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Interest rate option valuation method and device, equipment and storage medium

A valuation and interest rate technology, applied in the financial field, can solve problems such as inability to value, inaccurate valuation, and inability to meet diversified interest rate option valuation needs, and achieve the effect of meeting valuation needs

Pending Publication Date: 2022-02-18
CHINA CONSTRUCTION BANK
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  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

[0004] The embodiment of the present application provides an interest rate option valuation method, device, equipment, and storage medium to solve the technical problem that the valuation needs of diversified interest rate options cannot be met, and the valuation may be inaccurate or even impossible.

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  • Interest rate option valuation method and device, equipment and storage medium
  • Interest rate option valuation method and device, equipment and storage medium
  • Interest rate option valuation method and device, equipment and storage medium

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Embodiment Construction

[0024] The characteristics and exemplary embodiments of various aspects of the application will be described in detail below. In order to make the purpose, technical solution and advantages of the application clearer, the application will be further described in detail below in conjunction with the accompanying drawings and specific embodiments. It should be understood that the specific embodiments described here are only intended to explain the present application rather than limit the present application. It will be apparent to one skilled in the art that the present application may be practiced without some of these specific details. The following description of the embodiments is only to provide a better understanding of the present application by showing examples of the present application.

[0025] It should be noted that in this article, relational terms such as first and second are only used to distinguish one entity or operation from another entity or operation, and d...

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Abstract

The invention discloses an interest rate option valuation method and device, equipment and a storage medium. The interest rate option valuation method comprises the following steps: receiving a valuation request, wherein the valuation request comprises transaction information of an interest rate option; obtaining market data according to the transaction information, and determining a target valuation model, wherein when the quotation corresponding to the option product in the transaction information is positive, the target valuation model is a Bracker-Scoels B-S model, and when the quotation corresponding to the option product in the transaction information is negative, the target valuation model is a Bashler model; and inputting the transaction information and the market data into the target valuation model to obtain a valuation result of the interest rate option. According to the embodiment of the invention, the appropriate valuation model can be selected to valuate the interest rate option according to the characteristics of the option product, and a more accurate valuation result is obtained, so that the valuation requirements of diversified interest rate options can be met.

Description

technical field [0001] The application belongs to the field of financial technology, and in particular relates to an interest rate option valuation method, device, equipment and storage medium. Background technique [0002] As an effective tool to avoid short-term interest rate risk, interest rate options are more and more widely traded. In order to better play the role of interest rate derivatives market in supporting the real economy and meet the interest rate risk management needs of market members, the interest rate risk pricing mechanism should be improved. , it is very necessary to value the interest rate option. [0003] Existing valuation methods for interest rate options usually use a single valuation model to perform valuation calculations on the option products corresponding to interest rate options, which often cannot meet the valuation needs of diversified interest rate options, and may have inaccurate or even impossible valuations Case. Contents of the inven...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06F17/11G06Q30/02G06Q40/04
CPCG06F17/11G06Q30/0283G06Q40/04
Inventor 陈伟煌胡安东林天成吴榕鹏何欣莹
Owner CHINA CONSTRUCTION BANK
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