WO2005006224A2 - Structure de donnees financieres, systeme d'ordinateur et procede de definition d'une structure de donnees financieres - Google Patents

Structure de donnees financieres, systeme d'ordinateur et procede de definition d'une structure de donnees financieres Download PDF

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Publication number
WO2005006224A2
WO2005006224A2 PCT/EP2004/007607 EP2004007607W WO2005006224A2 WO 2005006224 A2 WO2005006224 A2 WO 2005006224A2 EP 2004007607 W EP2004007607 W EP 2004007607W WO 2005006224 A2 WO2005006224 A2 WO 2005006224A2
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Prior art keywords
data structure
events
financial
class
payment
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PCT/EP2004/007607
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German (de)
English (en)
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WO2005006224A8 (fr
Inventor
Mathias Denzler
Andreas Glatter
Jürg Grossmann
Martin C. Janssen
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Ecofin Data Model Ag
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Publication of WO2005006224A2 publication Critical patent/WO2005006224A2/fr
Publication of WO2005006224A8 publication Critical patent/WO2005006224A8/fr

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    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation or account maintenance

Definitions

  • the invention relates to a financial data structure, a computer system and a method for defining a financial data structure according to the preamble of claims 1, 9 and 13.
  • the data structure according to the invention enables the administration of new, as yet unknown types of financial instruments, which are characterized in particular by novel payment claims, without having to make changes to the data structure itself.
  • financial information contains, in particular, financial events such as stock exchange prices, company events and payments in interaction with financial instruments and institutions.
  • the data structure according to the invention allows both the evaluation of the financial instruments recorded in this way with the aid of the valuation models known from the financial market economy and the processing or automated processing of the events associated with these financial instruments.
  • Known data structures, systems and procedures for the management of events, financial instruments and institutions are usually limited to the direct implementation of requirements in individual application domains.
  • the requirements come either from the direct environment of business processes that are relevant for a company, or from format descriptions of existing data or data supplied by a data provider.
  • Such data structures for financial information subdivide financial information based on the statically oriented objects such as financial instruments, companies, stock exchanges, etc.
  • the dynamic part, which comprises the aforementioned events, is regarded as a change in the static structures and not as a separate area in the data structure.
  • a method and a device for a financial database structure are known from publication WO 02/056227. That publication assumes that financial information can be divided into “Organization”, “Financial” and “Non-Financial” and must also be divided into these segments there. As a result, event-oriented structures such as a share takeover are not clearly assigned can, since this is data that covers both “organization”, “financial” and “non-financial” aspects. This fact and the limitation of the structure of the solution there do not allow any flexible assignment that is open to new elements and, when using this system, allows the information to be processed to be found only to a very limited extent.
  • the present invention aims to provide a system, a data structure and a method for the computer-aided definition of financial instruments and institutions and the events occurring in their life cycle while largely avoiding the disadvantages and restrictions mentioned above, whereby the integration of new events without any effort if necessary Changes to the data structure and the simplified introduction of new non-structural elements should be possible.
  • This task is solved by the financial data structure, the computer system and the method according to the independent patent claims 1, 9 and 13.
  • the stable system created in this way enables the use of data structures in the context of automated processing of events in connection with financial instruments as well as the evaluation of financial instruments using economic calculation methods.
  • the data structure according to the invention comprises a division of the financial information area into legal entities, financial objects and events.
  • financial objects are understood to mean financial instruments in a broader sense, i.e. Contracts for financial claims from business transactions. Financial claims can be settled directly by payments in one currency, by delivery of other financial instruments, as well as by rendering other non-cash benefits (e.g. transport services as dividends). In certain cases, financial instruments do not convey claims, but can only be exchanged for other financial instruments (e.g. currencies). Finally, objects are also referred to as financial objects that do not convey independent financial claims, but serve as an underlying for derivative financial instruments (e.g. stock indices). The event part contains all event objects.
  • the invention provides for a financial instrument type and organization type independent modeling of the event objects and thus enables in a new way a similar processing of various types of financial information, in particular payment and company events.
  • the invention creates a complete, formalized data structure for events for financial instruments and institutions, which not only event information for already known fi financial instruments and institutions, but is especially prepared for future developments in the financial industry.
  • a multi-stage process is preferably used to display events.
  • the new data structure for events for financial instruments and institutions is based on the cause-effect relationship between institutions and financial instruments and between institutions and institutions.
  • the institutions are the original cause with an effect on financial instruments and institutions.
  • the system is designed in such a way that information can also be recorded in the event of chained events, regardless of whether the element that triggered it or the corresponding legal entity is known.
  • the present invention contains a comprehensive formalized, universally usable data structure, in particular for financial events.
  • the data structure is divided into the three data structure areas legal entities such as institutions, financial objects (especially financial instruments) and events.
  • Each data structure area contains classes and relations.
  • the relations are relationships between classes from the same data structure area or from different data structure areas.
  • the graphic language for the representation of the structures as classes is known as a class diagram to the experts experienced in IT.
  • this language uses the concept of specialization relationship.
  • the relationship "a class S is a specialization of class A” means that the class S has all properties and relationships of A in relation to its own properties and relationships.
  • the phrase "S is a subclass of A” is equivalent. Equally synonymous, but with the opposite approach, the expression is used that A is a generalization of S represents.
  • a class is used as a blueprint for the organization of a memory area in such a way that a data part and a processing logic part are recognizable.
  • the data part is characterized in that it consists of a multiplicity of attributes, which are characterized in that they consist of a multiplicity of attribute names and attribute value types.
  • the processing logic part is characterized in that it consists of individual processing methods, which can access transfer parameters and the data content of the attributes.
  • a class S which is a subclass of a class A, now identifies an additional blueprint part for the organization of a memory area by means of an address reference the blueprint of class A. In this way, objects of class S can use the additional data and processing logic elements of A in the same way as those data and processing logic parts defined in S.
  • This use of class models which has been known for around 15 years Class specializations in computer systems enable efficient use of memory areas and processing logic.
  • each class can be assigned to one or more of the three data structure areas.
  • multiple assignment of individual classes enables flexibility and openness for realistic modeling.
  • Classes that occur in more than one data structure area are referred to in this document as hybrid classes HK. This means that the class is not only part of the modeling of a data structure area, but the identical class is part of a second or third data structure area.
  • a computer system which is equipped with a method that makes data parts and processing logic parts recognizable by means of classes in the memory areas, can use the hybrid property in such a way that the multiple assignment of a class to the three data structure areas does not result in copies of the memory area, but in that the address of the memory area the memory area and thus the class and its objects are available in more than one data structure area.
  • a first refinement of the data structure area Events results in at least two sub-areas: the area payment events and the area company events.
  • Social events are triggered by one or more institutions and change institutions and / or financial instruments.
  • Payment events are events that are triggered by one or more institutions and give the holders of financial instruments a claim (or obligation) and relate to the payment of one or more financial instruments.
  • Such events can either be linked to a financial instrument (e.g. interest payments, repayments, dividends), subsequently linked to financial instruments as part of one or more company events (e.g. distributions of subscription rights), or modified or replaced based on a company or payment event in accordance with a predetermined rule.
  • the associated social events can also affect other institutions.
  • CEC Company Event Class: company events
  • CECC Company Event Capital Class: effects of company events on the outstanding capital of the financial instruments involved
  • CELEC Company Event Legal Entity Class: effects of company events on the legal entities involved
  • CEIC Company Event Instrument Class: Effects of corporate events on the financial instruments involved.
  • CEPEC Company Event Payment Event Class: connection between company events and payment events triggered by them
  • CERC Company Event Role Class: roles of legal entities in connection with company events (hybrid class)
  • FOC Financial Object Class: Financial Objects
  • FOLC Financial Object Link Class: Relationship among Financial Objects
  • FORC Financial Object Role Class: Roles of legal entities in connection with Financial Objects (hybrid class)
  • PEC Payment Event Class: Payment events
  • PELC Payment Event Link Class: connection between payment events. Connects a PEMC object to a PEC object.
  • PEMC Payment Event Multiple Class: Compound payment events as a subclass of PEC m)
  • PESC Payment Event Single Class: Simple payment events as a subclass of PEC n)
  • PEAC Payment Event Amount Class: Upper class for payoff structures o)
  • PEAFC Payment Event Amount Fixed Class: Fixed amounts for payment events as a subclass of PEAC p)
  • PEABC Payment Event Amount Binary Class: Amounts in the form of binary options (fixed amount with threshold) for payment events as a subclass of PEAC q)
  • PEAVC Payment Event Amount Variable Class: Linear Dependent amounts for payment events as a subclass of PEAC r)
  • PEAOC Payment Event Amount Option Class: Linearly dependent amounts with a threshold for payment events as a subclass of PEAC s)
  • PEALC Payment Event Amount Latent Class: Deferred amounts for payment events as a subclass of PEAC t)
  • PEAIKC Payment Event Amount In kind Class: Description of payments in kind as a subclass
  • One or more financial instruments that can be obtained 1.
  • a subscription ratio number of source financial instruments that entitle the holder to subscribe to a defined number of target financial instruments. 3. Dates or periods with a fixed or variable end date on which the claims can be asserted.
  • conditions for the existence of a payment claim e.g. knock-in or knock-out conditions
  • conditions for changing the claim from physical delivery to cash compensation and vice versa may apply.
  • a uniform class (PEC) is formed to cover all claims. It summarizes the general characteristics of claims and payment events.
  • the individual claims can have any combination of payout functions.
  • the data structure therefore separates the general information (eg date and currency) on individual claims from the payment function (payoff structure).
  • the payout often depends on the price of other financial instruments in different ways.
  • the payout function is modeled by separate classes, which have an economically sensible division, in such a way that any payoff structure can be formed by additive composition. The often necessary fixation of courses at a predefined time is described in separate classes.
  • Payment claims can stand on their own or be combined into bundles of several individual additive or alternative payment events.
  • subclasses of the uniform class are formed through specialization (PESC and PEMC).
  • Compound claims of the PEMC class can either consist of individual claims (PESC) or of further composite claims (PEMC).
  • Claims include Information about the settlement, the assertion, the rounding rules, the March or accrued interest, the announcement and limitation period as well as the generation period.
  • An example of alternative payment events are dividends, in which a cash or a stock dividend can be drawn. It is therefore a choice between a fixed payment of an amount (a number of currency units) and a fixed payment in the form of a number of shares.
  • Composite payment events can be explained using this example. Both the cash and the stock dividend form a single payment event (Class PESC). To express that this is an alternative, a composite payment event (object of class PEMC) is created. With this payment event it can be stated that it is an alternative with voting rights of the shareholder.
  • This object is linked to the payment part events with one object of a connection class (PELC), so that it is clear which payment part events are available.
  • PELC connection class
  • This class can also be used to indicate when the shareholder has to decide on one of the alternatives and which payment event is used if the shareholder does not decide.
  • one or more payment amounts can preferably be created for each payment event definition.
  • the amount of a payment for a certain payment event can be a complex, changing size - depending on the market price of a basic instrument - depending on the size.
  • the present invention shows a small number of basic payment modules from which all known and conceivable payment amounts can be formed individually or by combining several modules.
  • the payment modules are:
  • PDAFC Fixed payment amount
  • PEABC Fixed payment amount with threshold
  • PEAVC Payment amount linearly dependent on another financial instrument
  • PEAOC Payment amount with a threshold value linearly dependent on another financial instrument, expressed as the price of another financial instrument (option, PEAOC); the claim, for example, either as the difference between see the price of the financial instrument and the threshold is determined, or physical delivery of the financial instrument and payment of the threshold is made, e.g. disbursement functions of simple options, call or put.
  • PEALC Deferred payment amount
  • the connecting element between the payment modules and the payment event definitions is the class (PESC).
  • PESC The connecting element between the payment modules and the payment event definitions.
  • PEUFC a class is formed (PEUFC), which, with its subclasses and other classes, represents the calculation function and references the relevant courses.
  • This division allows the composition of all known payoff structures from elements whose economic valuation is known for most types of base values .
  • the applicability of valuation models can be recognized on the basis of the type of payment module and the underlying. It is therefore not a purely mathematical division (such a breakdown would further break down the payment modules, but would no longer show the applicability of valuation models).
  • the rules that apply to the adjustment of the payment events in the event of changes in the base values due to company or payment events and their application in the specific case are also recorded.
  • the rules for the adjustment of payment events due to events in connection with their underlyings are mapped with one or more classes PEARC.
  • the actual adjustments can be found in one or more adjustment classes PEADJC.
  • Social events include events that take place with or without notice based on free decisions by companies, groups or individuals. These include, for example: a) conversions of financial instruments into one or more other financial instruments; b) Full or partial purchases or repurchases of certain financial instruments based on public offers; c) changes in the capital of companies with or without exchanging financial instruments; d) mergers or acquisitions without a merger and unbundling; e) Institutional changes in institutions that have roles in connection with financial instruments, with or without a simultaneous change in the capital structure; f) Judicial or official procedures that are important for the existence of a company or for the valuation of financial instruments, such as bankruptcy proceedings, bankruptcy protection proceedings or liability actions by holders of certain financial instruments.
  • CEC uniform class
  • CELC connection classes
  • Company events can affect financial instruments as follows, for example, whereby the following list is not a conclusive description and the various points can also occur in combination with one another: a) One (or more) financial instrument (s) will be used against one (or more) other financial instrument (s) exchanged. The financial instrument (s) submitted can perish or remain. b) The holders of the financial instrument receive a claim, e.g. a subscription right to purchase new shares from a capital increase. c) The financial instrument is changed (e.g. adjustment of the nominal value). d) The holders of a financial instrument can take part in a procedure (bankruptcy, estate, class action, etc.). e) The payment events of financial instruments are changed, which depend on the instruments directly or indirectly affected by the company event.
  • CECPEC When a payment event is triggered, one is recorded and the company event is linked to the payment event with a class (CEPEC). In all other cases, it is indicated directly which financial instrument is affected by an event and how (class CEIC). If a company event leads to a change in the number of titles in a financial instrument, this is indicated with a separate class (CECC).
  • each announced or arriving company event can be represented in a gradual breakdown with the classes already defined.
  • a corporate event CEO is broken down into individual sub-events CE1 to CEn.
  • the classes CEC and specializations thereof are preferably used for this.
  • the class CELC combines this first decomposition with the original company event G0 by means of a sequence number.
  • a second decomposition process creates one or more event actions for each sub-event.
  • the event actions are preferably presented using the classes CEIC and specializations thereof, CEPEC, CECC and specializations thereof. provides. Part of this disassembly step is also the connections to the affected instruments and payment events, which can be part of event actions.
  • the invention includes a financial data structure, characterized by several classes describing financial information, with at least three data structure areas, a first data structure area with a first memory area with at least one class for storing basic information on legal entities, a second data structure area with a second memory area with at least one class for storing Basic information on financial objects, as well as a third data structure area with a third storage area with at least one class for storing information about events or with at least two classes for storing information about events.
  • the financial data structure preferably contains a first data structure area with at least one class, which represents the relationships between at least two legal subjects, including the composition from partial legal subjects (e.g. subsidiaries, departments, etc.).
  • the events data structure area contains at least two sub-data structure areas, the first of which contains a memory area and classes for storing social events and the second of which contains a memory area and at least one class for storing payment events.
  • the sub-data structure area for corporate events has at least one class for the gradual decomposition and storage of a complex corporate event.
  • the sub-data structure area for payment events contains at least one class for storing an at least two-stage decomposition of a complex or composite payment event based on individual events and individual payments.
  • the invention provides for defining sub-elements, which include sub-events, sub-instruments and sub-legal subjects.
  • the financial data structure contains sub-data structure areas that have at least one class for defining these sub-elements. These sub-elements are preferably defined and stored in stages by classes. Class formation with regard to sub-elements is an essential advantage of embodiments of the solution according to the invention.
  • Another important advantage of the invention is the traceability of the causes and effects of triggering and subsequent events.
  • the sub-data structure areas are designed so that the triggers for events and their consequences can be saved at any time and are thus kept available for retrieval:
  • the invention includes a computer system for processing financial information with at least one computing unit and a data memory for storing financial data.
  • the computer system preferably has a data processing terminal and data interfaces to user terminals or remote computers.
  • the computing unit and the data memory serve to store and process three data structure areas.
  • the three data structure areas include a first data structure area with a first memory area with at least one class for storing basic information on legal entities, a second data structure area with a second memory area with at least one class for storing basic information about financial objects, and a third data structure area with a third memory area with at least one a class for storing information about events.
  • This three-way division enables the storage and processing of all relevant areas of financial information.
  • it enables a logical and physical separation of more static data such as Master data on institutions and financial instruments, and of more dynamic, event-oriented data, such as company and payment events.
  • the computer system contains a hybrid class for at least two data structure areas, which is used by both data structure areas.
  • This hybrid class is available in both data structure areas due to its memory addresses. If the two structure areas are separated by a network, the hybrid class and its objects are available through remote memory addresses, which a commercially available communication component can create. In this way, the information can be recorded flexibly and the storage space can be used efficiently.
  • the invention includes a method for defining a financial data structure for financial information or financial databases, the financial data to be processed being stored in at least three data structure areas, which a first data structure area (E1) with a first memory area (S1) with at least one class for storing basic information Legal entities, a second data structure area (E2) with a second storage area (S2) with at least one class for storing basic information on financial objects, and a third data structure area (E3) with a third storage area (S3) with at least one class for storing information about events contain.
  • a first data structure area (E1) with a first memory area (S1) with at least one class for storing basic information Legal entities a second data structure area (E2) with a second storage area (S2) with at least one class for storing basic information on financial objects
  • E3 with a third storage area (S3) with at least one class for storing information about events contain.
  • the method according to the invention is characterized by a multi-stage decomposition of social events and the correct connection of a main event with its sub-events. At the lowest level, the partial events are broken down into individual actions. The result of this decomposition Objects can have links to payment events.
  • the method according to the invention uses a breakdown of payment events in at least two steps: breakdown into superordinate main events and several subordinate single events with the help of at least one class representing the structure, and in the second step a breakdown of each individual event into payoff structures.
  • the payoff structures are mapped as a combination of several (any number) elements to be combined in a defined set of element types that are added (positive or negative).
  • element types occur: a) Fixed payment amount, b) Fixed payment amount with threshold depending on the fixed price of a financial instrument above or below which the claim is valid (e.g. binary option, call or put), c) Linearly dependent payment amount depending on fixed price of a financial instrument (e.g.
  • Fig. 1 shows a structure with three data structure areas, namely legal subjects such as institutions, financial instruments and events
  • 2a shows a memory structure which shows the representation of hybrid classes and objects
  • 2b shows a distributed memory structure which shows the representation of hybrid classes and objects
  • 3 shows a structure with two substructures of the data structure area events, namely payment and company events and links with the data structure areas legal entities and financial objects
  • Fig. 4bl-4 example for the decomposition of a complex payoff structure into element types 5 different main entities for initial social events according to FIG. 3
  • inventive structure, method and system are presented using the examples of payment event "dividend", company event "capital increase” and company event “fusion”.
  • inventive use of the three structural areas as set out configures a computer system in such a way that classes and objects are stored by a data input person or a mechanical or electronic read-in mechanism by means of an input mask provided in such a way that they can be saved at any later time connected system or terminal are available.
  • a commercially available computer system and a database runtime system are preferably used for this purpose in such a way that the data values of the objects are inserted into database tables and the links between the objects are recorded by using common database key values.
  • a dividend payment for a share is described here.
  • a share is an equity security in a stock corporation, which entitles the holder to receive dividend payments depending on the course of business.
  • a dividend payment is defined as a payment event in the inventive structure described here.
  • the event-triggering company is the public limited company. The event affects the corresponding participation paper in the company.
  • an object of the PESC class is created and stored for the dividend to be paid out using a computer system configured according to the invention. Due to the unpredictability of dividend payments, a deferred payment (class PEALC) is chosen as the only component for the payment.
  • the PEALC class represents Properties such as amount amount, payment instrument and type of amount attributes are available.
  • the PEALC module is used for payments whose amount and date when the instrument was created are neither fully known nor determined according to fixed rules.
  • An object of the PEALC type can be created and saved by means of manual or electronic data entry in the memory area of the payment events. This payment event is linked to the general meeting of the company that approved the dividend.
  • a capital increase by issuing subscription rights to the shareholders serves as the first example of a company event. By exercising the subscription rights, the shareholders receive additional new shares. Such a capital increase takes place e.g. in the following steps. a) Resolution by the General Meeting or Annual General Meeting b) Issuing newly created subscription rights to existing shareholders c) Subscription of new shares by exercising the subscription rights
  • the subscription rights are newly created as option-like financial instruments and are lost when they expire or when they are exercised.
  • the company thus increases its equity and the outstanding share capital is increased by exercising the subscription rights.
  • the following numerical example serves to clarify the facts of the capital increase.
  • the outstanding number of shares before the capital increase amounts to 1,000,000. 100,000 new shares are to be issued through a capital increase. To this end, a conditional capital of 100,000 shares will first be create. For 10 existing (old) shares, a subscription right for a new share with a purchase price of 100 is payable. After the capital increase, the number of shares outstanding rose to 1,100,000. Assuming full exercise of subscription rights, equity has increased by 10,000,000.
  • the description of the event is, for example, "capital increase by issuing 100,000 shares”.
  • the other attributes are as follows: event status "published", the event date is "November 10, 2001". Since this is a simple event the connection class CELC is not used.
  • the changes in the number of shares of the share with the date on which the change takes effect are recorded by objects of the class CECC and their specializations.
  • a connection class provides the reference to the payment event resulting from the company event,
  • the subscription right which entitles 10 additional shares per 10 shares at a preferential price of 100, is presented as an option-like financial instrument, which in turn has a payment event object of the PESC class.
  • the second decomposition step includes the options -like Payment module PEAOC.
  • the new share serves as the underlying instrument.
  • the number of units required for the exercise is 10, the option type and the direction of exercise are "long call" and the exercise price is 100.
  • the option for shareholders to purchase this instrument is considered a payment event for the original share as a deferred payment (class PESC with payoff PEALC structure, whereby the newly created subscription right is paid out.) After completion of the capital increase, the number of shares and capital structures have to be adjusted.
  • the value of the individual shares decreased by the value of the subscription right that was separated from them. As a result, the value of all calls to this share has decreased (increased). If this difference were not balanced, this would lead to a shift in values between the issuer and the investor. Therefore, the exercise price of the options must be reduced so that the option has the same chance of expiring in the money as before the event. The contract volume would also decrease, so that this also has to be adjusted. For derivatives, it is determined from the outset how such differences are to be compensated (class PERC). An example of a rule would be that the exercise price is adjusted in the arithmetically correct ratio and the contract size in the reciprocal ratio. In each specific case, the rule is applied. The result is a new payoff structure.
  • the PEADJC class can be used to determine which new payoff structure has arisen from which old payoff structure based on which rule and which triggering event.
  • a more elaborate example of a company event is the merger of two companies, which involves a more complex breakdown and several conditions (see Figure 5 below).
  • all option-type financial instruments must be taken into account for the declining share, the rights of which relate to the surviving share after the merger has been carried out and for which the contract sizes, subscription and exercise ratios have to be adjusted.
  • the old shares must also be exchanged for the new shares and all derivative financial instruments that contain the old shares as an underlying must be adjusted.
  • Figure 1 shows a preferred embodiment of the invention.
  • Each data structure area is characterized in that it contains at least one class and a memory area (S1-S3) for data records, called objects.
  • a class and all of its objects can be assigned to more than one data structure area.
  • the first data structure area El comprises legal entities. Legal entities such as public and private law institutions, companies, governments, individuals and financial markets are preferably taken into account.
  • the second data structure area E2 comprises financial objects. For financial objects, all conceivable types of financial instruments such as shares, options, debt securities, rights and derivative financial instruments are preferably taken into account.
  • the third data structure area E3 preferably comprises events. In their real-world existence, the legal entities from El bring about changes B1 in legal entities on the one hand and changes B2 in financial objects on the other. These changes are linked using elements from E3 and corresponding relationships E3B1 and E3B2.
  • Figure 2a shows the technical implementation of hybrid classes and their objects on a currently commercially available computer system.
  • objects are created using a class CLS (INST).
  • CLS class
  • OBJ1 and OBJ2 are shown in the figure.
  • Objects are mapped in a physical memory area (S1, S2, S3) using a method that has been known for more than 15 years.
  • S1, S2, S3 physical memory area
  • the class (CLS) and the objects (OBJ1, OBJ2) By announcing the memory addresses of the class and its objects, it is possible for the class (CLS) and the objects (OBJ1, OBJ2) to be available without restriction to several data structure areas such as E1, E2 and E3.
  • SADR1 and SADR2 show, by way of example, that CLS, OBJ1 and OBJ2 are part of the data structure area E1 and can be used equally in E3 by announcing the addresses.
  • the class “assembly” is to be used as class CLS, which is preferably used for meetings such as general meetings.
  • the class “assembly” is used both as part of the data structure area El legal subjects and as an address SADR in the data structure area E3 events ,
  • FIG. 2b shows that the inventive division into the structural areas shown in FIG. 1 and the use of hybrid classes can also be operated in a computer network system.
  • the structure areas E1 and E3 can be operated on two computer systems connected by a network “NW”.
  • a hybrid class (CLS) and its objects (OBJ1, OBJ2) are no longer directly by memory addresses such as SADR, SADR1 and SARD2 are available in structure area E3
  • the two computer systems do not have a common physical memory component, so that E3 does not have direct memory address-based access to the hybrid class CLS and its objects OBJ1 and OBJ2 exists.
  • FIG. 1 shows that the inventive division into the structural areas shown in FIG. 1 and the use of hybrid classes can also be operated in a computer network system.
  • the structure areas E1 and E3 can be operated on two computer systems connected by a network “NW”.
  • a hybrid class (CLS) and its objects (OBJ1, OBJ2) are no longer directly by memory addresses such as SADR, SADR
  • FIG. 3 shows that the events area can be divided into at least two sub-data structure areas. These are the areas of E3G company events and E3Z payment events. Further sub-data structure areas, such as stock exchange events such as price information, are already included in the complete embodiment of the invention, but are of subordinate relevance for the part of the invention presented here.
  • the data structure area Events is such that the link with the changes B1 and B2 is modeled by relations E3GB1 and E2GB1. Social events are often linked to payment events. Therefore, there is the possibility of creating a link GZ, which assigns one or more company events one or more payment events. Payment events preferably relate to changes B2 in financial instruments triggered by actions by legal entities. An example of this is the example of capital increase.
  • FIG. 4a shows the main classes of the sub-data structure area "payment events" and their links from the data structure area "events".
  • FIG. 4 shows a two-stage decomposition process which can map a real-world payment event to the inventive structural elements.
  • Payment events are real-worldly changes B2, which are from El Legal entities are triggered by actions.
  • Financial instruments E2 are preferably affected.
  • ZZ1 it is examined whether there is a need to split the payment event into individual partial events. If this is the case, the decomposition method ZZ1 is applied in such a way that a decomposition into a main event and one or more sub-events is carried out.
  • the result of the decomposition are objects that were created by using one or more classes from the large number of "PEC” and their specializations "PEMC” and "PESC".
  • the class "PEMC” is preferably used to represent the main payment event if it has partial events , used.
  • a main payment event of the "PESC” type occurs without disassembly.
  • the graphical representation of the specialization is identified in all figures with a connecting line and a circle on the side of the specialized class (exemplary identification in FIG. 4 with SP1).
  • SP2 is a graphical symbol for a set of specialized classes that are not detailed here.
  • the second step in the decomposition method ZZ2 divides the individual main and partial events into one or more payment objects.
  • the payment objects are preferably composed of six payment component classes "PEABC”, “PEAOC”, “PEAFC”, “ PEAVC “or” PEALC “built.
  • the "PEAC” class is the generalization of the six payment modules.
  • the "PEARC” class is assigned to the PESC class and preferably contains detailed rules on adjustments due to other events. The actual changes in real-world events are recorded with the PEADJC class and linked to the respective mapping in the inventive data structure.
  • FIG. 4b shows the economic background of a complex breakdown of payment events using the structured financial instrument “guaranteed return on investment”, or GROI for short.
  • GROI is a short-term investment instrument that is used when it expires makes a single payment. This consists of four components: a) repayment of the nominal value b) interest payment c) a payment component depending on the price of a defined financial instrument at a defined point in time (usually identical to the expiry date of the GROI) at a defined trading venue.
  • This financial instrument also called the underlying
  • the corresponding payment component is represented according to the inventive method by two option-like payments (one short and one long).
  • a GROI consists of an instrument of the general class for financial instruments (FOC) or a subclass thereof.
  • FOC general class for financial instruments
  • the first step of dividing the payment events takes place in the same way as for a dividend, ie an object of the PESC class is formed (Fig. 4bl).
  • Fig. 4bl an object of the PESC class
  • the payment structures are now determined.
  • PEAFC objects of fixed payments
  • Two objects of class PEAOC are used for the option-like payment component.
  • One object is represented using its attributes as a "long call” (FIG. 4b2) and the second as a “short call” (FIG. 4b3). educated.
  • the threshold (exercise price) for the "long call” is lower than for the "short call", so that there is a kinked pay-off structure with a positive slope between the two exercise prices.
  • information must be available on the relationship to the basic instruments of the options, on the relationship between the GROI and the basic instruments, as well as on the exercise price of the options and on the fixing of the price of the basic instrument on expiry.
  • the composition of all installments is additive (Fig. 4b4).
  • FIG. 5 shows the sub-data structure area company events from the data structure area events (GZ1 and GZ2).
  • FIG. 5 shows a two-stage decomposition process which can map a real worldly social event to the inventive structural elements.
  • Social events are real-worldly changes Bl and B2 of legal entities El triggered by actions.
  • Legal entities (El) such as institutions, and financial objects (E2), such as financial instruments, are preferably affected by the effects of these actions.
  • GZl it is examined whether there is a need to split the social event into a main event and individual sub-events.
  • the decomposition method GZ1 is used in such a way that a decomposition into a main event of the “CEC” type with the connection classes “CELC” and one or more sub-events is carried out.
  • the result of the first decomposition is a set of events that can exist independently of one another, but are to be represented as a unit, they can be linked by another object from the "CELC” class to form a superordinate event of the "CEC” class.
  • the results of both types of decomposition have arisen from objects through the use of one or more objects of the class "CEC” and their specializations.
  • a possible direct impact of a company Trip breaks to one or more institutions are preferably realized with the class "CELEC” and the relationship of "CEC” to the data structure area "legal subjects".
  • the relationship to the legal subject that triggers a social event is perceived by the hybrid class "CERC” .
  • the use of a common memory address S1 in the technical configuration, as described in FIG. 2, is emphasized in FIG. 5.
  • the effects (EB2) on the financial objects E2 are analyzed.
  • the "CEIC” class with its specializations or the "CEPEC” class is used, depending on the type of implementation.
  • Name changes of instruments are preferably represented by means of a class "CEIC” and specializations thereof. Both mentioned effects can optionally result in payment events El-Z. Payment events that are triggered by company events, such as the distribution of subscription rights, are carried out by the class “CEPEC” shown. The impact of company events on the outstanding capital in the financial objects involved (GZ2c) is preferably represented with the class "CECC” and its specializations.

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Abstract

L'invention concerne une structure de données financières, un système d'ordinateur et un procédé de définition d'une structure de données financières. Lesdites données se caractérisent en ce qu'elles comprennent plusieurs catégories qui décrivent des informations à caractère financier. Elles comportent au moins trois zones de structure de données, à savoir, une première zone de structure de données (E1) comprenant une première zone de mémoire (S1) avec au moins une catégorie pour mémoriser des informations de base portant sur des aspects juridiques, une deuxième zone de structure de données (E2) comportant une deuxième zone de mémoire (S2) avec au moins une catégorie pour mémoriser des informations de base concernant des objet financiers, ainsi qu'une troisième zone de structure de données (E3) avec une troisième zone de mémoire (S3) avec au moins une catégorie pour mémoriser des informations concernant des événements. Les événements concernant des paiements sont notamment décomposés en structures de paiement. Ces structures de paiement contiennent une combinaison d'au moins deux éléments à effet combinant, positif ou négatif. Ces éléments sont sélectionnés dans un numerus clausus d'éléments.
PCT/EP2004/007607 2003-07-09 2004-07-09 Structure de donnees financieres, systeme d'ordinateur et procede de definition d'une structure de donnees financieres WO2005006224A2 (fr)

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