A method and device for generating underlying pricing factors

Abstract

The embodiments of the present invention provide a method and device for generating underlying pricing factors, which can be used in the field of artificial intelligence technology. The method includes: performing rule verification on high-level rules of different risk types input according to different rule conversion strategies; if the rule verification passes, the underlying pricing factors are obtained according to the high-level rules and the stored current pricing factor categories, and the underlying pricing factors can be automatically configured and verified, thereby improving configuration efficiency, saving labor costs, and thus improving the accuracy of subsequent stress testing results.

Description

Technical Field

[0001] The present invention relates to the field of computer technology, in particular to the field of artificial intelligence technology, and more particularly to a method and device for generating underlying pricing factors. Background Art

[0002] In the risk measurement of financial market risk management, it is necessary to conduct stress testing of financial risks to simulate market fluctuations and gains and losses under different scenario changes in order to assess risks and adapt to regulatory requirements. Scenarios are market volatility rules defined by the business, which include the configuration of changes in complex and numerous underlying pricing factors. In related technologies, the underlying pricing factors are usually configured manually, and then conflict detection is performed manually. However, the changes in the underlying pricing factors are relatively complex and prone to errors. Once the scenario configuration is wrong, the stress test results will deviate from expectations, the configuration efficiency will be low, and the workload of manual configuration will be large, and the labor cost will be high. Summary of the invention

[0003] One object of the present invention is to provide a method for generating an underlying pricing factor, which can automatically configure and verify the underlying pricing factor, improve configuration efficiency, save labor costs, and thus improve the accuracy of subsequent stress test results. Another object of the present invention is to provide an underlying pricing factor generation device. Another object of the present invention is to provide a computer-readable medium. Still another object of the present invention is to provide a computer device.

[0004] In order to achieve the above objectives, the present invention discloses, on one hand, a method for generating an underlying pricing factor, comprising:

[0005] According to different rule conversion strategies, the input advanced rules of different risk types are verified;

[0006] If the rule verification passes, the underlying pricing factor is obtained according to the advanced rules and the stored current pricing factor category.

[0007] Preferably, the risk type includes an interest rate type, the rule conversion strategy includes an interest rate rule conversion strategy, and the advanced rule includes at least one interest rate sub-rule;

[0008] According to different rule conversion strategies, the input high-level rules of different risk types are checked, including:

[0009] Determining whether the interest rate sub-rule complies with the interest rate rule conversion strategy;

[0010] If yes, the rule verification passes;

[0011] If not, the rule verification fails.

[0012] Preferably, the risk type includes a commodity type, the rule conversion strategy includes a commodity rule conversion strategy, and the advanced rule includes at least one commodity sub-rule;

[0013] According to different rule conversion strategies, the input high-level rules of different risk types are checked, including:

[0014] Determining whether the commodity sub-rule complies with the commodity rule conversion strategy;

[0015] If yes, the rule verification passes;

[0016] If not, the rule verification fails.

[0017] Preferably, the risk type includes a foreign exchange type, the rule conversion strategy includes a foreign exchange rule conversion strategy, and the advanced rule includes at least one foreign exchange sub-rule;

[0018] According to different rule conversion strategies, the input high-level rules of different risk types are checked, including:

[0019] Determining whether the foreign exchange sub-rule complies with the foreign exchange rule conversion strategy;

[0020] If yes, the rule verification passes;

[0021] If not, the rule verification fails.

[0022] Preferably, the foreign exchange rule conversion strategy includes a structured strategy and a conversion strategy;

[0023] The determining whether the foreign exchange sub-rule complies with the foreign exchange rule conversion strategy includes:

[0024] By means of the structured strategy, a structured verification is performed on the foreign exchange sub-rule and the currency pair of the foreign exchange sub-rule;

[0025] If the structured verification is successful, the foreign exchange sub-rule is converted and verified through the conversion strategy and the current pricing factor category;

[0026] If the conversion verification is successful, it complies with the foreign exchange rule conversion strategy;

[0027] If the structured check fails or the conversion check fails, it does not comply with the foreign exchange rule conversion strategy.

[0028] Preferably, the conversion strategy includes a preset currency sequence;

[0029] The performing conversion verification on the foreign exchange sub-rule by using the conversion strategy and the current pricing factor category includes:

[0030] Adjusting the foreign exchange sub-rules according to the preset currency sequence to obtain standard rules, wherein the standard rules include a plurality of standard sub-rules;

[0031] According to the current pricing factor category, a plurality of standard sub-rules are converted and verified.

[0032] Preferably, each foreign exchange sub-rule includes a currency pair and an original change rate of the currency pair, the currency pair includes a first currency and a second currency, and the original change rate is a change rate of the first currency relative to the second currency;

[0033] The adjusting the foreign exchange sub-rules according to the preset currency sequence to obtain standard rules includes:

[0034] Transforming and sorting the currency pairs of each foreign exchange sub-rule according to a preset currency sequence to obtain ordered standard sub-rules, wherein the standard sub-rules include standard currency pairs;

[0035] Calculating a standard change rate of the standard currency pair based on the standard currency pair and the original change rate;

[0036] A standard rule is obtained according to the ordered standard sub-rules and the standard change rate.

[0037] Preferably, the conversion verification of multiple standard sub-rules according to the current pricing factor category includes:

[0038] If the current pricing factor category does not include the currency in the standard sub-rule, the conversion verification fails;

[0039] If the current pricing factor category includes the currency in the standard sub-rule, determining whether the current pricing factor category includes the currency pair in the standard sub-rule;

[0040] If so, the conversion verification is successful, and the step of obtaining the underlying pricing factor according to the advanced rules and the stored current pricing factor category is continued;

[0041] If not, the standard sub-rule is converted and checked according to the set functional mapping rule.

[0042] The present invention also discloses a bottom-level pricing factor generating device, comprising:

[0043] A rule verification unit is used to verify the input advanced rules of different risk types according to different rule conversion strategies;

[0044] The generating unit is used to obtain the bottom-level pricing factor according to the high-level rule and the stored current pricing factor category if the rule verification passes.

[0045] The present invention also discloses a computer-readable medium on which a computer program is stored. When the program is executed by a processor, the method described above is implemented.

[0046] The present invention also discloses a computer device, including a memory and a processor, wherein the memory is used to store information including program instructions, the processor is used to control the execution of program instructions, and the processor implements the above method when executing the program.

[0047] The present invention also discloses a computer product, comprising a computer program / instruction, which implements the above method when executed by a processor.

[0048] The present invention performs rule verification on the input advanced rules of different risk types according to different rule conversion strategies; if the rule verification passes, the underlying pricing factors are obtained according to the advanced rules and the stored current pricing factor categories, and the underlying pricing factors can be automatically configured and verified, thereby improving configuration efficiency, saving labor costs, and thus improving the accuracy of subsequent stress testing results. BRIEF DESCRIPTION OF THE DRAWINGS

[0049] In order to more clearly illustrate the embodiments of the present invention or the technical solutions in the prior art, the drawings required for use in the embodiments or the description of the prior art will be briefly introduced below. Obviously, the drawings described below are only some embodiments of the present invention. For ordinary technicians in this field, other drawings can be obtained based on these drawings without paying creative work.

[0050] Figure 1 A flowchart of a method for generating an underlying pricing factor provided by an embodiment of the present invention;

[0051] Figure 2 A flowchart of another underlying pricing factor generation method provided by an embodiment of the present invention;

[0052] Figure 3 A flowchart of another underlying pricing factor generation method provided by an embodiment of the present invention;

[0053] Figure 4 A flowchart of another underlying pricing factor generation method provided by an embodiment of the present invention

[0054] Figure 5 A schematic diagram of the structure of a bottom-level pricing factor generating device provided by an embodiment of the present invention;

[0055] Figure 6 A schematic diagram of the structure of a computer device provided in an embodiment of the present invention. DETAILED DESCRIPTION

[0056] The following will be combined with the drawings in the embodiments of the present invention to clearly and completely describe the technical solutions in the embodiments of the present invention. Obviously, the described embodiments are only part of the embodiments of the present invention, not all of the embodiments. Based on the embodiments of the present invention, all other embodiments obtained by ordinary technicians in this field without creative work are within the scope of protection of the present invention.

[0057] It should be noted that the method and device for generating underlying pricing factors disclosed in the present application can be used in the field of artificial intelligence technology, and can also be used in any field outside the field of artificial intelligence technology. The application field of the method and device for generating underlying pricing factors disclosed in the present application is not limited.

[0058] In order to facilitate the understanding of the technical solution provided by the present application, the relevant contents of the technical solution of the present application are first explained below. The pricing factor is the change in the attributes of certain currencies, currency pairs or commodity types, for example: the currency pair RMB (CNY) against the US dollar (USD) has risen by 1 basis point (bp) or fallen by 10%. The currency pair includes a first currency and a corresponding second currency, and for foreign exchange, it refers to the two currencies at both ends of the foreign exchange. In view of the complex configuration and verification of the underlying pricing factors, the present invention uses a programming language to provide a method for generating underlying pricing factors. Through different rule conversion strategies, the high-level rules with different risks input by the user are mapped to the current pricing factors and self-consistently verified, so as to quickly configure the underlying pricing factors that meet the high-level rules, help users efficiently configure the underlying pricing factors, perform rule verification in real time, avoid conflicts, and thus reduce the configuration workload. Among them, programming languages ​​include but are not limited to Java, Groovy and Python.

[0059] The following takes the underlying pricing factor generation device as an example to illustrate the implementation process of the underlying pricing factor generation method provided by the embodiment of the present invention. It is understandable that the execution subject of the underlying pricing factor generation method provided by the embodiment of the present invention includes but is not limited to the underlying pricing factor generation device.

[0060] Figure 1 A flowchart of a method for generating an underlying pricing factor provided by an embodiment of the present invention is shown in FIG. Figure 1 As shown, the method includes:

[0061] Step 101: According to different rule conversion strategies, the input advanced rules of different risk types are checked.

[0062] In an embodiment of the present invention, the risk type includes an interest rate type, a commodity type or a foreign exchange type; the corresponding rule conversion strategy includes an interest rate rule conversion strategy, a commodity rule conversion strategy and a foreign exchange rule conversion strategy; the corresponding advanced rule includes at least one interest rate sub-rule, at least one commodity sub-rule or at least one foreign exchange sub-rule.

[0063] Step 102: If the rule verification passes, the underlying pricing factor is obtained according to the advanced rules and the stored current pricing factor categories.

[0064] In the technical solution provided by the embodiment of the present invention, rule verification is performed on the input advanced rules of different risk types according to different rule conversion strategies; if the rule verification passes, the underlying pricing factors are obtained according to the advanced rules and the stored current pricing factor categories, and the underlying pricing factors can be automatically configured and verified, which improves configuration efficiency, saves labor costs, and thus improves the accuracy of subsequent stress testing results.

[0065] Taking the risk type including the interest rate type as an example, the rule conversion strategy includes the interest rate rule conversion strategy, and the advanced rule includes at least one interest rate sub-rule. Figure 2 A flowchart of another underlying pricing factor generation method provided by an embodiment of the present invention is as follows: Figure 2 As shown, the method includes:

[0066] Step 201, determine whether the interest rate sub-rule complies with the interest rate rule conversion strategy, if so, continue to step 202; if not, continue to step 203.

[0067] In the embodiment of the present invention, each step is performed by an underlying pricing factor generating device.

[0068] In the embodiment of the present invention, the interest rate sub-rule is input by the user according to actual needs, and the interest rate sub-rule is a rule for a single currency.

[0069] In the embodiment of the present invention, the interest rate rule conversion strategy can be set according to actual conditions, and the embodiment of the present invention does not limit this. As an optional solution, the interest rate rule conversion strategy is that any two interest rate sub-rules cannot be the same, and the preset current pricing factor category includes the currency in the interest rate sub-rule.

[0070] Specifically, if the interest rate sub-rule conforms to the interest rate rule conversion strategy, it indicates that the rule verification is passed, and step 202 is continued; if the interest rate sub-rule does not conform to the interest rate rule conversion strategy, it indicates that the rule verification fails, and step 203 is continued.

[0071] Step 202: Get the underlying pricing factor based on the high-level rules and the stored current pricing factor categories, and the process ends.

[0072] In the embodiment of the present invention, the advanced rule includes at least one interest rate sub-rule, and the current pricing factor category is directly mapped through the interest rate sub-rule to obtain the underlying pricing factor. For example, if the interest rate sub-rule is that the current interest rate of RMB (CNY) changes upward by 0.01%, and the current pricing factor category includes RMB (CNY), then the underlying pricing factor obtained by mapping is that the current interest rate of RMB (CNY) changes upward by 0.01%.

[0073] Step 203: Generate a rule verification failure message and the process ends.

[0074] In the embodiment of the present invention, the rule verification failure message includes but is not limited to the rule verification failure result and the failure reason, so as to inform the user.

[0075] In the technical solution provided by the embodiment of the present invention, rule verification is performed on the input advanced rules of different risk types according to different rule conversion strategies; if the rule verification passes, the underlying pricing factors are obtained according to the advanced rules and the stored current pricing factor categories, and the underlying pricing factors can be automatically configured and verified, which improves configuration efficiency, saves labor costs, and thus improves the accuracy of subsequent stress testing results.

[0076] For example, if the risk type includes the commodity type, the rule conversion strategy includes the commodity rule conversion strategy, and the advanced rule includes at least one commodity sub-rule. Figure 3 A flowchart of another underlying pricing factor generation method provided by an embodiment of the present invention is as follows: Figure 3 As shown, the method includes:

[0077] Step 301 : Determine whether the product sub-rule complies with the product rule conversion strategy. If so, proceed to step 302 ; if not, proceed to step 303 .

[0078] In the embodiment of the present invention, each step is performed by an underlying pricing factor generating device.

[0079] In the embodiment of the present invention, the commodity sub-rule is input by the user according to actual needs, and the dimensions involved in the commodity sub-rule include but are not limited to commodity type, commodity quality, delivery place and term, etc.

[0080] In the embodiment of the present invention, the commodity rule conversion strategy can be set according to the actual situation, and the embodiment of the present invention does not limit this. As an optional solution, the commodity rule conversion strategy is that any two commodity sub-rules cannot be the same, and the preset current pricing factor categories include the commodity type, commodity quality, delivery place and term in the commodity sub-rule. As an optional solution, the commodity type, commodity quality, delivery place and term in the commodity sub-rule can uniquely determine one category in the current pricing factor category.

[0081] Specifically, if the product sub-rule meets the product rule conversion strategy, it indicates that the rule verification is passed, and step 302 is continued; if the product sub-rule does not meet the product rule conversion strategy, it indicates that the rule verification fails, and step 303 is continued.

[0082] Step 302: Get the underlying pricing factor based on the high-level rules and the stored current pricing factor categories, and the process ends.

[0083] In the embodiment of the present invention, the high-level rule includes at least one commodity sub-rule, and the current pricing factor category is directly mapped through the commodity sub-rule to obtain the underlying pricing factor. For example, the commodity sub-rule is that the commodity type is gold, the commodity fineness is 99.99%, the delivery place is Shanghai, and its price changes upward by 0.01%. The current pricing factor category includes the only commodity type is gold, the commodity fineness is 99.99%, and the delivery place is Shanghai. The underlying pricing factor obtained after direct mapping is that the price of gold with a commodity fineness of 99.99% and a delivery place of Shanghai changes upward by 0.01%.

[0084] Step 303: Generate a rule verification failure message and the process ends.

[0085] In the embodiment of the present invention, the rule verification failure message includes but is not limited to the rule verification failure result and the failure reason, so as to inform the user.

[0086] In the technical solution provided by the embodiment of the present invention, rule verification is performed on the input advanced rules of different risk types according to different rule conversion strategies; if the rule verification passes, the underlying pricing factors are obtained according to the advanced rules and the stored current pricing factor categories, and the underlying pricing factors can be automatically configured and verified, which improves configuration efficiency, saves labor costs, and thus improves the accuracy of subsequent stress testing results.

[0087] For example, if the risk type includes the foreign exchange type, the rule conversion strategy includes the foreign exchange rule conversion strategy, and the advanced rule includes at least one foreign exchange sub-rule. Figure 4 A flowchart of another underlying pricing factor generation method provided by an embodiment of the present invention is as follows: Figure 4 As shown, the method includes:

[0088] Step 401, determine whether the foreign exchange sub-rule complies with the foreign exchange rule conversion strategy, if so, execute step 402; if not, execute step 403.

[0089] In the embodiment of the present invention, each step is performed by an underlying pricing factor generating device.

[0090] In the embodiment of the present invention, the foreign exchange sub-rule is input by the user according to actual needs, and the foreign exchange sub-rule currency pair includes a first currency and a second currency. For example, the advanced rule input by the user includes 3 foreign exchange sub-rules, namely: RMB (CNY) against US dollar (USD) changes upward by 10%; CNY against Japanese yen (JPY) changes upward by 20%; JPY against USD changes upward by 10%.

[0091] In the embodiment of the present invention, the foreign exchange rule conversion strategy includes a structured strategy and a conversion strategy. The structured strategy and the conversion strategy can be set according to actual conditions, which is not limited in the embodiment of the present invention.

[0092] Specifically, if the foreign exchange sub-rule complies with the foreign exchange rule conversion strategy, that is, the structural verification and conversion verification of the foreign exchange sub-rule are both successful, indicating that the rule verification is passed, and step 402 is continued; if the foreign exchange sub-rule does not comply with the commodity rule conversion strategy, that is, the structural verification or conversion verification of the foreign exchange sub-rule fails, indicating that the rule verification fails, and step 403 is continued.

[0093] In the embodiment of the present invention, step 401 specifically includes:

[0094] Step 4011: Perform structured verification on the foreign exchange sub-rules and the currency pairs of the foreign exchange sub-rules through the structured strategy. If the structured verification succeeds, continue to step 4012; if the structured verification fails, continue to step 403.

[0095] In the embodiment of the present invention, the structural verification rules are pre-set according to the actual situation, and the specific setting content of the structural verification rules in the embodiment of the present invention is not limited. As an optional scheme, the structural verification rules include: the first currency and the second currency are different; at least one of the first currency and the second currency is the reporting currency (REP) or USD; the currency pairs of any two sub-rules are different; if all currencies (ALL CCY) exist, there is at most one sub-rule of ALL CCY / USD in the advanced rule; if other currencies (OTHER CCY) exist, there is at least one sub-rule that does not contain OTHER CCY in the advanced rule. Among them, REP is a pre-set designated currency, which depends on the settlement currency of the institution and region, and is used to generate the target currency of the final risk measurement report; OTHER CCY is other currencies other than the currency referred to in a certain advanced rule; ALL CCY is all currencies; the currency pairs in any two sub-rules are different, and the order of the first currency and the second currency is ignored, for example: CNY / USD and USD / CNY are repeated currency pairs.

[0096] Specifically, determine whether the currency pair and foreign exchange sub-rule meet the structural verification rules. If so, it indicates that the advanced rules meet the structural requirements, the structural verification passes, and step 4012 is continued; if not, it indicates that the advanced rules do not meet the structural requirements, the structural verification fails, and step 403 is continued.

[0097] Step 4012: Perform conversion verification on the foreign exchange sub-rule through the conversion strategy and the current pricing factor category. If the conversion verification succeeds, continue to step 402; if the conversion verification fails, continue to step 403.

[0098] In the embodiment of the present invention, the conversion strategy includes a preset currency sequence, and the preset currency sequence can be set according to actual conditions, which is not limited in the embodiment of the present invention. In the embodiment of the present invention, step 4012 specifically includes:

[0099] Step a01: Adjust the advanced rules according to the preset currency sequence to obtain standard rules, which include multiple standard sub-rules.

[0100] In the embodiment of the present invention, the advanced rule includes multiple foreign exchange sub-rules, each of which includes a currency pair and an original change rate of the currency pair. The currency pair includes a first currency and a second currency, and the original change rate is the change rate of the first currency relative to the second currency.

[0101] First, the currency pairs of each foreign exchange sub-rule are transformed and sorted according to the preset currency order to obtain ordered standard sub-rules, and the standard sub-rules include standard currency pairs. Among them, the preset currency order is preset according to actual needs, and the embodiment of the present invention does not limit this. As an optional scheme, the preset currency order includes: first, based on the case where the currency pair is the first currency against the second currency, the currency pair including other currencies and USD except REP is changed to the currency pair in which the first currency is other currencies except REP and the second currency is USD, that is: a currency pair of a certain currency (except REP) against USD; second, a certain currency against REP; third, OTHER CCY against USD and REP; fourth, ALL CCY against USD.

[0102] Secondly, the standard change rate of the standard currency pair is calculated according to the standard currency pair and the original change rate; the standard rule is obtained according to the ordered standard sub-rules and the standard change rate. Specifically, the original change rate is calculated by m=[1 / (1+n)]-1 to obtain the standard change rate, where m is the standard change rate and n is the original change rate.

[0103] In the embodiment of the present invention, the preset currency sequence is set from small to large, and the high-level rules are sorted to ensure that the number of changes in the underlying factors is minimal; and if there is a conflict, the conflicting rule can be found as quickly as possible.

[0104] In the embodiment of the present invention, the current pricing factor categories stored are mostly pricing factors for other currencies (OTHERCCY) and US dollar (USD). The purpose of conversion is to adjust the changes of some pricing factors so that the superimposed changes meet the high-level scenario change rules formulated by the business. For example: CNY rose by 10bp against USD, and CNY rose by 20bp against JNP. In theory, the underlying pricing factor of JNP against USD should also have a relative change. For example: ALLCCY rose by 10bp against USD. In theory, the underlying pricing factor will change all currencies such as CNY, Hong Kong dollar (HKD), JNP, euro (EUR), etc. by 10bp relative to USD.

[0105] Step a02: Perform conversion verification on multiple standard sub-rules according to the current pricing factor category.

[0106] In the embodiment of the present invention, the current pricing factor categories are pre-imported by the upstream system, including but not limited to foreign exchange information, exchange rate information and commodity information.

[0107] Specifically, determine whether the current pricing factor category includes the currency in the standard sub-rule. If not, it indicates that it cannot be mapped to the pricing factor, the conversion verification fails, and step 403 is continued; if included, it indicates that it can be mapped to the pricing factor, and continue to determine whether the current pricing factor category includes the currency pair in the standard sub-rule. If so, it indicates that the direct mapping is successful, the conversion verification is successful, and step 402 is continued; if not, it indicates that the direct mapping fails. If the current sub-rule belongs to a currency pair of a certain currency (except REP) against USD, the conversion verification fails; if the current sub-rule belongs to a currency pair of a certain currency against REP, the standard sub-rule is further converted and verified through the set functional mapping rules. If the conversion verification is successful, step 402 is continued; if the conversion verification fails, step 403 is continued.

[0108] In the embodiment of the present invention, the functional mapping rules can be set according to actual needs, and the embodiment of the present invention does not limit this. As an optional solution, the conversion verification of the standard sub-rule through the set functional mapping rules specifically includes:

[0109] Step b01: Convert the currency pair of a certain currency / REP in the standard sub-rule to (a certain currency / USD) / (REP / USD).

[0110] Step b02: determine whether a certain currency / USD exists in the standard sub-rule. If not, convert the certain currency / USD according to the current pricing factor category; if so, continue to step b03.

[0111] Step b03: determine whether a certain currency / USD is consistent with the corresponding standard sub-rule. If so, the conversion verification passes; if not, continue to step b04.

[0112] Step b04: Determine whether REP / USD is included in the standard sub-rule. If so, the rule is repeated without change; if not, proceed to step b05.

[0113] Step b05, calculate the standard change rate of a certain currency / REP and the standard change rate of a certain currency / USD through 1+y=(1+n) / (1-x) to obtain the underlying pricing factor to be verified of REP / USD, wherein y is the standard change rate of a certain currency against REP, n is the standard change rate of a certain currency / USD, and x is the underlying pricing factor to be verified of REP / USD.

[0114] Step b06: Determine whether the currency pair of a certain currency / REP is changing for the first time. If so, the verification passes and the change record of the underlying pricing factor is stored; if not, execute step b07.

[0115] Step b07, determine whether the underlying pricing factor to be verified of REP / USD is different from the standard change rate of the corresponding standard sub-rule. If so, it indicates that there is a conflict and the conversion verification fails, and continue to step 403; if not, it indicates that there is no conflict and the conversion verification is successful, and continue to step 402.

[0116] For example: the reporting currency is JPY, and the standard sub-rules include: 1. CNY / USD changes upward by 10%; 2. CNY / JPY changes upward by 20%. 3. JPY / USD changes upward by 10%. The underlying factor is converted first: CNY / USD = 1+0.1; CNY / JPY has no direct correspondence, so it is split into: (CNY / USD) / (JPY / USD) = (1+0,1) / (1+m) = 1+0.2; the solution is JPY / USD = 1.1 / 1.2–1; at the same time, JPY / USD = 1.1 under the third requirement, which conflicts with the previous rule, so the verification fails.

[0117] Further, for OTHER CCY against USD and REP, mapping changes are performed according to the stored current pricing factor categories. If there is no different change rate for the same currency pair after the change, it indicates that there is no conflict, the conversion verification is successful, and step 204 is continued; otherwise, it indicates that there is a conflict, the conversion verification fails, and step 403 is continued; for ALL CCY against USD, mapping changes are performed according to the stored current pricing factor categories. If there is no different change rate for the same currency pair after the change, it indicates that there is no conflict, the conversion verification is successful, and step 402 is continued; otherwise, it indicates that there is a conflict, the conversion verification fails, and step 403 is continued.

[0118] Step 402: Get the underlying pricing factor based on the high-level rules and the current pricing factor category, and the process ends.

[0119] In the embodiment of the present invention, the bottom-level pricing factor is a pricing factor obtained by changing the high-level rules according to the current pricing factor category.

[0120] In the embodiment of the present invention, if the currency pair can be directly mapped to the current pricing factor category or the same currency pair does not exist after the mapping change, the change rate is different, and the underlying pricing factor is obtained according to the change rate of the standard sub-rule; if the currency pair cannot be directly mapped to the current pricing factor category, and the conversion verification of the standard sub-rule is successful through the functional mapping rule, the calculated pricing factor is determined as the underlying pricing factor, and the process ends. For example: the advanced rule is that the pound sterling against the euro changes by 10bp upward, the current pricing factor category includes the pound sterling against the US dollar and the euro against the US dollar, and the current pricing factor category does not include the currency pair in the advanced rule, the pound sterling against the euro is split into the pound sterling against the US dollar and the euro against the US dollar, the pound sterling against the US dollar changes by 10bp upward, and the euro against the US dollar remains unchanged, and the underlying pricing factor is obtained, and the underlying pricing factor includes the pound sterling against the US dollar changes by 10bp upward.

[0121] Step 403: Generate a rule verification failure message and the process ends.

[0122] In an embodiment of the present invention, if the advanced rules do not meet the structural requirements, a structured verification failure message is generated, which includes but is not limited to the structured verification failure result and the non-compliant structural verification rules to notify the user to correct the advanced rules.

[0123] In the embodiment of the present invention, if the advanced rules do not meet the conversion requirements, a conversion verification failure message is generated, and the conversion verification failure message includes but is not limited to the conversion verification failure result and the failure reason, so as to inform the user.

[0124] The technical solution of the present invention greatly improves the readability and comprehensibility of pricing factor configuration for stress testing in the field of risk measurement, while reducing a large amount of configuration workload and effectively lowering the threshold for customizing stress testing scenario rules.

[0125] In the technical solution of the underlying pricing factor generation method provided by the embodiment of the present invention, rule verification is performed on the input advanced rules of different risk types according to different rule conversion strategies; if the rule verification passes, the underlying pricing factors are obtained according to the advanced rules and the stored current pricing factor categories, and the underlying pricing factors can be automatically configured and verified, which improves configuration efficiency, saves labor costs, and thus improves the accuracy of subsequent stress testing results.

[0126] Figure 5A schematic diagram of the structure of a bottom-level pricing factor generation device provided by an embodiment of the present invention, the device is used to execute the above bottom-level pricing factor generation method, such as Figure 5 As shown, the device includes: a rule checking unit 11 and a generating unit 12.

[0127] The rule verification unit 11 is used to perform rule verification on input high-level rules of different risk types according to different rule conversion strategies.

[0128] The generating unit 12 is used to obtain the bottom-level pricing factor according to the high-level rules and the stored current pricing factor categories if the rule verification passes.

[0129] In an embodiment of the present invention, the risk type includes the interest rate type, the rule conversion strategy includes the interest rate rule conversion strategy, and the advanced rule includes at least one interest rate sub-rule; the rule verification unit 11 is specifically used to determine whether the interest rate sub-rule complies with the interest rate rule conversion strategy; if so, the rule verification passes; if not, the rule verification fails.

[0130] In an embodiment of the present invention, the risk type includes the commodity type, the rule conversion strategy includes the commodity rule conversion strategy, and the advanced rule includes at least one commodity sub-rule; the rule verification unit 11 is specifically used to determine whether the commodity sub-rule complies with the commodity rule conversion strategy; if so, the rule verification passes; if not, the rule verification fails.

[0131] In the embodiment of the present invention, the risk type includes the foreign exchange type, the rule conversion strategy includes the foreign exchange rule conversion strategy, and the advanced rule includes at least one foreign exchange sub-rule; the rule verification unit 11 is specifically used to determine whether the foreign exchange sub-rule complies with the foreign exchange rule conversion strategy; if so, the rule verification passes; if not, the rule verification fails.

[0132] In an embodiment of the present invention, the foreign exchange rule conversion strategy includes a structured strategy and a conversion strategy; the rule verification unit 11 is specifically used to perform structured verification on the foreign exchange sub-rules and the currency pairs of the foreign exchange sub-rules through the structured strategy; if the structured verification is successful, the foreign exchange sub-rules are converted and verified through the conversion strategy and the current pricing factor category; if the conversion verification is successful, it complies with the foreign exchange rule conversion strategy; if the structured verification fails or the conversion verification fails, it does not comply with the foreign exchange rule conversion strategy.

[0133] In an embodiment of the present invention, the conversion strategy includes a preset currency sequence; the rule verification unit 11 is specifically used to adjust the foreign exchange sub-rules according to the preset currency sequence to obtain standard rules, which include multiple standard sub-rules; and according to the current pricing factor category, the multiple standard sub-rules are converted and verified.

[0134] In an embodiment of the present invention, each foreign exchange sub-rule includes a currency pair and an original change rate of the currency pair, the currency pair includes a first currency and a second currency, and the original change rate is the change rate of the first currency relative to the second currency; the rule verification unit 11 is specifically used to transform and sort the currency pairs of each foreign exchange sub-rule according to a preset currency sequence to obtain ordered standard sub-rules, the standard sub-rules include standard currency pairs; according to the standard currency pairs and the original change rate, the standard change rate of the standard currency pair is calculated; according to the ordered standard sub-rules and the standard change rate, the standard rule is obtained.

[0135] In an embodiment of the present invention, the rule verification unit 11 is specifically used to determine if the conversion verification fails if the current pricing factor category does not include the currency in the standard sub-rule; if the current pricing factor category includes the currency in the standard sub-rule, determine whether the current pricing factor category includes the currency pair in the standard sub-rule; if so, the conversion verification is successful, triggering the generation unit 12 to continue executing the step of obtaining the underlying pricing factor according to the high-level rules and the stored current pricing factor category; if not, perform conversion verification on the standard sub-rule according to the set functional mapping rules.

[0136] In the scheme of the embodiment of the present invention, the advanced rules of different risk types input are checked according to different rule conversion strategies; if the rule check passes, the underlying pricing factors are obtained according to the advanced rules and the stored current pricing factor categories, and the underlying pricing factors can be automatically configured and checked, which improves the configuration efficiency, saves labor costs, and thus improves the accuracy of subsequent stress testing results.

[0137] The systems, devices, modules or units described in the above embodiments may be implemented by computer chips or entities, or by products with certain functions. A typical implementation device is a computer device, and specifically, the computer device may be, for example, a personal computer, a laptop computer, a cellular phone, a camera phone, a smart phone, a personal digital assistant, a media player, a navigation device, an email device, a game console, a tablet computer, a wearable device, or a combination of any of these devices.

[0138] An embodiment of the present invention provides a computer device, including a memory and a processor, the memory is used to store information including program instructions, the processor is used to control the execution of the program instructions, and the program instructions, when loaded and executed by the processor, implement the steps of the embodiment of the above-mentioned underlying pricing factor generation method. For a specific description, please refer to the embodiment of the above-mentioned underlying pricing factor generation method.

[0139] Reference below Figure 6 , which shows a schematic diagram of the structure of a computer device 600 suitable for implementing an embodiment of the present application.

[0140] like Figure 6As shown, the computer device 600 includes a central processing unit (CPU) 601, which can perform various appropriate operations and processes according to a program stored in a read-only memory (ROM) 602 or a program loaded from a storage part 608 into a random access memory (RAM) 603. In the RAM 603, various programs and data required for the operation of the computer device 600 are also stored. The CPU 601, the ROM 602, and the RAM 603 are connected to each other via a bus 604. An input / output (I / O) interface 605 is also connected to the bus 604.

[0141] The following components are connected to the I / O interface 605: an input section 606 including a keyboard, a mouse, etc.; an output section 607 including a cathode ray tube (CRT), a liquid crystal feedback device (LCD), etc., and a speaker, etc.; a storage section 608 including a hard disk, etc.; and a communication section 609 including a network interface card such as a LAN card, a modem, etc. The communication section 609 performs communication processing via a network such as the Internet. A drive 610 is also connected to the I / O interface 605 as needed. A removable medium 611, such as a magnetic disk, an optical disk, a magneto-optical disk, a semiconductor memory, etc., is installed on the drive 610 as needed, so that a computer program read therefrom is installed as needed as the storage section 608.

[0142] In particular, according to an embodiment of the present invention, the process described above with reference to the flowchart can be implemented as a computer software program. For example, an embodiment of the present invention includes a computer program product, which includes a computer program tangibly contained on a machine-readable medium, and the computer program includes program code for executing the method shown in the flowchart. In such an embodiment, the computer program can be downloaded and installed from a network through the communication part 609, and / or installed from the removable medium 611.

[0143] Computer readable media include permanent and non-permanent, removable and non-removable media that can be implemented by any method or technology to store information. Information can be computer readable instructions, data structures, program modules or other data. Examples of computer storage media include, but are not limited to, phase change memory (PRAM), static random access memory (SRAM), dynamic random access memory (DRAM), other types of random access memory (RAM), read-only memory (ROM), electrically erasable programmable read-only memory (EEPROM), flash memory or other memory technology, compact disk read-only memory (CD-ROM), digital versatile disk (DVD) or other optical storage, magnetic cassettes, magnetic tape disk storage or other magnetic storage devices or any other non-transmission media that can be used to store information that can be accessed by a computing device. As defined herein, computer readable media does not include temporary computer readable media (transitory media), such as modulated data signals and carrier waves.

[0144] For the convenience of description, the above device is described in various units according to their functions. Of course, when implementing the present application, the functions of each unit can be implemented in the same or multiple software and / or hardware.

[0145] The present invention is described with reference to flowcharts and / or block diagrams of methods, devices (systems), and computer program products according to embodiments of the present invention. It should be understood that each process and / or block in the flowchart and / or block diagram, as well as the combination of processes and / or blocks in the flowchart and / or block diagram, can be implemented by computer program instructions. These computer program instructions can be provided to a processor of a general-purpose computer, a special-purpose computer, an embedded processor, or other programmable data processing device to produce a machine, so that the instructions executed by the processor of the computer or other programmable data processing device generate instructions for implementing the processes in the flowchart and / or block diagram. Figure 1 A process or multiple processes and / or boxes Figure 1 A device that provides the functions specified in a block or multiple blocks.

[0146] These computer program instructions may also be stored in a computer-readable memory capable of directing a computer or other programmable data processing device to operate in a specific manner, so that the instructions stored in the computer-readable memory produce an article of manufacture comprising an instruction device, which implements the process Figure 1 A process or multiple processes and / or boxes Figure 1 A function specified in one or more boxes.

[0147] These computer program instructions can also be loaded onto a computer or other programmable data processing device so that a series of operating steps are executed on the computer or other programmable device to produce a computer-implemented process, thereby providing instructions for implementing the process. Figure 1 A process or multiple processes and / or boxes Figure 1 The steps for the functions specified in one or more boxes.

[0148] It should also be noted that the terms "include", "comprises" or any other variations thereof are intended to cover non-exclusive inclusion, so that a process, method, commodity or device including a series of elements includes not only those elements, but also other elements not explicitly listed, or also includes elements inherent to such process, method, commodity or device. In the absence of more restrictions, the elements defined by the sentence "comprises a ..." do not exclude the existence of other identical elements in the process, method, commodity or device including the elements.

[0149] The acquisition, storage, use, and processing of data in the technical solution of this application comply with the relevant provisions of national laws and regulations.

[0150] Those skilled in the art will appreciate that the embodiments of the present application may be provided as methods, systems or computer program products. Therefore, the present application may adopt the form of a complete hardware embodiment, a complete software embodiment or an embodiment in combination with software and hardware. Moreover, the present application may adopt the form of a computer program product implemented on one or more computer-usable storage media (including but not limited to disk storage, CD-ROM, optical storage, etc.) that contain computer-usable program code.

[0151] The present application may be described in the general context of computer-executable instructions executed by a computer, such as program modules. Generally, program modules include routines, programs, objects, components, data structures, etc. that perform specific tasks or implement specific abstract data types. The present application may also be practiced in distributed computing environments where tasks are performed by remote processing devices connected through a communication network. In a distributed computing environment, program modules may be located in local and remote computer storage media, including storage devices.

[0152] Each embodiment in this specification is described in a progressive manner, and the same or similar parts between the embodiments can be referred to each other, and each embodiment focuses on the differences from other embodiments. In particular, for the system embodiment, since it is basically similar to the method embodiment, the description is relatively simple, and the relevant parts can be referred to the partial description of the method embodiment.

[0153] The above is only an embodiment of the present application and is not intended to limit the present application. For those skilled in the art, the present application may have various changes and variations. Any modification, equivalent replacement, improvement, etc. made within the spirit and principle of the present application should be included in the scope of the claims of the present application.

Claims

1. A method for generating an underlying pricing factor, characterized in that: The method comprises: According to different rule conversion strategies, the input advanced rules of different risk types are verified; If the rule verification passes, the underlying pricing factor is obtained according to the advanced rules and the stored current pricing factor category; The risk type includes a foreign exchange type, the rule conversion strategy includes a foreign exchange rule conversion strategy, and the foreign exchange rule conversion strategy includes a structured strategy and a conversion strategy. The high-level rule includes at least one foreign exchange sub-rule; According to different rule conversion strategies, the input high-level rules of different risk types are checked, including: By means of the structured strategy, a structured verification is performed on the foreign exchange sub-rule and the currency pair of the foreign exchange sub-rule; If the structured verification is successful, the foreign exchange sub-rule is converted and verified through the conversion strategy and the current pricing factor category; If the conversion verification is successful, it complies with the foreign exchange rule conversion strategy; If the structured check fails or the conversion check fails, it does not comply with the foreign exchange rule conversion strategy; Wherein, the conversion strategy includes a preset currency sequence; The performing conversion verification on the foreign exchange sub-rule by using the conversion strategy and the current pricing factor category includes: Adjusting the foreign exchange sub-rules according to the preset currency sequence to obtain standard rules, wherein the standard rules include a plurality of standard sub-rules; According to the current pricing factor category, a plurality of standard sub-rules are converted and verified; Each foreign exchange sub-rule includes a currency pair and an original change rate of the currency pair, the currency pair includes a first currency and a second currency, and the original change rate is a change rate of the first currency relative to the second currency; The adjusting the foreign exchange sub-rules according to the preset currency sequence to obtain standard rules includes: Transforming and sorting the currency pairs of each foreign exchange sub-rule according to a preset currency sequence to obtain ordered standard sub-rules, wherein the standard sub-rules include standard currency pairs; Calculating a standard change rate of the standard currency pair based on the standard currency pair and the original change rate; According to the ordered standard sub-rules and standard change rates, a standard rule is obtained; The conversion verification of the plurality of standard sub-rules according to the current pricing factor category includes: If the current pricing factor category does not include the currency in the standard sub-rule, the conversion verification fails; If the current pricing factor category includes the currency in the standard sub-rule, determining whether the current pricing factor category includes the currency pair in the standard sub-rule; If so, the conversion verification is successful, and the step of obtaining the underlying pricing factor according to the advanced rules and the stored current pricing factor category is continued; If not, the standard sub-rule is converted and checked according to the set functional mapping rule.

2. The method for generating underlying pricing factors according to claim 1, characterized in that: The risk type includes an interest rate type, the rule conversion strategy includes an interest rate rule conversion strategy, and the advanced rule includes at least one interest rate sub-rule; According to different rule conversion strategies, the input high-level rules of different risk types are checked, including: Determining whether the interest rate sub-rule complies with the interest rate rule conversion strategy; If yes, the rule verification passes; If not, the rule verification fails.

3. The method for generating underlying pricing factors according to claim 1, characterized in that: The risk type includes a commodity type, the rule conversion strategy includes a commodity rule conversion strategy, and the advanced rule includes at least one commodity sub-rule; According to different rule conversion strategies, the input high-level rules of different risk types are checked, including: Determining whether the commodity sub-rule complies with the commodity rule conversion strategy; If yes, the rule verification passes; If not, the rule verification fails.

4. A device for generating bottom-level pricing factors, characterized in that: The device comprises: A rule verification unit is used to verify the input advanced rules of different risk types according to different rule conversion strategies; A generating unit, configured to obtain the bottom-level pricing factor according to the high-level rule and the stored current pricing factor category if the rule verification passes; The risk type includes a foreign exchange type, the rule conversion strategy includes a foreign exchange rule conversion strategy, and the foreign exchange rule conversion strategy includes a structured strategy and a conversion strategy. The high-level rule includes at least one foreign exchange sub-rule; The rule verification unit is specifically used to perform structured verification on the foreign exchange sub-rules and the currency pairs of the foreign exchange sub-rules through structured strategies; if the structured verification succeeds, the foreign exchange sub-rules are converted and verified through the conversion strategy and the current pricing factor category; if the conversion verification succeeds, the foreign exchange rule conversion strategy is met; if the structured verification fails or the conversion verification fails, the foreign exchange rule conversion strategy is not met; Wherein, the conversion strategy includes a preset currency sequence; A rule verification unit, specifically configured to adjust the foreign exchange sub-rules according to the preset currency sequence to obtain a standard rule, wherein the standard rule includes a plurality of standard sub-rules; and perform conversion verification on the plurality of standard sub-rules according to the current pricing factor category; Each foreign exchange sub-rule includes a currency pair and an original change rate of the currency pair, the currency pair includes a first currency and a second currency, and the original change rate is a change rate of the first currency relative to the second currency; The rule verification unit is specifically used to transform and sort the currency pairs of each foreign exchange sub-rule according to a preset currency sequence to obtain ordered standard sub-rules, wherein the standard sub-rules include standard currency pairs; calculate the standard change rate of the standard currency pair according to the standard currency pair and the original change rate; and obtain the standard rule according to the ordered standard sub-rules and the standard change rate; The rule verification unit is specifically used to determine whether the conversion verification fails if the current pricing factor category does not include the currency in the standard sub-rule; if the current pricing factor category includes the currency in the standard sub-rule, whether the current pricing factor category includes the currency pair in the standard sub-rule; if so, the conversion verification is successful, triggering the generation unit to continue executing the step of obtaining the underlying pricing factor based on the high-level rules and the stored current pricing factor category; if not, performing conversion verification on the standard sub-rule according to the set functional mapping rules.

5. A computer readable medium having a computer program stored thereon, characterized in that: When the program is executed by a processor, the underlying pricing factor generation method as described in any one of claims 1 to 3 is implemented.

6. A computer device comprising a memory and a processor, wherein the memory is used to store information including program instructions, and the processor is used to control the execution of the program instructions, characterized in that: When the program instructions are loaded and executed by the processor, the underlying pricing factor generation method described in any one of claims 1 to 3 is implemented.

7. A computer program product comprising a computer program / instructions, characterized in that When the computer program / instruction is executed by a processor, the underlying pricing factor generation method described in any one of claims 1 to 3 is implemented.

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