Information providing system which calculates and displays, as index, logical exchange rate of each country from price of their government bond, to be compared with market exchange rate

Abstract

To provide an information providing system which calculates, and displays, as indices, logical exchange rate of each country from the prices of government bonds of the countries, to be compared with market exchange rate.SOLUTION: An information providing system is configured to: calculate logical interest, which is a default probability (credit risk) of a government bond, the price of the government bond being par value, from the price of the government bond and the interest; set credit risk of the U.S. government bond; calculating, from the credit risk of the U.S. government bond, an equilibrium point of exchange rate and premium, which are variables, to determine the exchange rate.SELECTED DRAWING: None

Description

[Technical field]

[0001] The present invention relates to an information providing system that calculates theoretical exchange rates of each country from the government bond prices of each country, displays them as an index, and compares them with market exchange rates. [Background technology]

[0002] Currency options traded in the market. Summary of the Invention [Problem to be solved by the invention] There is no way to calculate each country's theoretical exchange rate from its government bond prices. [Means for solving the problem] From the government bond price and interest rate, calculate the theoretical interest rate when the government bond price is set at par (100 yen), and this theoretical interest rate becomes the government bond's default probability (credit risk). Set the exchange rate credit risk to a value equal to the government bond's credit risk, and calculate the exchange rate according to the theory shown below. This becomes the theoretical exchange rate. Similar calculations are possible not only for individual government bond prices but also for bond futures prices. We use the theory of foreign exchange option trading under the following conditions. First, we set the credit risk of U.S. Treasury bonds, then work backwards to calculate the equilibrium point between the premium, which is a variable, and the exchange rate, to determine the exchange rate. Example of a transaction USD / JPY Currency Options Exchange rate: E yen / US dollar Type: USD put / JPY call Amount: X USD Period: T years Strike price: E yen (At The Money) Knock-in price: 1 yen (default point) Exercise method: American type Default settlement amount: (E-1) x X yen Premium: P yen In the example transaction, the default point for the United States is assumed to be when the exchange rate falls to 1 yen per US dollar. Since the transaction is American-type, the option will be exercised at the knock-in price of 1 yen (at the time of default). Here we consider the probability of default within a period of T years. For example, when selling a put option, the amount to be paid in the event of default is (E-1) x X yen. The consideration is the premium, P, so the default probability is: Default probability = P / (E-10) x X This is a model that calculates the credit risk of the United States based on the probability of default by the United States. By working backwards from the credit risk of the U.S. Treasury, the equilibrium point of the premium and exchange rate, which are variables, is calculated to obtain the exchange rate. This becomes the theoretical exchange rate. Furthermore, while the transaction example tried to use the relationship between the US dollar and the yen, combinations between all different currencies, such as the US dollar and the euro, or the US dollar and the pound, are also possible. Finally, while the transaction example was based on the US default probability, it can be calculated based on Japan's default probability, and Japan's credit risk can also be calculated. By working backwards from the credit risk of Japanese government bonds, the equilibrium point between the premium, which is a variable, and the exchange rate is calculated to determine the exchange rate. This also becomes the theoretical exchange rate. For all other countries with foreign exchange markets, a similar relationship can be constructed and the credit risk can also be calculated, and by working backwards from the credit risk, the equilibrium point between the premium, which is a variable, and the exchange rate can be calculated to determine the theoretical exchange rate. The specific calculation method for the above transaction example can be calculated using a binomial model. Effect of the Invention

[0001] Using the credit risk index of all countries with foreign exchange markets, we calculate the equilibrium point of the premium and exchange rate, which are variables, by working backwards from the credit risk, to obtain a theoretical exchange rate. This can then be compared with the exchange rates actually traded, and used as a basis for making investment decisions in each country.

[0002] A market for buying and selling theoretical exchange rates will be created. The buying and selling method for theoretical exchange rates will be either by manufacturing dedicated electronic terminals or by installing a system for trading on the Internet. The purposes of trading are as follows: Arbitrage is possible by focusing on the price difference between government bonds and exchange rates. In this case, buying and selling is done by focusing on the spread between the market exchange rate and the theoretical exchange rate calculated from the government bond price. When simply buying and selling theoretical exchange rates, the difference from market foreign exchange trading is that leveraged trading is possible. DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENTS A market for buying and selling theoretical exchange rates will be created. The buying and selling method for theoretical exchange rates will be either by manufacturing dedicated electronic terminals or by installing a system for trading on the Internet.

Claims

[Claim 1] An information system that calculates each country's theoretical exchange rate from its government bond prices, displays it as an index, and compares it with market exchange rates.