WO2009000108A1

WO2009000108A1 - System and method for generating bond yield rate curve and index

Info

Publication number: WO2009000108A1
Application number: PCT/CN2007/001996
Authority: WO
Inventors: Ping Wang; Fan Liu; Jianfeng Li; Shengyi Guan
Original assignee: China Government Securities Depository Trust & Clearing Co., Ltd
Priority date: 2007-06-26
Filing date: 2007-06-26
Publication date: 2008-12-31

Abstract

A system and method for generating bond yield rate curve and index, includes: Collects bond actual trading data and estimating data; According to the collected bond actual trading data and estimating data, determines a reasonable yield rate sample point for each standard repayment term; According to the determined sample point, calculates yield rate value corresponding to any repayment term on the acquired yield rate curve by using Hermite interpolation model; Calculates estimation of the bond price by using the obtained yield rate value; And according to the obtained result of estimation and index value corresponding to the previous day, calculates wealth index value, total price index value and net price index value of the bond index, respectively.

Description

Bond yield curve and index generation system and method

The invention relates to the field of computer application technology, and in particular to a system and method for generating a bond yield curve and an index. Background technique

The bond market is an important part of the financial market. The bond index reflects the general trend of bond market prices and the total level of return on investment. Bond yield curves and indices are an important reference for bond analysis and bond investment activities. The bond yield curve and index can provide management with a reasonable level of return on all types of bonds in the current market, and then provide reference for its formulation of policies; provide bond issuers with bonds of various maturities of their respective bond varieties on the current market. Reasonable rate of return, which provides a reference for the formulation of the issuance plan; provides a variety of bond investors with reasonable yield levels of various bonds on the market, and provides reference for their bond investment; A reasonable rate of return on all types of bonds in the market, providing a reference for bond asset audits, assessments and bond ratings

However, many models with fixed trend trends commonly used by domestic and foreign yield curve compilers are difficult to reflect the rapid changes in the bond market in a timely manner due to their poor flexibility. The accuracy of the changes in the real bond market is not high and adaptable. Poor sex. Especially for the preparation method and process flow of the bond index, many domestic institutions use the stock index method to calculate the bond index, only calculate the bond index value, and do not provide the duration, the average yield to maturity, the base point value, etc. Analyze the indicators so that the indicators used in the performance evaluation analysis are incomplete. The index preparation of the present invention fully considers the needs of investors. In addition to providing the index value, it also provides a series of indicators such as the risk and return of the bond, and calculates the bond index according to each category according to the time limit of the sample coupons. The index value and the index value can fully reveal the main attributes of the bond, It is more flexible, convenient, and practical, and is closer to the needs of investors. Summary of the invention

In view of this, the present invention proposes a system and method for generating a bond yield curve and an index, improving the flexibility and adaptability of the yield curve and index construction, and maximally reflecting the true duration of various bonds in the bond market. A reasonable level of profitability, fully revealing the return characteristics and risk-return indicators of different bonds.

According to an aspect of the present invention, a system for generating a bond yield curve is provided, including:

a data collection unit, configured to collect actual transaction data and valuation data of the bond; a sample rate determining unit for determining a reasonable rate of return for each standard waiting period based on the actual transaction data and the valuation data of the collected bond Point

a yield value calculation unit, configured to calculate, according to the determined sample point, a yield value corresponding to an arbitrary waiting period on the yield curve by using a Hermitian interpolation model;

A profit rate curve generating unit is configured to generate a profit rate curve according to the obtained profit rate value.

The yield rate sample point determining unit of the system is further configured to select a reasonable sample point for each standard waiting period from the actual transaction data and the valuation data, and use the self-analysis operation as a standard forbidden to select the sample point. The period determines a reasonable sample point.

The rate sample point determining unit of the system removes the transaction settlement price and the bilateral quotation from the actual transaction data collected before selecting a reasonable sample point for each standard waiting period from the actual transaction data and the valuation data. The abnormal price.

The abnormal price in the settlement transaction settlement price of the system is: Compare the yield of the bond transaction settlement price on the previous day with the previous day. If the difference is too large and there is no macroeconomic factor, it is regarded as the abnormal price. Eliminate

The abnormal price in the bilateral quotation is: the bilateral quotation of the current bond is compared with the bilateral quotation of other bonds near the actual waiting period, if the difference is clear Displayed, then excluded as an abnormal price.

The abnormal price in the settlement transaction settlement price of the system further includes: comparing the return rate value with a similar bond yield value of a different actual waiting period of the current day, if the apparent non-compliance with the actual waiting period is shorter, the yield is more The low law excludes it as an abnormal price.

The yield rate sample point determining unit of the system selects and determines a reasonable sample point from the collected valuation data, including: taking the median value of the estimated rate of return value of the plurality of market members on the standard waiting period to be sought.

The rate of return value calculation unit of the system calculates the rate of return value according to the following formula: y(x) = y _t H _x + y _M H ₂ + d _t H ₃ + d _M H ₄

H, = 3( ^Xm ~ ^X ) ² - 2( ^Xm ~ ^X †

Where: ^χ !'+ι― ^x i ^x一^x i ·

H ₂ = 3( ^X — ^Χί ) ² - 2( ^X — ^Χ ' ) ³

^X i+1― ^X i ^X i+\― ^X i · ττ _ ― ^X ) ( ^X i+l― ^X )

Tj ( ^X ~ ^X i ) ( ^X "~ ^X i )

( ^X i+\ - ^X i ) ^X i+\ ~ ^X i

y is the yield value to be sought, x is the waiting period value to be sought, xi, χ _ί+1 is the actual waiting period of the sampling point, yi, y _i+1 is the yield value of the sampling point, i, j, _n is a natural number.

According to a second aspect of the present invention, a method for generating a bond yield curve is provided, comprising the steps of:

a. Collect actual transaction data and valuation data of the bonds;

b. Determine a reasonable rate of sample point for each standard waiting period based on the actual transaction data and valuation data of the collected bonds;

c Calculate the benefits obtained by using the Hermitian interpolation model based on the determined sample points The yield value corresponding to any waiting period on the rate curve, and a yield curve is generated.

The step b of the method includes:

Selecting a reasonable sample point for each standard waiting period from the actual transaction data and the collected valuation data;

Determine whether a reasonable sampling point is selected for each standard waiting period. If yes, proceed to step C. Otherwise, determine the reasonable sampling point by the self-analysis operation for the standard waiting period for which the sample point cannot be selected.

The method further includes: determining, from the actual transaction data and the collected valuation data, a reasonable sample point for each standard waiting period, further comprising: excluding the transaction settlement price and the bilateral quotation from the actual transaction data of the collection Abnormal price.

The method for eliminating the abnormal price in the settlement price of the transaction includes: comparing the yield of the bond settlement price on the day of the bond with the previous day, and if the difference is too large, and there is no macroeconomic factor, it is regarded as an abnormality. Price elimination;

The process of rejecting the abnormal price in the bilateral quotation includes: comparing the bilateral quotation of the current day bond with the bilateral quotation of other bonds adjacent to the actual waiting period, and if the difference is obvious, the abnormal price is excluded.

The method for eliminating the abnormal price in the transaction settlement price of the method further comprises: comparing the yield value with a similar bond yield value of a different actual waiting period of the current day, if the apparent non-compliance with the actual waiting period is shorter, the yield is shorter. The lower the rule, the more it is removed as an abnormal price.

The method described in the method for selecting a reasonable sample point for each standard waiting period from the collected valuation data includes: taking the median value of the estimated rate of return value of the plurality of market members on the standard waiting period to be sought.

Step C of the method calculates the rate of return value according to the following formula:

y(x) = y _t H _x + y _M H ₂ + d ₍ H ₃ + d _M H ₄

H _x = 3( ^Xi+x ~ ^X f - ₂ ( ±L £)3

JL , ^x i+i― ^x i ^x i+ ― ^x i : ^X M― ^X i ^X i+l- ^X i ·

(x _M - x) (x _i+1 - x)

T2 ₃ =

^X M — ^X i ^X M — ^X i )

y is the yield value to be sought, x is the waiting period value to be sought, xi, xi+l is the actual waiting period of the sampling point, yi, yi+1 is the yield value of the sampling point, i, j , n is a natural number.

The method step b further includes: analyzing the situation of the macroeconomic finance and bond market of the day.

The source of the data in the method step a includes: inter-bank bond market settlement data, transaction data of exchange bonds, bilateral quotation of bond counters, bilateral quotation of inter-bank bond market, and valuation data of market member yields.

According to a third aspect of the present invention, a bond index generation system is provided, comprising: a data collection unit for collecting actual transaction data and valuation data of a bond; a yield point determination unit for collecting the bond according to the collection The actual transaction data and valuation data determine a reasonable rate of sample point for each standard period of repayment;

a yield curve generating unit, configured to generate a profit rate curve according to the obtained yield value;

a bond valuation calculation unit for determining bond valuation data based on actual transaction data of the bond and valuation data obtained through the yield curve;

A bond index calculation unit for calculating a bond index based on the determined bond valuation data. According to the fourth aspect of the present invention, a method for generating a bond index is provided, including:

A. Collect actual transaction data and valuation data of the bonds;

C. Calculate the yield value corresponding to any waiting period on the yield curve based on the determined sample points using the Hermitian interpolation model;

D. Generate a yield curve based on the obtained yield value;

E. determining bond valuation data based on actual bond transaction data and valuation data obtained through the yield curve;

F. Calculate the bond index based on the determined bond valuation data. DRAWINGS

1 is a schematic diagram showing the structure of a bond yield curve and a bond index generation system according to an embodiment of the present invention;

2 is a flow chart showing a bond yield curve and a bond index generating method according to the embodiment of the present invention;

3 is a flow chart showing a process of determining a sample point point of a yield value in step 220 of the flowchart of FIG. 2;

Figure 4 is a graph showing the profit rate of interbank fixed rate government bonds obtained in accordance with this embodiment of the present invention.

Figure 5 is a diagram showing the display of the bond total index interface obtained in accordance with this embodiment of the present invention. detailed description

The invention will now be described more fully hereinafter with reference to the accompanying drawings The structure of the bond yield curve and the index generation system of this embodiment is shown in Figure 1, and mainly includes:

The data collection unit 100 is configured to collect actual transaction data and valuation data of the bonds required to generate the profit rate curve and the index. These include interbank bond market settlement data, transaction data for exchange bonds, bilateral quotations for bond refusals, bilateral quotations for interbank bond markets, and valuation data for market member yields.

The profit rate sample point determining unit 101 is configured to determine a reasonable yield rate sample point for each standard waiting period (hereinafter referred to as "standard period"), and the sample point is determined by the actual waiting period (hereinafter referred to as "actual period") And the yield value is determined by two parameters.

Its main functions include: Excluding the abnormal price of the transaction settlement price and the bilateral quotation from the actual transaction data collected, selecting a reasonable sample point for each standard period from the remaining actual transaction data and valuation data, and passing the Analytical operations (described below) determine reasonable sample points for a standard period in which sample points cannot be selected.

The rate of return value calculation unit 102 is configured to calculate, according to the sample points determined by the rate of return sample point determining unit 101, a Hermitian interpolation model to calculate a rate of return value corresponding to any of the toll periods on the desired rate of return curve.

The profit rate curve generating unit 103 is configured to generate a profit rate curve according to the profit rate value obtained by the profit rate estimating unit 102.

The bond valuation calculation unit 104 is configured to calculate an estimate of each bond price using the yield curve obtained by the profit rate curve generating unit 103.

The bond index calculation unit 105 is configured to calculate three index values of wealth, full price, and net price according to the valuation result obtained by the bond valuation calculation unit 104 and the index value corresponding to the previous day.

In addition, a curve/estimate/index output unit 106 may be further provided for the bond yield curve and the bond valuation data respectively generated by the yield curve generating unit 103, the bond valuation calculating unit 104, and the bond index calculating unit 105. One or more of the data in the bond index is displayed on the Internet or via a terminal output such as a display. Household.

Among them, the bond valuation calculation unit 104 and the bond index calculation unit 105 are related to the generation of the bond index, and if the bond index is not required to be generated, the two units can also be omitted.

Referring to Fig. 2, the bond yield curve and bond index generation process of the preferred embodiment of the present invention will be described in detail below.

Step 200: Collect actual transaction data and valuation data of the bonds required to generate the yield curve and the bond index.

In order to make the bond yield curve and the index generation result more reliable and effective, we can maximize the data source and make reasonable choices on this basis. For example, the data sources include: inter-bank bond market settlement data, exchange bond transaction data, bond rejection Bilateral quotations, bilateral quotations in the interbank bond market, and valuation data for market member yields. Especially in the former Chinese bond market, the bond price discovery mechanism is still incomplete (especially when the bilateral quotation between banks is not sufficient), the data source of the yield curve and the index, with reference to the income of some core members in the Chinese bond market. Rate valuation data, there are currently more than 30 market members' yield estimates.

In step 210, analyze the situation of the macroeconomic finance and bond markets.

Analyze whether there are major macroeconomic financial events on the day and cause the bond market to change significantly. If the bond market has large fluctuations on the day, you need to consider this factor when screening the abnormal rate of return.

At step 220, a reasonable rate of return value for each sample period corresponding to the sample point is determined. First, the standard period is determined. The standard period is generally selected from some key period values on the yield curve. It is assumed that the inter-bank fixed rate curve has 0 years, 2 months, 3 months, 6 months, 9 on the current standard period. Months, 1 year, 2 years, 3 years, 5 years, 7 years, 10 years, 15 years, 20 years, 30 years.

Then, determine a yield sample point corresponding to each standard period, which can be selected from the actual market yield value of the bond, or can be estimated by market analysis. Appropriate sample points.

In this embodiment, it is preferred to select an appropriate sample point from the actual market rate of return value; if there is no suitable sample point, it is estimated by other members' estimates and market analysis, as shown in FIG. 3, in FIG. The operation of step 220 includes the following sub-steps:

In step 221, the transaction settlement price and the abnormal price in the bilateral quotation are excluded from the actual market price of the bond.

The process of eliminating the abnormal price in the settlement price of the transaction is: comparing the rate of return of the transaction settlement price of the day with the previous day, if the difference is too large, and according to the analysis result of step 210, there is no influence of macroeconomic factors. , it can be determined as an abnormal price; if it is not confirmed, it can also assist the same bond yield value of other actual waiting period of the day, the general short-term yield will be low, so by comparing different claims The yield of the period can be used to find out whether the market price of the bond on the day is an abnormal price, that is, if it is obviously not in conformity with this law, the yield value can be judged as the yield value of the abnormal price.

Assume that there is 04 treasury bond 07 in the transaction settlement price of the day, and its maturity period is 4.189 years, and the yield is 2.7143%. The yield is much lower than the government bond yield (3.57%) of the same maturity period on the previous working day; The yield of 03 treasury 07, which is shorter than the short-term waiting period of 3.175, is 3.36%, which can be determined that the settlement rate of the bond is abnormal and should be excluded.

The process of eliminating the abnormal price in the bilateral quotation is: comparing the bilateral quotation of the current day bond with the bilateral quotation of other bonds adjacent to the actual waiting period, and if the difference is obvious, the abnormal price can be determined.

If there is 03 treasury bond 01 in the bilateral quotation on the day, the waiting period is 2.68 years and the yield is 3.08%. The difference between the bid price and the bid yield of the bilateral offer is 83 pip (BP), and the difference is 2.11 yuan, which is far greater than the bilateral offer of other bonds similar to their maturity, such as: 02 national debt 15 pending period For the year 2.46, the bilateral offer for the day The difference between the yield of buying and selling is 37BP, and the spread is 0.86 yuan. It can be determined that the bilateral quotation is a defensive quotation, which is an abnormal price and should be excluded.

At step 222, after the abnormal price is removed, a reasonable sample point is selected for each standard period from the remaining market prices.

Since the actual waiting period does not necessarily coincide with the standard period, it may be judged in steps 223 to 224 whether a reasonable sampling point is selected for each standard period, and if yes, proceed to step 227; otherwise, if If there is no market price for a certain standard period on the day, or there is no reasonable sample point in the market price (that is, it is an abnormal price), you can select a reasonable sample point from the market members, especially the results of the yield values estimated by some core members in the bond market. It is generally possible to take multiple market members, preferably core members, the median value of the estimated rate of return over the standard term.

At step 225, it is determined whether a reasonable sampling point is selected for each standard period, and if so, proceeds to step 227; otherwise, if there is no reasonable market price for a standard period on the day, and there is no reasonable member valuation, then A reasonable sample point is determined by the market analysis, and then proceeds to step 227.

It can usually be obtained through market analysis and analysis of market changes, through experience or brought into a pre-set model.

The above steps 221 to 225 illustrate the preferred sample point determination scheme of this embodiment. Through the above process, the reasonable sample points and data sources corresponding to the standard period of the interbank fixed-rate government bond yield curve on the day of finalization are shown in Table 1:

Standard period Sampling point actual period Sampling point yield value Price source

0 years 0 years 2.02 Other member valuation

February February 2.16 Median valuation of other members

March March 2.33 Other member valuation

June 0.493 2.4619 Actual value (bilateral quote)

September 0.74 2.4833 Actual value (bilateral quote)

1 year 1 year 2.62 Self-evaluation

2 years 1.967 years 3.0719 actual value (bilateral quote)

3 years 2.828 years 3.3396 actual value (bilateral quote)

5 years 4.847 3.6817 Actual value (bilateral quote)

7 years 6.932 years 4.0599 actual value (bilateral quote)

10 years 9.761 years 4.3378 actual value (bilateral price)

15 years . 15 years 4.33 valuation of other members

20 years 20 years 4.47 Median valuation of other members

30 years 30 years 4.6 Other self-assessment

Table 1 describes the standard maturity, actual maturity, yield values, and sources of these maturities.

At step 230, a yield value for any pending period on the yield curve is calculated.

According to the sample point value corresponding to each standard period determined in step 220, the hermite model can be used to calculate the yield value of any waiting period on the bond yield curve.

The specific approach is to list the actual duration values and yields from 0 to 30 years listed in Table 1. The values are taken into the following formulas:

Where y is the yield value to be sought, X is the waiting period value to be sought, Xi<x<x _i+ i; Xi, x _i+1 is the actual waiting period of the sampling points listed in Table 1, Ji, y _i+ i are the yield values of the sampling points listed in Table 1, i, j, n are natural numbers, ^e "] , _Xl =0, _{η η} = 30 (years), using a monotone cubic hermite polynomial interpolation model :

y(x) = yfl, +: y _i+1 H ₂ + d,Ji ₃ + d _i+1 H _A

H _x = 3(^±^) ² - 2(^±^-) ^J

Where ^X i+l― ^Χ ΐ ^X i+\一^X i

d _j =yx _j lj = i^l is the slope. Therefore, the yield value of any waiting period on the yield curve of the inter-bank fixed-rate government bond can be calculated, as shown in Table 2, which is the result of the yield value calculated according to the step size of 0.2 years.

T/CN2007/001996

Table 2 According to the data obtained in Table 2, the curve of the inter-bank fixed-rate government bond yield on the day is shown in Figure 4.

The same method can be used to derive the yield curve for all other bonds.

Thereafter, the yield curve can be displayed to the user via the Internet or display output as needed.

The generated yield curve varieties are classified according to different classification criteria:

(-) by type of rate of return, including:

Yield to maturity curve, spot rate curve, forward rate curve, floating rate spread curve, where the forward rate curve includes: long-term yield curve and forward spot rate curve.

(2) According to the bond types, including: Treasury yield curve, central bank bond yield curve, policy financial bond yield curve, commercial bank subordinated bond yield curve, corporate bond yield curve (AAA level) , short-term financing bond yield curve (divided into AAA, AA+, AA, AA -, A+, A, A-) =

(3) According to the trading place, including: inter-bank bond yield curve, exchange bond yield curve, full-market bond yield curve; inter-bank corporate bond yield curve, exchange corporate bond yield curve

(4) According to the interest rate category, including: fixed rate yield curve, floating rate yield curve.

(5) Divided according to the different construction methods of the curve, including:

1. Native:

(1) The yield curve of inter-bank fixed-rate government bonds: fixed (inter-bank, exchange), floating;

(2) Central bank bond yield curve;

(3) Interbank fixed-rate policy financial bond yield curve: fixed, floating (ly, R07D);

2. Derived: 07 001996

(1) Spot yield curve;

(2) Long-term yield curve;

(3) Corporate yield curve;

(4) Commercial bank subordinated debt yield curve;

(5) Short-term financing bond yield curve.

The bond index generation system and process of this embodiment of the present invention will be described below. Referring to FIG. 2, in step 240, an estimate of the bond price is calculated based on the yield values of the respective indebted periods on the yield curve obtained in step 230.

In the system structure diagram of FIG. 1, the bond valuation calculation unit 104 includes a data collection and bond index sample coupon selection sub-unit (not shown) for collecting actual transaction settlement data and valuation data of the bond, and The bond index calculates the price of the sample coupon. The data collection and bond index sample coupon selection sub-units can define an abnormal price deviation ratio for the index calculation to exclude abnormal prices. The proportion of the abnormal price can be parameterized. This parameter can be set manually, and different deviation ratio parameters can be set for different bond circulation places. The deviation ratio is set as the ratio of the market price (bilateral quotation, settlement price, refusal price, exchange closing price, etc.) to the valuation price data (obtained from the above yield curve).

The data collection and data collection by the bond index sample coupon selection sub-unit and the sample coupon price selection method calculated by the bond index include the following specific operations:

A. Collect actual transaction data of the bond (including bilateral quotation, commercial bank refusal to quote, exchange closing price, interbank bond market settlement price, etc.) and valuation data;

B. Perform an abnormal price analysis on the data in A based on the valuation data. For the market price with good quality after abnormal price analysis, the order of selection is preferred bilateral quotation (including commercial bank refusal quotation), followed by interbank bond market settlement. Price (take the end-of-day weighted average settlement price), the exchange closing price (take the closing price of the day), and finally, if there is no quotation and transaction settlement price, it is taken directly from the valuation price. For the bond price processing across the circulation market, the respective settlement price and the circulation custody amount of each market are entered into the index. Count. It should be noted here that the processing of the actual transaction data of the bonds is carried out in accordance with the above priority order. The valuation data is calculated based on the calculated yield curve.

The above data collection and the method of selecting the sample coupon price calculated by the bond index can be briefly shown in Table 3 below.

Table 3 According to the value of the yield of each period of the inter-bank fixed-rate government bond yield curve, and based on the existing bond price and yield ratio formula, the valuation of all fixed-rate government bonds can be calculated.

The same method can calculate the valuation of all other bonds.

In addition, the following valuation methods can be used for floating rate bonds:

Among them, the benchmark interest rate for the most recent value date;

The benchmark interest rate for the next interest period;

d is the actual number of days from the settlement date to the next most recent interest payment date;

Ar is the basic spread when it is issued; 07 001996

Ay is the expected rate of return spread;

TS is the actual number of days in the payment cycle, including February 29曰;

f is the frequency of interest payment;

M is the principal.

In addition, explain the two problems that may be encountered in the bond valuation:

(1) There is no classification method for "long-term credit rating" coupons in short-term financing bills

At present, the short-term financing bond yield curve is classified according to its issuer's "long-term credit rating", but there are still some short-term financing bonds that do not have a long-term credit rating. For these short-term financing, according to their coupon rate, issuer Classification of the nature of the business and the financial indicators.

(II) Valuation pricing method for fixed interest rate-bearing bonds

There are two possibilities for exercise-bearing bonds: exercise rights and non-exercise rights. For this reason, this example provides two valuation prices for fixed-rate bond-bearing bonds, namely, exercise price and non-weight price, and mark the more inclined estimate. Value. The propensity to estimate is based on the relationship between the forward interest rate corresponding to the bond and the coupon rate after the “exclusive exercise date” of the bond.

The maturity date of a certain bond from the valuation date to its issuance announcement is L1+L2 years, L1 is the valuation date to the "option exercise date, the number of years, L2 is from the "option exercise day" to The number of years of maturity in the issuance announcement; the redemption or resale price of the bond is P; if the bond continues to have a coupon rate c.

First, calculate the maturity rate of return of the bond on the “option exercise day” based on these three factors;

Second, compare the long-term yield to maturity (Α ι, ^)) and y

(1) The period of payment of the investor's option bond:

If /(A, )<y, the period of repayment is L1+L2 years; if (2)≥y, the period of repayment is L1;

(2) The issue period of the issuer's option bond: If / (A, ) < y, the period of repayment is L1; if ^ ) ≥ y, the period of repayment is UL + L2 years.

At step 250, the index of the bond is calculated.

The bond index mainly includes three index values of wealth, full price and net price.

The bond index calculation unit 105 calculates the wealth index value by the following formula: n p !=1 id, ( -Y)

Among them, If, _T is the T-day bond index wealth index value;

W _id is the market value weight of bond i, which can be determined by factors such as the amount of custody;

Pid,t and P _id , ti are the full price of bond i on t and t-1, respectively, ie the valuation of the bond obtained in step 240 above;

T-1 bond index index of wealth index;

If there is a coupon payment on the T-day, the interest will be reinvested into the index on the date of payment;

The bond index calculation unit 105 calculates the full price index value by the following formula:

Among them, I _d , T is the T-day bond full price index;

P _id , t and PkUt. are the full price of bond i on t and t-1, respectively, that is, the valuation of the bond obtained in step 240 above;

I UT- is the full price index of the T-1 day bond;

If there is a coupon payment on the day, the interest reinvestment factor will not be considered;

The bond index calculation unit 105 calculates the net price index value by the following formula:

Among them, I _C , _T is the T-day bond net price index;

W _ic is the market value weight of bond i, which can be determined by factors such as the amount of custody;

P _ic , t and Picit- are the net price of bond i on t and t-1, respectively, that is, the valuation of the bond obtained in step 240 above;

T-1 daily bond net price index;

If there is a coupon payment on the day, the net price index does not consider the interest reinvestment factor. It can be seen that the bond index calculation unit 105 of the present invention realizes the function of automatically calculating all the indexes at one time, and at the same time, provides the query function of the fault-tolerant function of the index calculation and the detailed calculation result in the calculation process, that is, for an index in the calculation. Indexes that have not been generated for any reason are given a logo and are automatically calculated backwards. For the wrong index, the reason for the error is provided and the reason for the modification is allowed to provide a separate calculation function for the single index. The processing flow of the unit realizes the principle of combining batch processing and individual processing, and achieves economical and effective, and the calculation time is greatly shortened and the efficiency is improved.

Further, the bond index generating system of the present invention may further include an index defining unit (not shown) whose functions include: defining a name of the index, a sample coupon adjustment frequency, an index base period, and a base value. The index definition implements a separate function defined for each index or index for each category. This feature enables personalized and integrated processing operations.

Moreover, the bond index generation system of the present invention may further include an index sample coupon definition and automatic generation unit (not shown), the functions of which include: defining a sample coupon for each category of index; selecting according to the defined sample coupon The condition automatically filters the sample coupons, and can view and modify the defined sample coupons. At the same time, the sample coupons other than the rules are also provided with viewing and moving in. For the component index, a separate screening condition for the automatic sample coupon is provided in addition to the automatic rule. Function This unit saves the complexity of development and system operation. It is more convenient and convenient in terms of operation efficiency and effect, and achieves practical and novel features.

The bond index family is divided into four major systems: the full index family, the component index family, the position index family, and the custom index family according to different methods of sample coupons. (1) Full index family

The purpose of the all-finger index is to reflect the overall price of the bond market or a certain type of bond and the return on investment. An index that uses all bonds under one or more factors, such as the term of the bond, the issuer, the place of circulation, and the bond payment method, as sample coupons.

(2) Ingredient index family

To further reflect the price and return performance of bond portfolios with different characteristics (such as liquidity, market capitalization, etc.) in the bond market, CCASS has compiled a component index family. The index number of each index of the index family is fixed and can be used as a tracking index to provide a benchmarking benchmark for index funds.

(3) Position index family

It provides reference indicators for members' internal performance evaluation and risk control, which is convenient for comparison and analysis with the benchmark index selected by members. The position index is automatically generated daily by the bond accounts of the members of the institutions that are hosted in the Central Clearing Company, and all the bonds in each account are collected. This type of index is only for reading and use by the account opening members and is not disclosed.

(4) Customized index family

Correct and improve the investment strategy by observing the trend of the custom index. Users can customize the index of interest based on portfolio needs.

According to the above method, the user can provide various required bond index index values, for example: three sets of total value of wealth, full price and net price can be provided for each bond index, and the total index family, component index family, custom index Each index of the family and position index family provides multiple sets of wealth, full price, and net price index values according to the period of the insured period. In addition, multiple sets of index values can be provided for each index by the period of the indefinite period.

Thereafter, the yield curve and bond index can be displayed to the user via the Internet or display output as needed.

Next, a calculation method and system for the combined index value of the bond index according to the present invention will be briefly described. The method includes the following:

1. Calculation of segmentation index value N2007/001996

(1) According to the sample coupons in each index, it is subdivided into less than 1 year, 1-3 years, 3-5 years, 5-7 years, 7-10 years, and 10 years or more according to the period of repayment. Paragraph

(2) Calculate the full price, net price, and wealth index values for the sample sets of the six interval segments, respectively, to reflect the contribution of the sample groups of different time segments in the total value change of the index to the total value of the index. The method of calculating the index of the bond in step 250.

2. Calculate the indicator value

(1) Calculate the modified duration of each bond in the index (floating interest rate bonds provide spread duration and interest rate duration), convexity (floating rate bonds provide spread convexity and spread convexity), base point value , yield to maturity (floating rate bonds provide spread rate of return), waiting period and other indicators;

(2) Calculate the combined 12 indicators, including:

Market value method amendment duration, cash flow method correction duration, market value method convexity, cash flow method convexity, average base point value, average yield to maturity, average waiting period, average payout ratio, total market value of index, wealth index The rise and fall, the full-price index, the rise and fall of the net price index, and the value of these indicators reflect the risk and return indicators of the bond portfolio. The calculated combination index is an important feature of the index of the present invention that is different from that of other institutions in the country.

(3) A connection diagram of historical time series is generated for each of the above index values to facilitate observation and tracking analysis. The connection of the index values is one of the preferred features of the index calculation index of the present invention.

The description of the present invention has been presented for purposes of illustration and description. Many modifications and variations will be apparent to those skilled in the art. The embodiment was chosen and described in order to explain the invention and embodiments of the invention

Claims

Rights request

A system for generating a bond yield curve, which is characterized by comprising:

a data collection unit (100) for collecting actual transaction data and valuation data of the bond;

The yield sample point determining unit (101) is configured to determine a reasonable yield rate sample point for each standard waiting period according to the collected bond actual transaction data and the valuation data;

a yield value calculation unit (102), configured to calculate, according to the determined sample point, a yield value corresponding to an arbitrary toll period on the yield curve obtained by using a Hermitian interpolation model;

The profit rate curve generating unit (103) is configured to generate a profit rate curve based on the obtained profit rate value.

2. The system according to claim 1, wherein the rate of return sample point determining unit (101) is further configured to select a reasonable sample point for each standard waiting period from actual transaction data and valuation data. And determine the reasonable sample points by self-analysis and calculation for the standard waiting period for which the sample points cannot be selected.

3. The system according to claim 1, wherein the yield rate sample point determining unit (101) selects a reasonable sample point for each standard waiting period from the actual transaction data and the valuation data, and further The abnormal price of the transaction settlement price and the bilateral quotation is excluded from the actual transaction data collected.

4. The system according to claim 3, wherein the abnormal price in the settlement transaction settlement price is: comparing the yield of the bond transaction settlement price on the current day with the previous day, if the difference is too large, and If there is a macroeconomic factor, it will be excluded as an abnormal price;

The system according to claim 4, wherein the abnormal price in the settlement transaction settlement price further comprises: comparing the profit rate value with a similar bond yield value of a different actual waiting period of the current day, If it is obviously not in conformity with the fact that the actual pay period is shorter and the yield is lower, it is excluded as an abnormal price.

The system according to claim 2, wherein the yield rate sample point determining unit (101) selects a reasonable sample point from the collected evaluation data, including: taking a plurality of market members in a request The median value of the estimated rate of return on the standard period of maturity.

7. The system according to claim 1, wherein the rate of return value calculation unit (102) calculates a rate of return value according to the following formula:

y(x) = β, + y _M H ₂ + d _t H + d _M H ₄ where:

·

H ₂ = 3(^^-) ² - 2(^^) ³

^Χ ί+1- ^X i ^X i+1― ^X i ;

H ― (^+i― ^x ( ^X M - )

^ί+Ι― ("^ί+Ι一^) ·

(χ ― x _f ) x ― x _f )

11 = 2

( '+i― ) 3⁄4+l one

y is the yield value to be sought, x is the waiting period value to be sought, Xi, x _i+1 is the actual waiting period of the sampling point, yi, y _i+1 is the yield value of the sampling point, i, j, n is a natural number.

8. The system according to claim 1, further comprising a yield rate curve output unit (160) for outputting the generated yield curve.

9. A method for generating a bond yield curve, comprising the steps of: a. Collect actual transaction data and valuation data of the bonds;

b. According to the actual transaction data and valuation data of the collected bonds, a reasonable rate of sample point is determined for each standard waiting period;

c According to the determined sample points, the Hermitian interpolation model is used to calculate the yield value corresponding to any waiting period on the yield curve, and the yield curve is generated.

10. The method according to claim 9, wherein the step b comprises:

11. The method according to claim 10, wherein the determining from the actual transaction data and the collected valuation data for determining a reasonable sample point for each standard waiting period further comprises: collecting actual transactions from the The abnormal price of the transaction settlement price and the bilateral quotation is excluded from the data.

12. The method according to claim 11, wherein the abnormal price process in the transaction settlement price includes: comparing the yield of the bond transaction settlement price on the day of the transaction with the previous day, if the difference is too large, and If there is no macroeconomic factor, it will be excluded as an abnormal price;

13. The method according to claim 12, wherein the culling the abnormal price process in the transaction settlement price further comprises: comparing the profit rate value with a similar bond yield value of a different actual waiting period of the current day. If it is obviously not in conformity with the fact that the shorter the actual yield period, the lower the rate of return, the more abnormal price is eliminated.

The method according to claim 10, wherein the determining, from the collected evaluation data, a reasonable sample point for each standard waiting period includes: taking a plurality of market members in a waiting for a standard The median value of the estimated rate of return on the repayment period.

15. The method according to claim 9, wherein the step c calculates the yield value according to the following formula:

_{λ λ} - 3( ^Χμ ~ ^Χ ) ² - 2( ^Χ ' ⁺¹ " ) ³

Where: ^X i+l - ^X i ^X M - ^X i J ·

TT _ i ^X ~~ ^X j) i ^X ~ ^X i )

y is the yield value to be sought, x is the waiting period value to be sought, xi, x _i+1 is the actual waiting period of the sampling point, and ; ₊₁ is the yield value of the sampling point, i, j, n is a natural number.

16. The method according to claim 9, wherein the step b of advancing comprises: analyzing the situation of the macroeconomic finance and bond market of the day.

17. The method according to claim 9, wherein the source of the data in step a comprises: inter-bank bond market settlement data, transaction data of exchange bonds, bilateral quotation of bond refusal, and inter-bank bond market Bilateral quotes and valuation data for market member yields.

18. A bond index generation system, comprising:

a data collection unit ( ₁₀₀ ) for collecting actual transaction data and valuation data of the bond;

Yield rate point determination unit (101) for actual trading based on collected bonds Data and valuation data determine a reasonable rate of sample point for each standard period of satisfaction;

a yield value calculation unit (102), configured to calculate, according to the determined sample point, a yield value corresponding to an arbitrary waiting period on the yield curve by using a Hermitian interpolation model; a yield curve generating unit (103), Used to generate a yield curve based on the yield value obtained;

a bond valuation calculation unit (104) for determining bond valuation data based on actual transaction data of the bond and valuation data obtained through the yield curve;

The bond index calculation unit (105) is configured to calculate the bond index based on the determined bond valuation data.

19. The system according to claim 18, wherein the rate of return sample point determining unit (101) is further configured to select a reasonable one for each standard term from the actual transaction data and the valuation data. The sample points are determined by a self-analysis operation to determine the reasonable sample points for the standard P, P, which cannot select the sample points.

20. The system according to claim 19, wherein the rate of return sample point determining unit (101) selects a reasonable sample point for each standard waiting period from the actual transaction data and the valuation data, and further The abnormal price of the transaction settlement price and the bilateral quotation is excluded from the actual transaction data collected.

21. The system of claim 20, wherein the abnormal price in the settlement transaction settlement price is: comparing the yield of the bond as the transaction settlement price with the previous one, if the difference is too large, And if there is no macroeconomic factor, then it will be excluded as an abnormal price;

The abnormal price in the bilateral quotation is excluded: the bilateral quotation of the current day bond is compared with the bilateral quotation of other bonds adjacent to the actual waiting period, and if the difference is obvious, it is excluded as the abnormal price.

22. The system according to claim 21, wherein the abnormal price in the settlement transaction settlement price further comprises: comparing the yield value to a different actual payment The value of the similar bond yields of the period is compared. If it is obviously not in line with the law that the shorter the yield is, the shorter the rate of return is, and then it is excluded as the abnormal price.

The system according to claim 19, wherein the yield rate sample point determining unit (101) selects a reasonable sample point from the collected evaluation data, including: taking a plurality of market members in a request The median value of the estimated rate of return on the standard period of maturity.

24. The system according to claim 18, wherein the rate of return value calculation unit (102) calculates a rate of return value according to the following formula:

y(x) = + y _M H ₂ + d _t H + d _M H ₄ where:

H ₂ = 3(^~^) ² - 2(^-^) ³

^Χ ί+1― ^X i ^X i+1― ^X i

H a ( ^x - ^χ ί}_ ― ( ^x ~ ^X j )

( ^X i+ ~ ^X i ) ^X i+\一^X i

y is the yield value to be sought, χ is the waiting period value to be sought, xi, x _i+1 is the actual waiting period of the sample point, yi, y _i+1 is the yield value of the sampling point, i , j, n are natural numbers.

25. The system according to claim 18, wherein the bond valuation calculation unit (104) calculates the bond valuation as: calculating a bond valuation according to a bond price and a yield ratio formula.

The system according to claim 18 or 25, wherein the bond valuation calculation unit (104) calculates the valuation of the floating rate bond according to the following formula;

Among them, the benchmark interest rate for the most recent value date;

R ₂ is the benchmark interest rate for the next interest period;

Ar is the basic spread when it is issued;

Ay is the expected rate of return spread;

TS is the actual number of days in the interest payment period, including February 29;

f is the frequency of interest payment;

M is the principal.

27. The system according to claim 18, wherein the bond index calculation unit (105) calculates the wealth index value by the following formula:

Where I _f , _T is the value of the daily bond index wealth index;

P _id ,t and P _id , ti are the full price of bond i on t and t-1, respectively, ie the corresponding valuation obtained by bond valuation calculation unit (104);

1^.0 is the value of the T-1 bond index index;

The bond index calculation unit (105) calculates the full price index value by the following formula:

n p '•=1 "id t-X)

Where I _d , _T is the T曰 bond full price index;

P _id ,t and P _id ,(ti) are the full price of bond i on t and t-1, respectively, ie the corresponding valuation obtained by bond valuation calculation unit (104);

T-1 daily bond full price index; If there is a coupon payment on the day, the interest reinvestment factor is not considered; the bond index calculation unit (105) calculates the net price index value by the following formula:

Among them, I _C , _T is the T-day bond net price index;

P _ic , t and PiO are the net price of bond i on t and t-1, respectively, that is, the corresponding valuation obtained by bond valuation calculation unit (104);

I T-D is the T-1 daily bond net price index;

If there is a coupon payment on the day, the net price index does not consider the interest reinvestment factor.

28. The system according to claim 18, wherein the bond valuation calculation unit ( ₁₀₄ ) further comprises a data collection and bond index sample coupon selection subunit, the subunit configured to be determined by: Bond valuation data

Collecting actual transaction data of bonds, including: bilateral quotation, commercial bank refusal to quote, exchange closing price, and interbank bond market settlement price;

Based on the data collected above, the abnormal price analysis is performed using the valuation data obtained by the yield curve. For the price with good quality after the abnormal price analysis, the bilateral quotation is first selected, followed by the settlement price of the inter-bank bond market. The closing price of the exchange, if there is no quotation and transaction settlement price, it is directly taken from the valuation data. For the bond price processing across the circulation market, the respective settlement price and the circulation custody of each market are respectively taken, and the bilateral quotation includes The commercial bank rejects the quotation, and the settlement price of the inter-bank bond market is taken as the end-of-day weighted average settlement price, and the closing price of the exchange is taken as the closing price of the day.

29. The system according to claim 28, wherein in the process of performing abnormal price analysis with respect to the estimated data obtained by using the yield curve, an abnormal price deviation ratio for calculating the bond index is defined, Used to eliminate abnormal prices, The deviation ratio is set as the ratio between the bilateral quotation, the settlement price, the refusal price, and the closing price of the exchange and the valuation data.

30. The system of claim 18, wherein the system further comprises

An index definition unit for defining the name of the index, the frequency of adjustment of the sample coupon, the base period of the index, and the base value;

An index sample voucher definition and automatic generation unit, configured to perform at least one of the following functions for defining an index for each category of an index, and automatically screening the sample coupon according to the defined sample coupon selection condition;

View and modify the sample coupons after the definition, and provide check and move functions for sample coupons other than the rules;

For the component index, it provides an independent screening condition for automatic sample coupons in addition to the automatic rules.

The system according to claim 18, characterized in that the system further comprises a bond valuation/bond index output unit (160) for outputting at least one of the obtained bond valuation and the bond index.

32. A method for generating a bond index, characterized by comprising:

A. Collecting actual transaction data and valuation data of bonds;

D. Generate a yield curve based on the obtained yield value;

F. Calculate the bond index based on the determined bond valuation data.

33. The method of claim 32, wherein the step B comprises:

34. The method according to claim 33, wherein the determining from the actual transaction data and the collected valuation data for determining a reasonable sample point for each standard waiting period further comprises: collecting the actual transaction The abnormal price of the transaction settlement price and the bilateral quotation is excluded from the data.

35. The method according to claim 34, wherein the abnormal price process in the transaction settlement price includes: comparing the yield of the bond as the transaction settlement price with the previous day, if the difference is too large, and If there is no macroeconomic factor, then it will be excluded as an abnormal price;

36. The method according to claim 35, wherein the culling the abnormal price process in the transaction settlement price further comprises: comparing the profit rate value with a similar bond yield value of a different actual waiting period of the current day. If it is obviously not in conformity with the fact that the shorter the actual yield period, the lower the rate of return, the more abnormal price is eliminated.

37. The method according to claim 33, wherein the determining, from the collected evaluation data, a reasonable sample point for each standard toll period includes: taking a plurality of market members in a standard to be sought The median value of the estimated rate of return on the repayment period.

38. The method according to claim 32, wherein said step C calculates a yield value according to the following formula y(x) = y, H _x + y _{i+1 2} + d _t H ₃ + d _M H,

H ₂ =3(^^) ²

^X i+\― ^X i ( ^X M- ^X )

^X i+l- ^X i

( ^X i+l ~ ^X i)

y is the yield value to be sought, x is the waiting period value to be sought, Xi, x _i+1 is the actual waiting period of the sample point, yi, y _i+1 is the yield value of the sampling point, i , j, _n are natural numbers.

39. The method according to claim 32, wherein the calculating process of calculating the bond in step E comprises: calculating a valuation of the bond according to a formula of the bond price and the rate of return.

40. The method according to claim 32 or 39, wherein the estimating process of calculating the bond in step E calculates the valuation of the floating rate bond according to the following formula;

[l+(i3⁄4+ )/ ]l [l+(i3⁄4 [Ι+^+Δ;)//]^ [1+( +Δ)//] ⁺ "- ¹ where is the benchmark interest rate for the most recent value date;

R ₂ is the benchmark interest rate for the next interest period;

Ar is the basic spread when it is issued;

Ay is the expected rate of return spread;

f is the frequency of interest payment;

M is the principal.

The method according to claim 32, wherein in step F, the wealth index value is calculated by the following formula:

^ΐ,Τ ⁼ ,(Γ— 1) ^Χ Σ ~^

!'=1 ~:

d,(t ~-l~) ^Χ ^id where I _f , _T is the value of the daily bond index wealth index;

P _id , t and

The full price of bond i on t and t-1, respectively, ie the corresponding valuation data obtained in step E;

1^.0 is the value of the T-1 bond index index;

Among them, I _d , _T is the T-day bond full price index;

P _id ,t and Pic t- are the full price of bond i at t and t-1 ,, respectively, ie the corresponding estimates obtained in step E;

Id - is the full price index of the T-1 bond;

The bond index calculation unit (105) calculates the net price index value by the following formula:

Where I _C , T is

P _ic , _t and

The net price of bond i on t and t-1, ie the corresponding estimate obtained in step E;

Tl daily bond net price index;

42. The method of claim 32, wherein step B proceeds by: analyzing the situation of the macroeconomic financial and bond markets of the day.

43. The method according to claim 32, wherein the source of the data in step A comprises: inter-bank bond market settlement data, transaction data of exchange bonds, bilateral quotation of bond refusal, and inter-bank bond market Bilateral quotes and valuation data for market member yields.

44. The method according to claim 32, wherein the step E determines the bond valuation data by the following processing:

The data collected above is subjected to abnormal price analysis based on the valuation data obtained by using the yield curve. For the price with good quality after abnormal price analysis, the bilateral quotation is first selected, followed by the settlement price of the inter-bank bond market and the closing of the exchange. Price, if there is no quotation and transaction settlement price, it is directly taken from the valuation data. For the bond price processing across the circulation market, the respective settlement price and the circulation custody amount of each market are taken respectively; wherein the bilateral quotation includes commercial The bank rejects the quotation, and the settlement price of the inter-bank bond market is taken as the end-of-day weighted average settlement price, and the closing price of the exchange is taken as the closing price of the day.

45. The method according to claim 32, wherein in the process of performing an abnormal price analysis with respect to the estimated data obtained by using the yield curve, an abnormal price deviation ratio for calculating the bond index is defined, It is used to eliminate the abnormal price, wherein the deviation ratio is set as the ratio between the bilateral quotation, the settlement price, the counter price, and the closing price of the exchange and the valuation data.

46. The system of claim 32, wherein the bond index comprises: a total index, a component index, a custom index, and a member position index.