Method and device for real-time pricing of foreign exchange Asian option, storage medium and product

Abstract

The application discloses a foreign exchange Asian option real-time pricing method and device, a storage medium and a product, and relates to the technical field of data processing. The method comprises the following steps: acquiring and storing current quotation information of a currency pair; wherein the current quotation information comprises a quotation type of the currency pair, the currency pair, a quotation date and a current quotation, and the current quotation is determined by a fixed quotation system according to the current market exchange rate of the currency pair; determining whether to trigger Asian option pricing according to the quotation type of the currency pair, and if it is determined to trigger Asian option pricing, generating a pricing event containing the current quotation information; capturing the pricing event through an event listener, and calling an event processor to acquire key information required for Asian option pricing of the currency pair from the pricing event; and matching and pricing calculation are performed on Asian option pricing elements according to the key information, so that the current pricing price of the Asian option of the currency pair is obtained.

Description

TECHNICAL FIELD

[0001] The present application relates to the technical field of data processing, and in particular to a method and device for real-time pricing of foreign exchange Asian options, a storage medium and a product. BACKGROUND

[0002] An Asian option is also known as an average price option, and its execution price is the average value of the average price of the underlying asset within the contract period.

[0003] The underlying assets of an Asian option include stocks, exchange rates, and bonds. An Asian option with exchange rates as the underlying asset can be referred to as a foreign exchange Asian option, which refers to an option in which the option buyer determines the yield based on the average value of the specified interval at the end of the contract period. The specified average value interval, observation frequency, average value calculation method, and whether the execution price is fixed or floating can vary.

[0004] In the prior art, a trader manually obtains a pricing price from the market on the pricing day within the observation period to determine the pricing price of the Asian option, or a system obtains a market price from the trading market at a fixed time every day to determine the pricing price of the Asian option. When the market quotation is revised, the pricing price of the Asian option will not be accurate, which will affect the final pricing of the option transaction and the transaction yield.

[0005] Therefore, how to determine the pricing price of a foreign exchange Asian option in real time and accurately during the observation period has become a technical problem to be solved. SUMMARY

[0006] The present application provides a method and device for real-time pricing of foreign exchange Asian options, a storage medium and a product to solve the technical problem that the pricing price of a foreign exchange Asian option during the observation period cannot be determined in real time and accurately in the prior art.

[0007] In a first aspect, to solve the above technical problem, the technical solution of a method for real-time pricing of a foreign exchange Asian option provided by an embodiment of the present application is as follows:

[0008] Current quotation information of a currency pair is obtained and stored, wherein the current quotation information includes the quotation type of the currency pair, the currency pair, the quotation date, and the current quotation, and the current quotation is determined by a quotation system based on the current market exchange rate of the currency pair obtained;

[0009] Based on the quotation type of the currency pair, it is determined whether to trigger the pricing of an Asian option, and if it is determined to trigger the pricing of the Asian option, a pricing event containing the current quotation information is generated;

[0010] The event listener captures the fixing event and calls the event handler to obtain the key information required for fixing the Asian option for the currency pair from the fixing event;

[0011] Based on the key information, the fixing elements of the Asian option are matched and the pricing is calculated to obtain the current fixing price of the Asian option for the currency pair.

[0012] One possible implementation involves acquiring and storing current quote information for a currency pair, including:

[0013] A quote subscription message for the currency pair is sent to the quote fixing system, so that the quote fixing system pushes the current quote information after determining the current quote for the currency pair; wherein, the quote fixing system generates the current quote once each time it obtains the current market exchange rate;

[0014] Receive the quote subscription message and obtain the current quote from the quote subscription message;

[0015] Store the current quote in the specified location.

[0016] One possible implementation involves determining whether to trigger Asian option fixing based on the quote type of the currency pair, including:

[0017] Determine whether the currency pair and the quote type are included in the fixing parameters corresponding to the Asian option fixing.

[0018] If so, the current quote information is determined to trigger the Asian option fixing;

[0019] Otherwise, it is determined that the current quote information has not triggered the Asian option fixing.

[0020] One possible implementation involves obtaining key information from the fixing event required for the Asian option fixing of the currency pair, including:

[0021] Obtain the pricing information from the pricing event;

[0022] The quoted information is used as the key information.

[0023] One possible implementation involves matching and pricing Asian option trading elements based on the key information to obtain the current fixing price of the Asian option for the currency pair, including:

[0024] Based on the query conditions for Asian option fixing, query Asian options whose transaction elements match the key information;

[0025] The current quote is stored as a quote record within the observation period of the Asian option;

[0026] Based on the pricing type of the Asian option, calculate the current average value of the Asian option during the observation period;

[0027] The current average value is used as the current fixing price.

[0028] One possible implementation involves storing the current quote as a quote record within the observation period of the Asian option, including:

[0029] Determine whether there are any historical quote records with the same quote date and quote type during the observation period;

[0030] If no historical quote record exists during the observation period, a quote record containing the current quote is created during the observation period.

[0031] If the historical quote record exists within the observation period, then the quote in the historical quote record is updated with the current quote, or the historical quote record is replaced with the current quote record.

[0032] One possible implementation is that the quote type is the daily quote from a mainstream foreign exchange trading platform.

[0033] One possible implementation of the daily quote includes:

[0034] The central bank's central parity rate, the China Foreign Exchange Trading System (CFETS) 11-point quote, and the BIFIX 14-point quote.

[0035] One possible implementation includes the query conditions as follows:

[0036] At least one of the quote type, the currency pair, and the pricing date.

[0037] Secondly, embodiments of the present invention provide an apparatus for real-time fixing of Asian foreign exchange options, comprising:

[0038] A quotation processing unit is used to acquire and store current quotation information for currency pairs; wherein, the current quotation information includes the quotation type of the currency pair, the currency pair, the quotation date, and the current quotation, and the current quotation is determined by the quotation system based on the current market exchange rate of the acquired currency pair;

[0039] The quote filtering unit is used to determine whether to trigger Asian option fixing based on the quote type of the currency pair. If it is determined that the Asian option fixing will be triggered, a fixing event containing the current quote information is generated.

[0040] The event management unit is used to capture the fixing event through an event listener and call the event processor to obtain the key information required for fixing the Asian option for the currency pair from the fixing event;

[0041] The calculation unit is used to match and calculate the pricing of Asian option fixing elements based on the key information to obtain the current fixing price of the Asian option for the currency pair.

[0042] In one possible implementation, the quotation processing unit is further configured to:

[0043] A quote subscription message for the currency pair is sent to the quote fixing system, so that the quote fixing system pushes the current quote information after determining the current quote for the currency pair; wherein, the quote fixing system generates the current quote once each time it obtains the current market exchange rate;

[0044] Receive the quote subscription message and obtain the current quote from the quote subscription message;

[0045] Store the current quote in the specified location.

[0046] In one possible implementation, the quote filtering unit is further configured to:

[0047] Determine whether the currency pair and the quote type are included in the fixing parameters corresponding to the Asian option fixing.

[0048] If so, the current quote information is determined to trigger the Asian option fixing;

[0049] Otherwise, it is determined that the current quote information has not triggered the Asian option fixing.

[0050] In one possible implementation, the event management unit is further configured to:

[0051] Obtain the pricing information from the pricing event;

[0052] The quoted information is used as the key information.

[0053] In one possible implementation, the computing unit is further configured to:

[0054] Based on the query conditions for Asian option fixing, query Asian options whose transaction elements match the key information;

[0055] The current quote is stored as a quote record within the observation period of the Asian option;

[0056] Based on the pricing type of the Asian option, calculate the current average value of the Asian option during the observation period;

[0057] The current average value is used as the current fixing price.

[0058] In one possible implementation, the computing unit is further configured to:

[0059] Determine whether there are any historical quote records with the same quote date and quote type during the observation period;

[0060] If no historical quote record exists during the observation period, a quote record containing the current quote is created during the observation period.

[0061] If the historical quote record exists within the observation period, then the quote in the historical quote record is updated with the current quote, or the historical quote record is replaced with the current quote record.

[0062] One possible implementation is that the quote type is the daily quote from a mainstream foreign exchange trading platform.

[0063] One possible implementation of the daily quote includes:

[0064] The central bank's central parity rate, the China Foreign Exchange Trading System (CFETS) 11-point quote, and the BIFIX 14-point quote.

[0065] One possible implementation includes the query conditions as follows:

[0066] At least one of the quote type, the currency pair, and the pricing date.

[0067] Thirdly, embodiments of the present invention also provide an apparatus for real-time fixing of Asian foreign exchange options, comprising:

[0068] At least one processor, and

[0069] Memory connected to the at least one processor;

[0070] The memory stores instructions that can be executed by the at least one processor, which executes the instructions stored in the memory to perform the method described in the first aspect above.

[0071] Fourthly, embodiments of the present invention also provide a readable storage medium, comprising:

[0072] memory,

[0073] The memory is used to store instructions that, when executed by a processor, cause the apparatus including the readable storage medium to perform the method described in the first aspect above.

[0074] Fifthly, embodiments of the present invention also provide a computer program product, including a computer program that, when executed by a processor, implements the method described in the first aspect.

[0075] Through the technical solutions in one or more of the above embodiments of the present invention, the embodiments of the present invention have at least the following technical effects:

[0076] In the embodiments provided by this invention, the current quote information of a currency pair is acquired and stored. This current quote information includes the quote type, currency pair, quote date, and current quote, which is determined by the quote fixing system based on the current market exchange rate of the acquired currency pair. Based on the quote type of the currency pair, it is determined whether Asian option fixing is triggered. If Asian option fixing is triggered, a fixing event containing the current quote information is generated. An event listener captures the fixing event and calls an event processor to obtain the key information required for Asian option fixing of the currency pair from the fixing event. Based on the key information, the Asian option fixing elements are matched and priced to obtain the current fixing price of the Asian option for the currency pair. This allows for the automatic determination of the fixing price of foreign exchange Asian options, and the automatic re-determination of the fixing price after market exchange rate revisions, thereby ensuring the accuracy of the fixing price. Attached Figure Description

[0077] Figure 1 A flowchart of a real-time fixing method for Asian foreign exchange options provided in an embodiment of the present invention;

[0078] Figure 2 A schematic diagram of the structure of a trading system provided in an embodiment of the present invention;

[0079] Figure 3 This is a schematic diagram of a real-time fixing device for Asian foreign exchange options provided in an embodiment of the present invention. Detailed Implementation

[0080] This invention provides a method, apparatus, storage medium, and product for real-time fixing of Asian foreign exchange options, addressing the technical problem in the prior art where the fixing price of Asian foreign exchange options during the observation period is difficult to determine accurately and in real time. In the technical solution of this application, the collection, dissemination, and use of data all comply with relevant national laws and regulations.

[0081] To better understand the above technical solutions, the technical solutions of the present invention will be described in detail below with reference to the accompanying drawings and specific embodiments. It should be understood that the embodiments of the present invention and the specific features in the embodiments are detailed descriptions of the technical solutions of the present invention, rather than limitations on the technical solutions of the present invention. In the absence of conflict, the embodiments of the present invention and the technical features in the embodiments can be combined with each other.

[0082] Please refer toFigure 1 This invention provides a method for real-time fixing of Asian foreign exchange options, and the processing procedure of this method is as follows.

[0083] Step 101: Obtain and store the current quote information for the currency pair; wherein, the current quote information includes the quote type, currency pair, quote date and current quote, and the current quote is determined by the quote system based on the current market exchange rate of the obtained currency pair;

[0084] A currency pair is a foreign exchange rate consisting of two currencies, represented by two ISO country codes separated by a separator, such as EUR (Euro) / USD (US Dollar). The first ISO country code (e.g., EUR) represents the "base currency," and the other (e.g., USD) represents the "secondary currency." EUR / USD of 1.2500 means that 1 Euro can be bought with 1.25 US dollars.

[0085] In some implementations, the quote type is the daily quote from a mainstream foreign exchange trading platform.

[0086] Daily quotes can be the central bank's central parity rate, the 11:00 quote from the China Foreign Exchange Trade System (CFETS), or the 14:00 quote from Bloomberg Fixings (BFIX).

[0087] Please see Figure 2 This is a schematic diagram of the structure of a transaction system provided in an embodiment of the present invention.

[0088] The pricing system can be obtained from mainstream forex trading platforms (such as...) Figure 2 The system includes foreign exchange trading platforms 1 to n) that subscribe to the current market exchange rates of all currency pairs. After receiving the current market exchange rate of any currency pair from any foreign exchange trading platform, the pricing system can use the pricing model to determine the current quote for each currency pair and generate the current quote information for each currency pair.

[0089] The trading system can obtain and store the current price information of currency pairs from the pricing system according to its own needs. This can be achieved in the following ways:

[0090] Send a quote subscription message for the currency pair to the quote fixing system, so that the quote fixing system can push the current quote information after determining the current quote of the currency pair; wherein, the quote fixing system generates a current quote each time it obtains the current market exchange rate; receive quote subscription messages and obtain the current quote from the quote subscription messages; and store the current quote in a specified location.

[0091] The trading system can subscribe to the current price information of all currency pairs from the fixed price system according to its own needs, or it can subscribe to the current price information of some currency pairs from the fixed price system. There are no restrictions on which currency pairs the trading system can subscribe to from the fixed price system.

[0092] The trading system subscribes to current quotes for currency pairs from the fixed-price system. Each time the fixed-price system generates current quotes based on the current market exchange rate of a currency pair, it generates a quote subscription message containing this current quote and pushes it to the trading system. For example, at the current moment, the fixed-price system receives the CFEFS11 point current market exchange rate for the USD / CNY currency pair on November 7, 2022, and generates the current quote for USD / CNY (CFEFS11 point, USD / CNY, 20221107, price 7.25), along with a quote subscription message containing this current quote. The fixed-price system then sends the quote subscription message to the trading system. Upon receiving the quote subscription message, the trading system retrieves the current quote for the currency pair and stores it in a designated location, such as in the database record corresponding to the quote type CFEFS11 point on November 7, 2022.

[0093] After obtaining and storing the current quote information for the currency pair, step 102 can be executed.

[0094] Step 102: Based on the quote type of the currency pair, determine whether Asian option fixing is triggered. If Asian option fixing is triggered, generate a fixing event containing the current quote information.

[0095] Determining whether to trigger Asian option fixing based on the type of currency pair quote can be achieved in the following ways:

[0096] Determine whether the currency pair and quote type are included in the fixing parameters corresponding to Asian option fixing; if yes, determine that the current quote information triggers Asian option fixing; otherwise, determine that the current quote information does not trigger Asian option fixing.

[0097] The trading system is configured with fixing parameters for Asian option fixing. The fixing parameters can include the currency pairs that need to be fixed for Asian options and the corresponding quote types. For example, the fixing parameters include currency pair 1: USD / CNY, with corresponding quote types including CFEFS11 points and central bank midpoint; currency pair 2: GBP / USD (British Pound / US Dollar), with corresponding quote types including CFEFS11 points and BIFIX14 points; currency pair 3: AUD / USD (Australian Dollar / US Dollar), with corresponding quote types including CFEFS11 points and BIFIX14 points, and so on.

[0098] The trading system obtains the following current quote information from the received quote subscription information: CFEFS11 points, USD / CNY, 20221107, price 7.25. Based on this quote information, the currency pair is USD / CNY, and the quote type is CFEFS11 points. This matches the currency pair 1 in the fixing parameters: USD / CNY, with a corresponding quote type of CFEFS11 points. Therefore, it can be determined that the currency pair and quote type included in the current quote information are contained in the fixing parameters, thus confirming that the current quote information triggers Asian option fixing. Consequently, a fixing event containing the aforementioned current quote information can be generated.

[0099] If the current quote information obtained by the trading system from the received quote subscription information is: CFEFS11 points, JPY / CNY (Japanese Yen / Chinese Yuan), 20221107, price 0.04943561, it can be determined that the currency pair included in the current quote information is not included in the fixing parameters, and therefore it can be determined that the current quote information has not triggered Asian option fixing.

[0100] The process of determining whether Asian option fixing has been triggered can be regarded as Figure 2 The price filtering process in the system refers to the process by which the trading system filters the received current quote information to obtain the current quote information that needs to be used for Asian option fixing.

[0101] After generating a fixing event containing the current price information, step 103 can be executed.

[0102] Step 103: Capture the fixing event through the event listener and call the event handler to obtain the key information required for Asian option fixing of the currency pair from the fixing event;

[0103] In some embodiments, obtaining the key information needed for Asian option fixing of a currency pair from a fixing event can be achieved in the following ways:

[0104] Obtain pricing information from the pricing event; treat pricing information as key information.

[0105] For example, please continue to see Figure 2 The trading system is equipped with an event listener and an event handler. After the trading system captures the fixing event through the event listener, it calls the event handler to obtain the key information required for fixing the currency pair (such as USD / CNY) for Asian options from the fixing event, such as using the price information in the fixing event as key information.

[0106] After obtaining the key information, step 104 can be executed.

[0107] Step 104: Match and calculate the fixing elements of Asian options based on key information to obtain the current fixing price of Asian options for the currency pair.

[0108] The current fixing price of Asian options for a currency pair can be obtained by matching and pricing key information based on the following methods:

[0109] Based on the query criteria for Asian option fixing, query Asian options that match the transaction elements and key information; store the current quote as a quote record within the observation period of the Asian option; calculate the current average value of the current Asian option within the observation period based on the pricing type of the Asian option; and use the current average value as the current fixing price.

[0110] The above query criteria include at least one of the following: quote type, currency pair, and pricing date. Transaction elements include the underlying asset (i.e., exchange rate) of Asian options and the observation period.

[0111] For example, CFEFS11 points provides the current market exchange rate of the currency pair USD / CNY on November 7, 2022, and generates the current USD / CNY quote information (CFEFS11 points, USD / CNY, 20221107, price 7.25) and quote subscription information containing this current quote information. The quote system sends the quote subscription information to the trading system; after receiving the quote subscription information, the trading system retrieves the current quote of the currency pair from it and stores it in a designated location. The trading system determines the trigger for Asian option fixing based on the quote type (CFEFS11 points) of the currency pair (USD / CNY) and generates a fixing event containing current quote information. The trading system's time listener captures the fixing event and pushes it to the event processor. The event processor retrieves the key information required for Asian option fixing of the currency pair (USD / CNY) from the fixing event. Then, based on query conditions such as quote type, currency pair, and pricing date, it queries for the Asian option 20221107 that matches the key information. It assigns the current price of 7.25 to the observation period record of the Asian option on November 7, 2022, and calculates the current average value of the Asian option during the observation period based on the pricing type of the Asian option (such as geometric mean / arithmetic mean). This calculated current average value is used as the current fixing price of the Asian option.

[0112] If the exchange rate trading platform corrects the current market exchange rate at some later time, the pricing and quotation system will use the corrected current market exchange rate as the latest current market exchange rate to regenerate the current quotation information and provide it to the trading system. The trading system will then redetermine the fixing price of the Asian option. Therefore, storing the current quotation as a quotation record within the observation period of the Asian option can be achieved in the following way:

[0113] Determine if there is a historical quote record with the same quote date and quote type within the observation period; if there is no historical quote record within the observation period, create a quote record containing the current quote within the observation period; if there is a historical quote record within the observation period, update the quote in the historical quote record with the current quote, or replace the historical quote record with the quote record.

[0114] For example, in a trading system, the observation period for an Asian option on forex (USD / CNY) is from November 5, 2022 to November 10, 2022. This Asian option already includes historical quote records (CFEFS11 points, USD / CNY, 20221107, price 7.25). Currently, there is a received quote information (CFEFS11 points, USD / CNY, 20221107, price 7.35). By judgment, it can be determined that the historical quote record within the above observation period is from the quote date of 20221107. Therefore, the quote 7.35 in the current quote information can be used to replace the quote 7.25 in the historical quote record. Alternatively, a current quote record (CFEFS11 points, USD / CNY, 20221107, price 7.35) can be generated based on the current quote information, and the historical quote record can be replaced with the current quote record.

[0115] In the embodiments provided by this invention, the current quote information of a currency pair is acquired and stored. This current quote information includes the quote type, currency pair, quote date, and current quote, which is determined by the quote fixing system based on the current market exchange rate of the acquired currency pair. Based on the quote type of the currency pair, it is determined whether Asian option fixing is triggered. If Asian option fixing is triggered, a fixing event containing the current quote information is generated. An event listener captures the fixing event and calls an event processor to obtain the key information required for Asian option fixing of the currency pair from the fixing event. Based on the key information, the Asian option fixing elements are matched and priced to obtain the current fixing price of the Asian option for the currency pair. This allows for the automatic determination of the fixing price of foreign exchange Asian options, and the automatic re-determination of the fixing price after market exchange rate revisions, thereby ensuring the accuracy of the fixing price.

[0116] Furthermore, by encapsulating the current quote information required for Asian option fixing into a fixing event, capturing the fixing event with an event listener, and using an event processor to obtain the key information needed for Asian option fixing of the currency pair from the fixing event, and then matching and calculating the Asian option fixing elements based on the key information to obtain the current fixing price of the Asian option for the currency pair, the high-frequency push of current quote information by the pricing system and the subsequent determination of the Asian option fixing price can be executed asynchronously. This avoids the problem of data loss and inaccurate fixing prices caused by the congestion of the pushed current quote information due to the longer time required for the subsequent determination of the Asian option fixing price.

[0117] Based on the same inventive concept, one embodiment of the present invention provides a device for real-time fixing of Asian foreign exchange options. Specific implementation methods for the real-time fixing of Asian foreign exchange options using this device can be found in the description of the method embodiments section; repeated details will not be repeated here. Figure 3 The device includes:

[0118] The quotation processing unit 301 is used to acquire and store the current quotation information of a currency pair; wherein, the current quotation information includes the quotation type of the currency pair, the currency pair, the quotation date, and the current quotation, and the current quotation is determined by the quotation system based on the current market exchange rate of the acquired currency pair;

[0119] The quote filtering unit 302 is used to determine whether to trigger Asian option fixing based on the quote type of the currency pair. If it is determined that the Asian option fixing will be triggered, a fixing event containing the current quote information is generated.

[0120] The event management unit 303 is used to capture the fixing event through an event listener and call the event processor to obtain the key information required for fixing the Asian option for the currency pair from the fixing event;

[0121] The calculation unit 304 is used to match and calculate the pricing of Asian option fixing elements based on the key information to obtain the current fixing price of the Asian option for the currency pair.

[0122] In one possible implementation, the quotation processing unit 301 is further configured to:

[0123] A quote subscription message for the currency pair is sent to the quote fixing system, so that the quote fixing system pushes the current quote information after determining the current quote for the currency pair; wherein, the quote fixing system generates the current quote once each time it obtains the current market exchange rate;

[0124] Receive the quote subscription message and obtain the current quote from the quote subscription message;

[0125] Store the current quote in the specified location.

[0126] In one possible implementation, the quote filtering unit 302 is further configured to:

[0127] Determine whether the currency pair and the quote type are included in the fixing parameters corresponding to the Asian option fixing.

[0128] If so, the current quote information is determined to trigger the Asian option fixing;

[0129] Otherwise, it is determined that the current quote information has not triggered the Asian option fixing.

[0130] In one possible implementation, the event management unit 303 is further configured to:

[0131] Obtain the pricing information from the pricing event;

[0132] The quoted information is used as the key information.

[0133] In one possible implementation, the computing unit 304 is further configured to:

[0134] Based on the query conditions for Asian option fixing, query Asian options whose transaction elements match the key information;

[0135] The current quote is stored as a quote record within the observation period of the Asian option;

[0136] Based on the pricing type of the Asian option, calculate the current average value of the Asian option during the observation period;

[0137] The current average value is used as the current fixing price.

[0138] In one possible implementation, the computing unit 304 is further configured to:

[0139] Determine whether there are any historical quote records with the same quote date and quote type during the observation period;

[0140] If no historical quote record exists during the observation period, a quote record containing the current quote is created during the observation period.

[0141] If the historical quote record exists within the observation period, then the quote in the historical quote record is updated with the current quote, or the historical quote record is replaced with the current quote record.

[0142] One possible implementation is that the quote type is the daily quote from a mainstream foreign exchange trading platform.

[0143] One possible implementation of the daily quote includes:

[0144] The central bank's central parity rate, the China Foreign Exchange Trading System (CFETS) 11-point quote, and the BIFIX 14-point quote.

[0145] One possible implementation includes the query conditions as follows:

[0146] At least one of the quote type, the currency pair, and the pricing date.

[0147] It should be noted that the division of units in the embodiments of this application is illustrative and only represents one logical functional division. In actual implementation, other division methods may be used. Furthermore, the functional units in the various embodiments of this application can be integrated into one processing unit, or each unit can exist physically separately, or two or more units can be integrated into one unit. The integrated units described above can be implemented in hardware or as software functional units.

[0148] If the integrated unit is implemented as a software functional unit and sold or used as an independent product, it can be stored in a processor-readable storage medium. Based on this understanding, the technical solution of this application, in essence, or the part that contributes to the prior art, or all or part of the technical solution, can be embodied in the form of a software product. This computer software product is stored in a storage medium and includes several instructions to cause a computer device (which may be a personal computer, server, or network device, etc.) or processor to execute all or part of the steps of the methods described in the various embodiments of this application. The aforementioned storage medium includes various media capable of storing program code, such as USB flash drives, portable hard drives, read-only memory (ROM), random access memory (RAM), magnetic disks, or optical disks.

[0149] It should be noted that the apparatus provided in this embodiment of the invention can implement all the method steps implemented in the above method embodiment and can achieve the same technical effect. Therefore, the parts and beneficial effects that are the same as those in the method embodiment will not be described in detail here.

[0150] Based on the same inventive concept, this invention provides an apparatus for real-time fixing of Asian foreign exchange options, comprising: at least one processor, and

[0151] Memory connected to the at least one processor;

[0152] The memory stores instructions that can be executed by the at least one processor, which executes the instructions stored in the memory to perform the real-time fixing method for Asian foreign exchange options as described above.

[0153] Based on the same inventive concept, embodiments of the present invention also provide a readable storage medium, comprising:

[0154] memory,

[0155] The memory is used to store instructions that, when executed by a processor, cause the apparatus including the readable storage medium to perform the real-time fixing method for Asian foreign exchange options as described above.

[0156] Based on the same inventive concept, embodiments of the present invention also provide a computer program product, including a computer program that, when executed by a processor, implements the method for real-time fixing of Asian foreign exchange options as described above.

[0157] The readable storage medium can be any available medium or data storage device accessible to the processor, including volatile memory or non-volatile memory, or both. By way of example, and not limitation, non-volatile memory can include read-only memory (ROM), programmable read-only memory (PROM), electrically programmable read-only memory (EPROM), electrically erasable programmable read-only memory (EEPROM), flash memory, solid-state disk (SSD), magnetic storage (e.g., floppy disk, hard disk, magnetic tape, magneto-optical disc (MO), etc.), and optical storage (e.g., CD, DVD, BD, HVD, etc.). Volatile memory can include random access memory (RAM), which can act as an external cache memory. By way of example and not limitation, RAM can be obtained in various forms, such as Dynamic Random Access Memory (DRAM), Synchronous Dynamic Random-Access Memory (SDRAM), Double Data Rate SDRAM (DDR SDRAM), Enhanced Synchronous DRAM (ESDRAM), and Sync Link DRAM (SLDRAM). The storage devices disclosed herein are intended to include, but are not limited to, these and other suitable types of memory.

[0158] Those skilled in the art will understand that embodiments of the present invention can be provided as methods, systems, or program products. Therefore, embodiments of the present invention can take the form of entirely hardware embodiments, entirely software embodiments, or embodiments combining software and hardware aspects. Furthermore, embodiments of the present invention can take the form of machine program products implemented on one or more readable storage media (including but not limited to disk storage, CD-ROM, optical storage, etc.) containing computer / processor-usable program code.

[0159] Embodiments of the present invention are described with reference to flowchart illustrations and / or block diagrams of methods, apparatus (systems), and computer program products according to embodiments of the invention. It will be understood that each block of the flowchart illustrations and / or block diagrams, and combinations of blocks in the flowchart illustrations and / or block diagrams, can be implemented by computer program instructions. These program instructions can be provided to a processor of a general-purpose computer, special-purpose computer, embedded processor, or other programmable data processing apparatus to produce a machine, such that the instructions, which execute via the processor of the computer or other programmable data processing apparatus, generate instructions for implementing the flowchart illustrations. Figure 1 One or more processes and / or boxes Figure 1 A device that provides the functions specified in one or more boxes.

[0160] These program instructions may also be stored in a readable storage medium that can direct a computer or other programmable data processing device to operate in a particular manner, such that the instructions stored in the readable storage medium produce an article of manufacture including instruction means, which are implemented in a process Figure 1 One or more processes and / or boxes Figure 1 The function specified in one or more boxes.

[0161] These program instructions may also be loaded onto a computer or other programmable data processing apparatus to cause a series of operational steps to be performed on the computer or other programmable apparatus to produce a process implemented by the computer / processor, thereby providing instructions that execute on the computer / processor or other programmable apparatus for implementing the process. Figure 1 One or more processes and / or boxes Figure 1 The steps of the function specified in one or more boxes.

[0162] Obviously, those skilled in the art can make various modifications and variations to this invention without departing from its spirit and scope. Therefore, if these modifications and variations fall within the scope of the claims of this invention and their equivalents, this invention also intends to include these modifications and variations.

Claims

1. A method for real-time pricing of foreign exchange Asian options, characterized by, The method comprises the following steps: acquiring and storing current quotation information of a currency pair; wherein the current quotation information comprises a quotation type of the currency pair, the currency pair, a quotation date, and a current quotation determined by a quotation system according to a current market exchange rate of the currency pair; determining whether to trigger a quotation of an Asian option according to the quotation type of the currency pair, and generating a quotation event containing the current quotation information if it is determined to trigger the quotation of the Asian option; capturing the quotation event through an event listener, and calling an event processor to acquire the current quotation information from the quotation event; and taking the current quotation information as key information required for the quotation of the Asian option of the currency pair; querying an Asian option matching the key information according to a query condition of the quotation of the Asian option; determining whether there is a historical quotation record with the same quotation date and quotation type as the current quotation in an observation period of the Asian option; creating a quotation record containing the current quotation in the observation period if there is no historical quotation record in the observation period; updating the quotation in the historical quotation record with the current quotation or replacing the historical quotation record with the quotation record if there is the historical quotation record in the observation period; calculating a current average value of the Asian option in the observation period according to a pricing type of the Asian option; and taking the current average value as a current quotation price of the Asian option of the currency pair.

2. The method of claim 1, wherein, The method comprises the following steps: acquiring and storing current quotation information of a currency pair, comprising: sending a quotation subscription message of the currency pair to a quotation system, so that the quotation system pushes the current quotation information after determining a current quotation of the currency pair; wherein the quotation system generates the current quotation once the current market exchange rate is obtained; receiving the quotation subscription message and acquiring the current quotation from the quotation subscription message; 3. The method of claim 1, wherein, storing the current quotation in a specified location. The method comprises the following steps: determining whether to trigger a quotation of an Asian option according to the quotation type of the currency pair, comprising: determining whether the currency pair and the quotation type are contained in quotation parameters corresponding to the quotation of the Asian option; 4. The method of claim 1, wherein, if yes, determining that the current quotation information triggers the quotation of the Asian option; 5. The method of claim 4, wherein, otherwise, determining that the current quotation information does not trigger the quotation of the Asian option. The quotation type is a daily quotation of a mainstream foreign exchange transaction market platform.

6. The method of claim 1, wherein, The daily quotation comprises: a central bank middle price, a China Foreign Exchange Trading Center (CFETS) 11-point quotation, and a BIFIX 14-point quotation.

7. An apparatus for real-time pricing of foreign exchange Asian options, characterized by The query condition comprises: at least one of the quotation type, the currency pair, and a pricing date. The method comprises the following steps: a quotation processing unit is configured to acquire and store current quotation information of a currency pair; wherein the current quotation information comprises a quotation type of the currency pair, the currency pair, a quotation date, and a current quotation determined by a quotation system according to a current market exchange rate of the currency pair; The offer filtering unit is configured to determine whether to trigger the Asian option booking according to the type of the offer of the currency pair, and generate a booking event containing the current offer information if it is determined to trigger the Asian option booking. The event management unit is configured to capture the booking event through an event listener, and call an event processor to obtain the current offer information from the booking event; and use the current offer information as key information required for the Asian option booking of the currency pair. The calculation unit is configured to query an Asian option matching the key information according to a query condition of the Asian option booking, determine whether there is a historical offer record with the same offer date and offer type in an observation period of the Asian option, create an offer record containing the current offer in the observation period if there is no historical offer record in the observation period, update the offer in the historical offer record with the current offer or replace the historical offer record with the offer record if there is the historical offer record in the observation period, calculate a current average value of the Asian option in the observation period according to a pricing type of the Asian option, and use the current average value as a current booking price of the Asian option of the currency pair.

8. An apparatus for real-time pricing of foreign exchange Asian options, characterized by The apparatus comprises: at least one processor, and a memory connected to the at least one processor; wherein the memory stores instructions executable by the at least one processor, and the at least one processor, by executing the instructions stored in the memory, performs the method of any one of claims 1-6.

9. A readable storage medium, characterized by, The apparatus comprises a memory, the memory is configured to store instructions, and when the instructions are executed by a processor, the apparatus comprising the readable storage medium completes the method of any one of claims 1-6.

10. A computer program product, characterised in that, The apparatus comprises a computer program, and when the computer program is executed by a processor, the method of any one of claims 1-6 is implemented.

Images