registration data further includes a specific set of component product prices (third column of chart G5) and a specific evaluated occurrence probability set (fifth column of chart G5). Pricing is the following formula Σ (guaranteed amount x component product price) = 59,580 (sum is in the range of 1600 to 2200)
It is realized by. The meaning of “component product price” is clear when the above equation is matched with chart G5. As it is clear from the above-mentioned “state-dependent guarantee based on the contract maturity date of the value of the PTSE75 index determined independently”, the feasible product definition value (the first column of Chart G5) The state-dependent guarantee amount is defined according to which is realized. Based on this, to “price” and derive a price of “59,580” (the lower end of the fourth column of chart G5), if we compare the formula specified above with chart G5, Multiply each value in the second column (net state dependent guarantee amount) by each value in the third column (component product price) of chart G5, and sum the result (fourth column of chart G5) as “59, It will be apparent to those skilled in the art that "580" is desired. Therefore, for example, the value of 0.041 in the 4th column and 1st row of Chart G5 represents the price of the guarantee (the amount paid by the person receiving the guarantee) when the value of 1600 is realized for the “realizable product definition value”. On the contrary, it will be apparent that the value 0.000220 in the third column and the first row represents the unit price of the price of the guarantee for the product definition value of 1600. Note that the sum of the “component product prices” (1.0402 at the bottom of the third column of Chart G5) is the case where the orderer wants to pay AUD 1 for all possible realizable product definition values (handled in Example II below) In this case, it is the unit price that the orderer is charged by the counterparty in order to obtain payment (guarantee) of 1 Australian dollar. The difference of 0.0402 from 1 represents the portion of the profit that the counterparty gains for this transaction. Those skilled in the art will be able to understand such contents uniquely from the description and the description of the chart. Applying the discount rate (10%) gives the current value of 51,280, plus a commission (1.25%), giving 51,920 consideration (commercial bank in Australian dollars). The Abrahamsons parameter calculates that this yields a contractual base margin of 4,580 (in Australian dollars for commercial banks).

  By referring to the fifth stage of the timetable with chart G6, it can be seen that the pricing parameters specified by Carpenters Inc are used to price the Abbotts & Taylor order at the time 95.01.01.17.38.02.00. . Carpenters Inc's pricing parameter means that the company's appropriate default environment ID is 17, meaning a fee rate of 1.30% and a discount rate of 9.80% per year. The company also offers a specific set of component product prices and a specific set of probability of occurrence for all possible PTSE 75 results within the range of 1600-2200. This results in a contract bid price of 53,050 (commercial bank denominated in Australian dollars), and Carpenters Inc's parameters provide a basic contract margin of 5,610 (again, commercial bank denominated in Australian dollars). (Details of this calculation process will be supplemented in Example 2).

  The next stage of garnishing mainly determines which of the counterparty's considerations is lower than Abbotts & Taylor's specified maximum reward and which of the counterparty's compensation is the lowest Is involved. In addition, the absolute loss, expected loss, expected value, and maximum contract portfolio composition attributes (maximum contract) that must be satisfied before the garment is finally completed. portfolio composition attributes) can be taken into account.

  The deductions up to the settlement of the stages shown in the timetable of FIG. 3 are not described here, but are described in International Patent Application No. PCT / AU93 / 00250.

  At all times up to this point, including up to the date of the agreement, the identity of the opponent is not known to Abbotts & Taylor. Similarly, the counterparty is not active in the contract matching, but only notices his participation in the contract after the matching, and the orderer's identity may not be known at that time.

  In order to show the correspondence between the present invention according to the claims and this example, the corresponding term or concept of this example is inserted in parentheses with respect to the term of claim 1 below.

A method of combining an orderer's application contract executed by a computer system with at least one of a plurality of relatives, wherein the application contract has a future maturity and the orderer Of a set of possible payments (such as 187.200 in the second column of Chart G5; a set of values in the chart of Chart G4) from a counterpart at a future maturity, a set of possible occurrences at the future maturity One of the results (a specific value of the PTSE75 index realized at maturity; one of the feasible product definition values in the first column of chart G5; for example 1610; one of the values on the horizontal axis of chart G4 ), And in exchange for that, pay a prepaid consideration (also referred to as a reward) to the opponent, and the one of a set of possible outcomes is at the time of the future maturity In fact Is determined as a result of
The computer system comprises data storage means (95, 100, 110), data processing units (93, 97, 104) and communication means (25), the method comprising:
i) A step of accepting orderer input contract data representing at least one application contract via the communication means (25), the orderer input contract data being one at a future maturity and one at a future maturity. Possible payment value (chart of chart G4) to be received for each of the possible outcomes of the set (horizontal axis of chart G4 graph, 1600 to 2200 in the first column of chart G5) and the relative Specifying the limit of the consideration that will be paid (in Chart G4 (54,000)), and
ii) Relative registration data specifying the component unit price (component product price in the third column of the table of chart G5) for each of a set of possible outcomes at a future maturity time via communication means (25). The sum of all the possible results of the component unit price is the value obtained by adding the adjustment value, which may be positive or negative, for the relatives to the consideration of the unit amount. The component unit price for represents the component of the consideration of the unit amount charged by the orderer for payment of the unit amount from the counterpart, the component of that possible outcome,
iii) With respect to the orderer input contract data of one orderer and the relative registration data of one relative by the calculation means embodied in the processing unit, a payment value that may be specified by the orderer input contract data; Calculating the consideration paid to the counterpart based on the component unit price specified by the counterpart registration data (the consideration calculated from the conditions specified by the counterpart), which may occur For each of the results, the product (chart) obtained by multiplying the possible payment value (“net state dependent guarantee amount” in the second column of chart G5) and the component unit price (third column of chart G5) Calculating the consideration by summing (59.580 the summation result is shown in bold at the bottom of the fourth column of chart G5);
iv) controlling the calculation means by control means embodied in the processing unit to repeat step iii) for zero or more relatives;
v) By the discrimination means embodied in the processing unit, the consideration calculated by the at least one counterpart (in Chart G5, it is shown as the contract bid price in the amount of (51.920) including the discount rate and fee) Discriminating at least one of the relatives, and the consideration is within the limits of the consideration;
vi) A step of attaching the determined at least one relative person with the orderer by recording the determined at least one relative person in association with the orderer by the attaching means embodied in the processing unit. And having
Method.

Economic Management Contract Life Cycle: Example II
This further example of a risk management contract is an extension of Example I. More specifically, this example is a special case in General Example I that is identical for each outcome that can be guaranteed as specified by the orderer for a particular phenomenon. In the terminology of International Patent Application No. PCT / AU93 / 00250, this is X = 1, α (X) is not applicable, β (X) = specified non-state-dependent guarantee (constant), γ (X) = 11, where “11” indicates a linear mathematical shape with respect to the “result” axis and is derived from a menu of such shapes. In other words, the slope of the guarantee (y-axis) graph against the result (x-axis) is zero.

  The relative registration data remains the same. It is considered that the orderer is not interested in the result. When the future guarantee is positive, the contract is essentially a loan in that it enables the current compensation for a known future guarantee from the orderer's point of view. Of course, remuneration and guarantees can be negative, and then the contract is borrowed in nature from the point of view of the orderer.

  The current example is just such a situation, avoiding the bad consequences that one party (eg an institutional fund operator) will not be able to make full use of an unknown other party (eg a defined resource) By seeking to be a party to a contract with another fund manager to seek, we seek to avoid the bad consequences of not having a current ownership of a defined resource (eg Australian dollars).

  This particular contract application is a designated non-state-dependent, in which the counterparty makes a future payment in Australian dollars to the counterparty of the contract in exchange for payment of the calculated prepaid compensation amount to the orderer. A deliberate liability (ie a future negative guarantee).

Thus, for a given amount of guaranteed coverage paid by an orderer to its counterpart on the expiration date of a contract, a prepaid remuneration payment is essentially between the orderer's and counterparty's registration data. The following two implicit matters:
1. Discount (interest) rate applied to the contract (this is the possibility of the orderer defaulting on paying the required future security in Australian dollars on the Australian dollar bill without the same maturity date credit risk Plus a margin that reflects the relative rating of the
2. It is a function of transaction fees that are in demand by the opponent.

  Here, for example, if the contract security is based on US dollars, it should be noted that the preceding Australian dollar / US dollar exchange rate determined by the counterparty is also involved.

  As mentioned above, the main stakeholders involved are the same as in Example I, application promoter (BLC Inc), various product providers (BLC Inc itself in this example), various product orders. (Abbotts & Taylor and Shearer & Associates are applicable in this example), various potential relatives (Abrahamsons and Carpenters Inc are applicable in this example), guarantors of relatives (CNZ Banking Corporation) And the application regulator (the Pacific Central Bank).

  A timetable showing the stages of the contract from the first stage application designation to the final stage contract settlement is shown in FIG. 4 and further supplemented by charts H2 to H6.

  To refer to the first stage application specification in the timetable with chart H2, BLC Inc. will handle economic risk management at 91.06.03.17.00.00 (ie, 5:00 pm on June 3, 1991) It can be seen that the contract APP has been set. This application includes a pricing and matching objective function of “minimize pre-tax compensation payments under expected value (EV) / certainty equivalent (CE) value”. It should be noted that negative compensation payments are allowed.

  Referring to the second stage of the timetable, Product Specification along with chart H3, it can be seen that BLC Inc is also the product provider of product 10061 at the same time (91.06.03.17.00.00.00). This product is also related to the stock index market. The maturity date of product 10061 is 96.06.03.17.00.00.00. The partial market is the PTSE75 stock index. The fees for certain contracts that include product 10061 are in the form of cash (commercial bank deposits denominated in Australian dollars). Guarantees are still in the form of commercial bank deposits denominated in Australian dollars, paid immediately after the specified maturity date of the product.

  Referring to the third stage of the timetable, potential partner product pricing designations, two institutions are found, Abrahamsons and Carpenters Inc, acting as potential opponents for the upcoming primary product order handling product 10061. At this point in the timetable (95.01.01.17.00.00.00), 43 months after the designation of product 10061, both Abrahamsons and Carpenters Inc bid for an upcoming order for this product. Has the currently specified parameters for.

  To refer to the fourth stage of the timetable, primary order designation with chart H4, Abbotts & Taylor is seeking a contract for product 10061 at time (95.01.01.17.37.06.00). Chart H4 shows the specific parameters defined by Abbotts & Taylor for the contract that is currently being sought, ie, the minimum allowable contract fee ($ A55,000) (55,000 Australian dollars). Including $ A83,830 for possible product values, including Parentheses indicate that the reward is negative. The calculated consideration (≧ $ A55,000) is paid to Abbotts & Taylor by the counterparty immediately after the contract matching.

  To refer to the fifth stage of the timetable, order-specific pricing with chart H5, Abrahamsons uses the specified pricing parameter set at time 95.01.01.17.37.06.00 to time 95.01.01.17.38.02. You can see that Abbotts & Taylor orders are priced at .00. The company's pricing parameter, indicated by Abrahamsons' default environment ID 31, requires a 1.25% commission and a 10.00% discount per year. A specific set of component product prices (third column of chart H5) and a specific evaluated occurrence probability set (fifth column of chart H5) are both specified. This results in a price of ($ A58,710), and according to Abrahamsons' parameter calculation, the company has a contractual base margin of $ A1,980.

  The person skilled in the art will understand immediately by looking at chart H5. To calculate the consideration, first multiply the second column of the chart (net state dependent guarantee amount) by the third column (component product price). Calculate 4 columns (the implied state-dependent guarantee amount). The total of these is the base contract bid price (69.07). The net present value (59.45) is calculated by adding the discount rate to this, and the contract bid price (58.71) implied by adding the fee is required.

  Again, the negative consideration means that this consideration is paid from the counterpart to the orderer. On the other hand, 83.83 of “guarantee” will be paid from the orderer to the other party in the future. From the orderer's point of view, the current negative compensation (reward) is paid and the future negative guarantee (payment) is received. In other words, the current amount is received and paid in the future. In other words, you are borrowing.

  Conversely, the counterparty lends by paying the current consideration to the orderer and receiving future payments.

  Now, in order to calculate the margin for the opponent, it is necessary to first obtain the expected value of the payment received. For this purpose, the net state dependent guarantee amount (second column of chart H5) is multiplied by the occurrence probability (fifth column of chart H5) evaluated by the counterpart to calculate the sixth column, and then summing them up Good. The current value (60.69) is obtained by adding the discount rate to the value (70.51) obtained in this way. Therefore, the margin for this relative is obtained as 1.98, which is the difference between the expected value of payment in the future (60.69) and the price paid to the orderer first (58.71).

  To further reference the fifth stage of the timetable with chart H6, Carpenters Inc. (at the specified pricing parameter set at 95.01.01.17.37.06.00) at time 95.01.01.17.38.02.00 You can see that Abbotts & Taylor orders are priced. The company's pricing parameter, specified by Carpenters Inc's default environment ID 19, requires a fee rate of 1.30% and a discount rate of 9.8% per year. A set of specific component product prices and a set of specific evaluated occurrence probabilities are specified. This results in a contract bid price of ($ A58,640), and according to Carpenters Inc's parameter calculation, the company has a contractual base margin of $ 1,990.

  To see the sixth stage of the timetable, Primary Order Matching, the price limit for Abrahamsons in ($ A58,710) exceeds the limit price for Carpenters Inc ($ A58,640), and Abbotts & Taylor Exceeds the minimum reward price specified by ($ A55,000). This provides a formal garnish for Abbotts & Taylor's order by Abrahamsons at time 95.01.01.17.38.07.00. Before the reconciliation is formally performed, it is checked whether absolute loss, expected loss, expected value and portfolio attribute limits have been violated.

  The seventh stage of the timetable, Contact Maturity, is the actual determination of the product defined value at the time of maturity of 96.06.03.17.00.00.00.

  Stage 8 of the timetable includes formal payments to Abrahamsons by Abbotts & Taylor.

  The above example can also be envisaged when the market is not relevant, and thus when there are no minimum, maximum or product step values for the product defined values. This is consistent with the case where there is no future result, but rather only a known and specified guarantee that does not depend at all on the outcome of a particular phenomenon. The mathematical expression of curves and straight lines is no longer relevant. Thus, the value of a counterparty is only a function of the commission rate, the discount rate, and (if applicable) the guaranteed exchange rate.

  In Example I and Example II above, the commission rate, discount rate, and component product price appear as shown at the top of Chart G5 and Chart H5. These are imposed on the orderer by the opponent for the transaction and can generally be referred to as the price of the transaction. On the other hand, in the following Example III, the fee rate and the exchange rate appear as shown in the corresponding part of the chart J5. These are also the prices of the transaction imposed on the orderer by the counterparty for that transaction. It will be clear that the discount rate is meaningless in the “immediate exchange” example of Example III. Accordingly, the term transaction price can include one or more of a commission rate, a discount rate, a component product price, and an exchange rate.

In what follows, the corresponding terms or concepts in this example are inserted in parentheses for possible embodiments .

A method executed by a computer system to match an orderer's application contract with at least one of a plurality of relatives,
The application contract has a future maturity,
The ordering contractor allows the orderer to receive a set of possible payments (83.83 in the second column of chart H5; a series of values in the chart of chart H4) from the counterpart at the future maturity at the future maturity. One of a set of possible outcomes in (a specific value of the PTSE75 index realized at maturity; one of the feasible product definition values in the first column of chart H5; for example 1610; next to chart H4 One of the values on the axis), and in exchange for that, pay the upfront consideration (also called reward) to the other party,
The one of the set of possible outcomes is determined as an actual outcome at the future maturity;
The computer system comprises data storage means (95, 100, 110), data processing units (93, 97, 104) and communication means (25), the method comprising:
i) A step of accepting orderer input contract data representing at least one application contract via the communication means (25), the orderer input contract data being one at a future maturity and one at a future maturity. The same possible payment value you will receive for each of the possible outcomes of the set (horizontal axis of graph in chart H4, 1600 to 2200 in the first column of chart H5) And the limit of the consideration (55,000 in Chart H4) that will be paid to the opponent,
ii) Relative registration data specifying the component unit price (component product price in the third column of the chart of chart H5) for each of a set of possible outcomes at a future maturity, via the communication means (25). The sum of all the possible results of the component unit price is the value obtained by adding the adjustment value, which may be positive or negative, for the relatives to the consideration of the unit amount. The component unit price for represents the component of the consideration of the unit amount charged by the orderer for payment of the unit amount from the counterpart, the component of that possible outcome,
iii) With respect to the orderer input contract data of one orderer and the relative registration data of one relative by the calculation means embodied in the processing unit, a payment value that may be specified by the orderer input contract data; Calculating the consideration paid to the counterpart based on the component unit price specified by the counterpart registration data (the consideration calculated from the conditions specified by the counterpart), which may occur For each of the results, the product (chart) obtained by multiplying the possible payment value (“net state dependent guarantee amount” in the second column of chart H5) and the component unit price (third column of chart H5) Calculating the consideration by summing (the total result is shown in bold at the bottom of the fourth column of chart H5) 69.07;
iv) controlling the calculation means by control means embodied in the processing unit to repeat step iii) for zero or more relatives;
v) By the discrimination means embodied in the processing unit, the consideration calculated by the at least one counterpart (in Chart H5, the value (58.71) including the discount rate and fee is shown as the contract bid price) Discriminating at least one of the relatives, and the consideration is within the limits of the consideration;
vi) The at least one determined relative is associated with the orderer by recording the determined at least one relative with the ordering means embodied in the processing unit. And having a stage,
Method.

Incidentally, the above-described in the "totally independent on the results of specific symptoms, if there is only known for the specified security" is susceptible of embodiments as follows. This is the “scenario where the orderer is not interested in the outcome” as described at the beginning of Example II. “When the future guarantee is positive, the contract is in the order of the orderer's point of view a known future guarantee. In contrast, this is an embodiment including a case of “essentially a loan in that a reward can be provided at the present time”.

A method executed by a computer system to match an orderer's application contract with at least one of a plurality of relatives,
The application contract has a future maturity,
According to the application contract, the orderer will receive a deposit / loan or exchange payment from the counterpart at the future maturity, and in exchange for it, the advance payment will be paid to the counterpart.
The computer system comprises data storage means (95, 100, 110), data processing units (93, 97, 104) and communication means (25), the method comprising:
i) The orderer input contract data representing at least one application contract is received via the communication means (25), and the orderer input contract data is received at the future maturity and at the future maturity. Designating the deposit / loan or exchange payment value to be and the limit of the consideration to be paid to the counterparty, and
ii) accepting, via the communication means (25), relative registration data specifying a unit price at a future maturity for one or more possible deposit / loan or exchange payment values;
iii) By the calculation means embodied in the processing unit, the orderer input contract data of one orderer and the relative registration data of one relative are used for the deposit / loan or exchange specified by the orderer input contract data. Based on the payment value and the unit price specified by the counterparty registration data, calculating the consideration paid to the counterparty by multiplying the deposit / loan or exchange payment value by the unit price Calculating the consideration;
iv) controlling the calculation means by control means embodied in the processing unit to repeat step iii) for zero or more relatives;
v) The step of discriminating at least one of the at least one counterpart who has the lowest consideration calculated and is within the limit of the consideration by the discriminating means embodied in the processing unit. When,
vi) A step of attaching the determined at least one relative person with the orderer by recording the determined at least one relative person in association with the orderer by the attaching means embodied in the processing unit. And having
Method.

Economic Management Contract Life Cycle: Example III
This example describes the formulation of an immediate exchange contract involving an economic management contract (based on a variation of Example II) and including a guaranteed US dollar amount in return for a future fixed fee in commercial dollars denominated in Australian dollars. To do.

  This example is a special case in General Example II that is independent of the consequences of any particular phenomenon. In this example, there is only a single result and a single guarantee is specified by the orderer for that single result.

  However, unlike Example II, this example includes its own concept of contract expiration date. This is the concept of “as soon as possible after the date and time when the transaction was created by the orderer” and means an immediate exchange. That is, the maturity date is the same day.

  In this example, the application refers to the desired US dollar as soon as possible after specifying that the contract orderer is ready to pay immediately (as a reward) not exceeding $ A102,900 in exchange for the US dollar currency. It gives the contract orderer a specified non-state-dependent guarantee of receiving a currency amount ($ US70,000) (70,000 US dollars).

  In this example, the key stakeholders involved are the application promoter (BLC Inc), the various product suppliers (BLC Inc itself applies in this example), and the various product orderers (in this example). Applicable to Abbotts & Taylor, various potential opponents (in this example, Abrahamsons and Carpenters Inc), guarantors (CNZ Banking Corporation) and application regulators (the Pacific Central) Bank).

  A timetable describing the contract stages from the first stage application designation to the final stage contract settlement is shown in FIG. 5 and supplemented by charts J2-J6.

  To refer to the application specification of the first stage of the timetable with chart J2, BLC Inc handles economic risk management at time 91.06.03.17.00.00 (ie 5:00 pm on June 3, 1991) It can be seen that the contract application (application ID 201) is set. This application (application) includes a pricing and valuation objective function of “maximize pre-tax reward / guaranteed exchange rate”. Application ID 201 supports a range of products.

  When referring to the product designation in the second stage of the timetable together with the chart J3, it can be seen that BLC Inc is the product provider of the product 11099 at the same time (91.06.03.17.00.00). This product is relevant to the immediate exchange market. The expiration date of the product 11099 is “as early as possible after the start of trading”. The reward for certain contracts, including product 11099, is commercial bank deposits denominated in Australian dollars. Guarantees are in the form of US dollar denominated commercial bank deposits and are paid immediately after the designated maturity date and time of the product (ie as soon as possible after the commencement of the transaction).

  Referring to the potential partner product pricing designation in the third stage of the timetable, the two agencies Abrahamsons and Carpenters Inc are potential opponents for the upcoming primary product order processing product 11099. At the timetable (92.06.03.15.00.00.00), which is 12 months after the designation of product 11099, both Abrahamsons and Carpenters Inc are currently in the process of pricing possible orders for the product. Has the specified parameters.

  To refer to the primary order designation in the fourth stage of the timetable together with chart J4, the orderer Abbotts & Taylor sought a contract from the applicant for product 11099 at the above time (92.06.03.17.00.00.00). I understand that. Chart J4 shows the specific parameters defined by Abbotts & Taylor for the contract he is currently seeking, with a maximum exchange (reward) amount of ($ A102,900) and a confirmed $ US70,000 Includes security.

  When referring to the order specified pricing in the fifth stage of the timetable with chart J5, the system considers that the consideration that the company considers ideal is $ A94,500 in view of the parameters specified by Abrahamsons You can see that it has been decided. This happens at time 92.06.03.17.38.02.00. Abrahamsons pricing parameters specify an exchange rate of 0.75, a commission rate of 1.25%, and a single estimated probability of occurrence 1 (discount rates and component product prices are meaningless in this example). The consideration for $ A94,500 is lower than the maximum consideration for $ A102,900 specified by Abbotts & Taylor.

  Referring to the fifth stage of the timetable along with chart J6, the system has determined that the consideration it considers ideal is $ A101,300 in view of the parameters specified by Carpenters Inc. . Carpenters Inc's pricing parameters mean an exchange rate of 0.70, a commission rate of 1.30%, and a single estimated occurrence probability of 1 (discount rates and component product prices are still meaningless).

  Referring to the 6th order ordering in the timetable, the system estimates that Abrahamsons consideration is superior to Carpenters Inc consideration and lower than Abbotts & Taylor maximum consideration. As a result, Abbotts & Taylor's order will be officially reconciled by Abrahamsons at time 92.06.03.17.38.12.00. The garnish coincides in time with the maturity and immediately followed by a $ A94,500 transfer from Abbotts & Taylor to Abrahamsons and a corresponding $ US70,000 transfer from Abrahamsons to Abbotts & Taylor. This therefore represents the final settlement of the transaction, including all of the transfers associated with the maturity date and time for other contract types.

In what follows, the corresponding terms or concepts in this example are inserted in parentheses for possible embodiments .

A method executed by a computer system to match an orderer's application contract with at least one of a plurality of relatives,
The application contract has an immediate maturity,
According to the application contract, the orderer receives payment of deposit / loan or exchange from the counterpart at the time of immediate maturity, and pays the counterparty in exchange for it.
The computer system comprises data storage means (95, 100, 110), data processing units (93, 97, 104) and communication means (25), the method comprising:
i) The orderer input contract data representing at least one application contract is received via the communication means (25), and the orderer input contract data is received at the time of immediate expiration and at the time of immediate expiration. The deposit / loan or exchange payment value to be (designated 70,000 under “Guaranteed” in Chart J4) and the limit of consideration that would be paid to the opponent (102,900 under “Reward” in Chart J4) Specified) and the stage,
ii) For one or more possible deposit / loan or exchange payment values, including the unit price at the time of immediate maturity (including the exchange rate 0.75 shown at the top of Chart J5, which in this example is a counterparty Accepting, via the communication means (25), the registration data of the relatives, which designates the amount of Australian dollars that are ready to be considered for 1 USD,
iii) By the calculation means embodied in the processing unit, the orderer input contract data of one orderer and the relative registration data of one relative are used for the deposit / loan or exchange specified by the orderer input contract data. Calculating the consideration paid to the counterparty (94.50 in the case of Chart J5) based on the payment value and the unit price specified by the counterparty registration data, the deposit / loan or exchange payment Calculating the consideration by multiplying the value by the unit price;
iv) controlling the calculation means by control means embodied in the processing unit to repeat step iii) for zero or more relatives;
v) The step of discriminating at least one of the at least one counterpart who has the lowest consideration calculated and is within the limit of the consideration by the discriminating means embodied in the processing unit. When,
vi) A step of attaching the determined at least one relative person with the orderer by recording the determined at least one relative person in association with the orderer by the attaching means embodied in the processing unit. And having
Method.

  A further embodiment related to each of the embodiments of Examples I-III above includes an order pricing process step as described above, and then during a certain period of time before formal matching takes place. The order continues to impose debts on the orderer with the expected counterparty. As noted above, rewards may be paid immediately upon garnishing, or may be postponed for a certain amount of time (or until maturity), and the maturity date may be at some future point in time (or garnished) Just after). The duration of the debt is specified by the promoter stakeholder and is known to the orderer and the registered counterparty. Thus, the period of the above obligations is that the parties enter into a future state-dependent contract (in the case of Examples I and II) or a future exchange (in the case of Example III). Is possible.

<Decision support>
The system block diagram shown in FIG. 6 differs from the block diagram shown in FIG. 1 in that the product orderer 13 and potential product counterpart 14 are collectively known as participants 19. As described above, an institution can act as an orderer, a counterparty, or both an orderer and a counterparty. For the purposes of the following description, it is assumed that all participants 19 can act as both orderers and counterparts.

  FIG. 7 represents the information flow for a single orderer / relative 19. The institution 19 receives information on the contract that has been settled (expired) and information on the transaction environment. Both types of information are provided by core system facilities 20.

  The term “contract” has the same meaning as in International Patent Application No. PCT / AU93 / 00250 as described above. Contract pricing and matching methodology is the basis for all information flow and decision making. The problems described below relate to providing a decision support device to participants to help with order formulation, contract transactions, etc., based on a more commonly perceived attitude and purpose.

  Order submission and matching occurs in the core system 20 in a manner similar to that described above, and order data and registration data are entered to enable pricing and matching, while participants can optionally Only the broader input that is translated into the necessary specific details to be submitted to the core system by the decision support device residing on the user device 70 need be specified.

  Participant 19 provides contract-based input to processing device 70 via filter 30 along with prediction data, objectives, and perceived phenomenon “affected (exposed)” data. In the absence of any contract-based input from the participant 19, the processor 70 derives a transaction instruction that is forwarded to the core system processor 20 via the telecommunication gateway 25, so Process higher level information represented by the phenomenon “affected”. The user processing device 70 also receives information related to transaction confirmation, contract state change, and contract reevaluation from the core system device 20. Thus, participants can be “prompted” for an appropriate action policy based on the “attitude” of the parties to the risk as defined by contract entry, prediction, purpose and perceived impact. In this way, the participant 19 can manage the risk impact (exposure to risk) at a higher level than for each contract.

  The block diagram of FIG. 8 is similar to the block diagram of FIG. 7, except that the user processing device 70 does not make a decision for each contract, but rather the prediction, purpose and perceived phenomenon of each participant. The difference is that information is supplied to the core system device 20 based only on “affected”. Transaction processing at the contract level is processed by the core system 20.

  The specific system configuration is not important for the purposes of the following example; rather, the following description deals only with the information flow, and in this regard the type of information represented in FIGS. Is referenced.

In a basic format, predictions are constructed based on the probability of occurrence of a predetermined phenomenon. In a more sophisticated version, further forecasts are: (a) Correlation between estimated occurrence probabilities (b) Contract resale and application value prior to individual contract maturity (c) Contract payment discount rate determination Element (d) Currency and cash-type auxiliary upfront exchange rates for contract portfolio evaluation,
(E) Based on one or more evaluations among other participants' objectives and strategies.

  In the basic form, Objectives incorporate special desired contracts, special desired products (contracts involving the same future phenomenon), along with portfolios and reward payments—minimum and maximum prices.

  In addition, objectives can be limited by a desired importance "weighting" for the particular objective and a specific desired contract security discount rate. According to a more sophisticated version, objectives may include other feasible incremental portfolio gains and loss potential benefits and costs, as well as neutral points of portfolio expectations and standard deviations. The transaction environment information provided by the system device has the “roughly show” property, but is available to the participant on a real time basis. Again, in a more sophisticated version, the information may have a very special meaning.

  The functionality of the data filter in the basic version is minimal. In other words, the transaction environment information provided by the core system device depends only on the content of the matter that the core system can notify the participant based on the certainty. This is because the participant makes a decision regarding the matter. It is different from what you want to know. In more sophisticated versions, filtering can be emphasized and can depend on what the orderer / relative wants to know. For example, the filter can make organic decisions with a static expert system or a dynamic expert / artificial intelligence system.

Further, for the basis of the present description, the following assumptions are made regarding the transactions that can be executed by the participants. participant is,
(a) Purchase or create options to become a party to a new (primary) contract
(b) Exercise of options to become a party to a new (primary) contract
(c) Purchase or create an option to buy or sell an existing (secondary) contract (positive or zero guaranteed part)
(d) Exercise of options to buy or sell existing (secondary) contracts (positive or zero guaranteed part)
(e) Transactions involving trade price inquiry orders cannot be executed.

  The above constraints mean that participants can only execute the following types of transactions:

(i) Participants who have only ordering qualification (Type A)
(a) Start of a new (primary) order (including only positive or zero guarantees)
(b) Sale of existing contracts
(c) Acquisition of a contract applied for sale by another party (positive or zero guaranteed part)
(d) It is only possible to withdraw the above three types of transactions that were presented and before execution,
(ii) Participants (type B) who are qualified as both an orderer and a counterpart
(a) Continuous presentation of order pricing and condition restrictions to the system
(b) (Including positive, zero and negative guarantees) (primary) order start
(c) sale of an existing contract (positive or zero guaranteed part)
(d) Acquisition of a contract applied for sale by another party (positive or zero guaranteed part)
(d) It is only possible to withdraw the above four types of transactions that are presented and before execution.

  At any given time, individual participants have direct access to trading environment information to facilitate self-determination and system evaluation of various data items. In particular, participants have access to a core system market situation consisting of settled contract information, contract valuation price (applies to all participants), transaction totals indication, and similar information. Participants will have their own (evaluated) existing contracts with the current “market-to-market” assessment, including “sale application” contracts and all other contracts, as well as updates applied for sale by others. Contracts, their own current order pricing and restrictions (Type B parties only), their own unconfirmed / unconfirmed new (primary) orders, and others applied for sale. To the processing state (and evaluation) of the transaction that you entered in the system in advance, which consists of the pre-execution command that you presented in advance to bid for the (positive or zero) guaranteed part of the contract after confirmation Access right.

  Participants can easily self-determine both their perceived "real business" exposure to the evaluated and related future phenomenon and the current phenomenon prediction and target components These self-determined items are the basis for new transaction inputs that are currently recommended by your equipment, along with current information about the state of transactions pre-entered into the system and the market conditions supplied by the core system. It becomes. The latter components include the estimated probability of the selected future phenomenon and its own, including the desired contract, product, portfolio, minimum and maximum reward payment resources, and the desired contract reward discount rate. It includes a party's current phenomenon prediction consisting of objectives.

  In addition, participants are informed of the evaluation of new transactions that are recommended for input to the core system device, which include the following elements (i) to (v):

(i) Changes to existing order pricing and restriction conditions maintained by the system (Type B parties only)
(a) The order pricing parameters consist of the price probability, commission rate and discount rate of the desired future phenomenon for each new order transaction type specified individually.

    (b) Restrictions consist of the minimum and maximum expected and absolute values of contracts, products and portfolios (and other conditions regarding minimum acceptable orderer characteristics and desired compensation / guarantee payment arrangements).

(ii) the desired new (primary) order consisting of:
(a) Valid future phenomenon identifier
(b) Security expenditures with uncertain demand on the realizable value of future phenomena / after receipt
(c) Designated minimum allowable compensation payment
(d) Designated minimum acceptable relative characteristics (eg credit rating, location, etc.)
(e) Desired reward / security payment arrangement
(iii) instructions to sell the (positive or zero) security part of your designated existing contract consisting of the following elements:
(a) Valid contract identifier
(b) Designated minimum transfer price
(c) Designated minimum acceptable acquirer characteristics
(d) Desired payment arrangement
(iv) New instructions for the purchase of the (positive or zero) security part of an existing contract applied for sale by another consisting of the following elements:
(a) Valid contract identifier
(b) Specified maximum acquisition price
(c) Payment arrangements as desired
(v) Instructions consisting essentially only of the transaction's identifier to withdraw the four types of transactions that have been presented and have not yet been executed. “Allow” explicitly or implicitly to follow the core system for recommended new transactions. Thus, following a single change in a data item, the system will continue to recommend additional new transactions until additional data changes are made by the participant or result from a modified state of an existing core system transaction. / Suitable for steady state not including start.

  The mechanism by which participant devices continuously determine new transactions that require input to the core system is the “objective function optimization” mechanism, typically mathematically formulated as a linear or non-linear programming problem. The The operation of this mechanism is automatically triggered by some / all input data changes recorded by the device.

  Furthermore, at least in the case of the above embodiment, the mechanism is likely based on a typical type of goal programming of a linear programming model. This optimization method is a weighted difference between the participant's specified desired contract, product and portfolio results and the calculated current value of the above measure so that the specified performance and logical constraints are not violated. Try to minimize the total of The model variables are essentially the five new transaction types described above. Thus, the model continuously searches whether and how to present a new transaction to the core system in order to bring the current value of the performance measure selected by the participant as close as possible to the desired value.

  Considering the case where all three participants use the above optimization mechanism, the operation of the system occurs cyclically, and the start of each cycle is, for example, the core system that the participant added at the end of the previous cycle. Marked by receiving market conditions and processing status of transactions previously submitted to the core system. In practice, the cycles given to individual participants may not be aligned, but for convenience of explanation, consider the case where the cycles are aligned.

  The cycle applicable to the participants is shown in FIG. 9 and assumes that all participants are only interested in a single common future phenomenon (single product). The variables shown in FIG. 9 are listed.

b = Participating Party ID (participant identification number) (eg 1, 2, 3, etc.)
t = Applicable cycle
CSSMS = Core system supply market situation (end of cycle t-1)
PSOPT = Pre-presented transaction status
PRBE = Perceived real business impact
OO = purpose of ownership
NTR = New deal recommendation
NTD = New transaction submission

See Example I below. According to the embodiment, the orderer Abbotts & Taylor and the reasonable product partner Abrahamsons can investigate the same transaction at the high level illustrated below.

Abbotts & Taylor Outlook (Attitude)
Abbotts &Taylor's engagement with the transaction occurs in the fourth stage of the timetable. This is the time when Abbotts & Taylor prepares the Primary Order Specification (see chart G4). Chart G4 represents a parameter that includes the maximum allowable contract fee of 54,000 (commercial bank Australian dollar denominated deposit) that Abbotts & Taylor has confirmed for the contract. In the fifth stage of the timetable, Abbotts & taylor submits an order for relative pricing.

  The fourth and fifth stages of the timetable correspond to the variables NTR (representing “new transaction recommendation”) and NTD (representing “new transaction submission”), respectively. Below, if NTR is assumed to be the same as NTD, the following questions from this transaction will become obvious.

1. Is Abbotts & Taylor the only deal at this point? If so, what is the reason?
2. Regarding transactions-What is the reason why security was so decided (see Chart G4)?
-What was the reason why 54,000 (Australian dollar commercial bank deposits) was chosen as Abbotts &Taylor's maximum compensation?
In particular, these questions are directly emphasized by the above optimization mechanism. As described above, in the language introduced in FIG. 9, if Abbotts & Taylor used this mechanism, the transaction processing cycle including the 4th and 5th stages of the timetable would be Absotts &Taylor's “CSMSMS” and “ Starts upon receipt of “PSOPST”. Next, with this information, Abbotts & Taylor may or may not change his existing parameters “PRBE”, “PF” and “OO”. This ultimately results in the single new transaction described above. In this situation, the optimization process is determined for Abbotts & Taylor as follows.

1. Abbotts & Taylor
-Withdraw existing open transactions before being presented to the system and / or
-By presenting other new contracts
I couldn't get any closer to my purpose.

  2. In the case of any other decision guarantees, their objective function does not contribute as much as the guarantees specified by Abbotts & Taylor.

3. If ultimately required as transaction payments, higher perceived rewards will exacerbate their perceived “objective” positions. By lowering the maximum reward, the transaction remains unclosed, which worsens their “objective” position.

  Thus, based on all information currently available, presenting this single new contract is the best action Abbotts & Taylor can take at this point.

Abrahamsons Outlook (Attitude)
In the example above, Abrahamsons' engagement with the transaction occurs in the third stage of the timetable. This is the time when Abrahamsons prepares potential competitor product pricing and presents it to the core system. Chart G5 is a chart representing the parameters that Abrahamsons has determined for filing for future new product orders. Chart G5 further shows that Abbotts &Taylor's order entitlement has been prepared for Abrahamsons pricing calculations after “Defined Circumstances ID” has been confirmed. . The above parameters include the following parameters.

1. Commission rate
2. Dicount rate
3. Component product prices
4). Assessed probabilities of occurrence
5. Various contracts, products and portfolio minimum and maximum limits (shown in chart G7 of International Patent Application No. PCT / AU / 93/00250)
Thus, for Abrahamsons, the third stage of the timetable corresponds to the above variables NTR (new contract recommendation) and NTD (new contract dispatch). Given that NTR is identical to NTD, the following questions from the parameter specification set are self-explanatory.

1. Why is the commission rate 1.25%?
2. Why is the discount rate 10%?
3. What is the reason for these specific component product price pairs (in addition to 1.0402)?
4). What is the reason for this specific set of evaluated probability of occurrence?
5. What are the reasons for the minimum and maximum limits of such specific contracts, products, and portfolios?
In particular, these questions are directly emphasized by the above optimization mechanism. As described above, in the language introduced in FIG. 9, if Abrahamsons used this mechanism, the transaction processing cycle including the third stage of the timetable begins when Abrahamsons receives “CSMSMS” and “PSTOPT”. Next, with this information, Abrahamsons may or may not change his existing parameters “PRBE”, “PF” and “OO”. This ultimately results in the single new parameterized transaction described above. In this situation, the optimization process determines to Abrahamsons that, for example, the following means could not be used to get any closer to his declared purpose.

(i) Withdrawing existing unsettled transactions before being presented to the system
(ii) Presentation of other new contracts
(iii) Increase or decrease in demand commission rate, discount rate, etc. (which only reduces the total revenue from being a relative)
(iv) Relaxing or tightening contract, product and portfolio limits (if this is not done, valuable “conclusion” opportunities are removed or the risk of overall position increases).
Thus, based on all currently available information, the presentation of this single new parameterized transaction is the best action Abrahamsons can take at this point.

1 is a conceptual block diagram of a general system for implementing the present invention. 2 is a conceptual block diagram of a preferred hardware platform that supports the system of FIG. 2 is a conceptual block diagram of another hardware platform that supports the system of FIG. 6 is a diagram illustrating a timetable applicable to Example I. FIG. FIG. 10 is a diagram illustrating a timetable applicable to Example II. FIG. 10 is a diagram illustrating a timetable applicable to Example III. It is a figure showing the modified form of the conceptual block diagram of FIG. It is a block diagram of the flow of information in one example. It is a block diagram of the flow of information in another embodiment. It is a figure showing the processing cycle of one Example.

Claims (1)

A method of combining an orderer's application contract executed by a computer system with at least one of a plurality of relatives, wherein the application contract has a future maturity and the orderer Receive a payment from a counterpart at a future maturity corresponding to one of a set of possible outcomes (A, B, C) at the future maturity among a set of possible payments. In exchange, the prepaid consideration is paid to the opponent, and the one of the set of possible outcomes is determined as the actual outcome (B) at the future maturity. Yes,
The computer system comprises data storage means (95, 100, 110), data processing units (93, 97, 104) and communication means (25), the method comprising:
i) A step of accepting orderer input contract data representing at least one application contract via the communication means (25), the orderer input contract data being one at a future maturity and one at a future maturity. Specifying the possible payment value that will be received for each of the possible outcomes of the set (A, B, C) and the limit of the consideration that will be paid to the opponent;
ii) accepting, via the communication means (25), relative registration data specifying the component unit price for each of a set of possible results (A, B, C) at a future maturity, The sum of the component unit prices for all the possible outcomes is the unit price plus an adjustment, which may be positive or negative, for the relatives, and the component unit price for a possible outcome is Where the orderer represents the component of the consideration of the unit amount charged by the counterparty for the payment of the unit amount with respect to its possible outcome;
iii) With respect to the orderer input contract data of one orderer and the relative registration data of one relative by the calculation means embodied in the processing unit, a payment value that may be specified by the orderer input contract data; Calculating the consideration paid to the opponent based on the component unit price specified by the counterparty registration data, wherein the possible payment value and the component unit price for each of the possible outcomes. Calculating the consideration by summing the products obtained by multiplication with
iv) controlling the calculation means by control means embodied in the processing unit to repeat step iii) for zero or more relatives;
v) The step of discriminating at least one of the at least one counterpart who has the lowest consideration calculated and is within the limit of the consideration by the discriminating means embodied in the processing unit. When,
vi) A step of attaching the determined at least one relative person with the orderer by recording the determined at least one relative person in association with the orderer by the attaching means embodied in the processing unit. And having
Method.

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