Method and device for determining the pricing of a transfer of funds in a repo transaction

Abstract

The application discloses a method and device for determining the pricing of fund transfer in a repurchase transaction, which can be used in the financial field, and the method comprises the following steps: obtaining a repurchase transaction generation request and a yield curve of a user; determining fund exposure information corresponding to the repurchase transaction generation request according to the transaction currency and the transaction term; determining the interest rate corresponding to the repurchase transaction generation request according to the transaction currency, the transaction term and the yield curve; determining the repurchase direction and the transaction amount according to the fund exposure information; generating a repurchase transaction according to the repurchase direction, the transaction amount and the transaction term; and determining the pricing of fund transfer in the repurchase transaction according to the repurchase direction, the transaction amount, the transaction term and the interest rate. The application improves the efficiency and accuracy of determining the pricing of fund transfer in the repurchase transaction, realizes the efficient use of funds, and reflects the profit and loss of the fund occupation on the account in a timely manner.

Description

Technical Field

[0001] This invention relates to the financial field, and more particularly to a method and apparatus for determining the transfer pricing of funds in interbank lending transactions. Background Technology

[0002] Funds transfer profit (FTP) is an internal management model within commercial banks where funds are transferred between the bank's internal treasury center and business departments according to rules, with full payment for the purpose of calculating the cost or profit of business funds. With the development of commercial banks, their internal management requirements have gradually increased, and many commercial banks have gradually introduced the concept of FTP, which is beneficial for improving their fund management level.

[0003] Establishing a Funds Transfer Pricing (FTP) system can effectively isolate interest rate risk, guide reasonable pricing, and optimize internal resource allocation. Currently, this is achieved by adding FTP reports to the reporting and analysis system. However, traders cannot see their funding exposure in real time during the day, and cannot make advance arrangements for funds, relying instead on internal lending. Internal lending rates cannot be updated daily, so reports are typically weekly or monthly. Statistical reporting at the report level has a certain lag, making it impossible to calculate funds transfer pricing accurately and in a timely manner.

[0004] In summary, there is an urgent need for a method to determine the transfer pricing of funds in interbank lending transactions in order to solve the problems existing in the above-mentioned technologies. Summary of the Invention

[0005] This invention provides a method for determining the transfer pricing of funds in interbank lending transactions, thereby improving the efficiency and accuracy of determining the transfer pricing of funds in interbank lending transactions. The method includes:

[0006] Obtain the user's interbank lending transaction generation request and interest rate curve; the interbank lending transaction generation request includes the transaction currency and transaction term;

[0007] Determine the funding exposure information corresponding to the lending transaction request based on the transaction currency and transaction term;

[0008] The interest rate corresponding to the lending transaction request is determined based on the transaction currency, transaction term, and interest rate curve.

[0009] Determine the lending direction and transaction amount based on funding exposure information;

[0010] A lending transaction is generated based on the lending direction, transaction amount, and transaction term.

[0011] The fund transfer pricing for interbank lending transactions is determined based on the lending direction, transaction amount, transaction term, and interest rate.

[0012] This invention also provides a device for determining the transfer pricing of funds in interbank lending transactions, to improve the efficiency and accuracy of determining the transfer pricing of funds in interbank lending transactions. The device includes:

[0013] The acquisition module is used to acquire users' interbank lending transaction generation requests and interest rate curves; the interbank lending transaction generation requests include the transaction currency and transaction term;

[0014] The processing module is used to determine the funding exposure information corresponding to the interbank lending transaction generation request based on the transaction currency and transaction term; determine the interest rate corresponding to the interbank lending transaction generation request based on the transaction currency, transaction term and interest rate curve; determine the lending direction and transaction amount based on the funding exposure information; generate the interbank lending transaction based on the lending direction, transaction amount and transaction term; and determine the funds transfer pricing of the interbank lending transaction based on the lending direction, transaction amount, transaction term and interest rate.

[0015] This invention also provides a computer device, including a memory, a processor, and a computer program stored in the memory and executable on the processor. When the processor executes the computer program, it implements the above-described method for determining the transfer pricing of funds in interbank lending transactions.

[0016] This invention also provides a computer-readable storage medium storing a computer program that, when executed by a processor, implements the above-described method for determining the transfer pricing of funds in interbank lending transactions.

[0017] This invention also provides a computer program product, which includes a computer program that, when executed by a processor, implements the above-described method for determining the transfer pricing of funds in interbank lending transactions.

[0018] In this embodiment of the invention, the following steps are taken: First, the user's interbank lending transaction generation request and interest rate curve are obtained. Then, the funding exposure information corresponding to the interbank lending transaction generation request is determined based on the transaction currency and transaction term. Next, the interest rate corresponding to the interbank lending transaction generation request is determined based on the transaction currency, transaction term, and interest rate curve. Finally, the lending direction and transaction amount are determined based on the funding exposure information. The interbank lending transaction is generated based on the lending direction, transaction amount, transaction term, and interest rate. Finally, the fund transfer pricing of the interbank lending transaction is determined based on the lending direction, transaction amount, transaction term, and interest rate. Compared with existing technologies, this method, by determining the fund transfer pricing of interbank lending transactions based on the lending direction, transaction amount, transaction term, and interest rate, allows users to generate interbank lending transactions and determine the fund transfer pricing simply by selecting the transaction currency and transaction term. This improves the efficiency and accuracy of determining the fund transfer pricing of interbank lending transactions, achieves efficient use of funds, and promptly reflects the gains and losses of fund occupation in the account. Attached Figure Description

[0019] To more clearly illustrate the technical solutions in the embodiments of the present invention or the prior art, the drawings used in the description of the embodiments or the prior art will be briefly introduced below. Obviously, the drawings described below are only some embodiments of the present invention. For those skilled in the art, other drawings can be obtained based on these drawings without creative effort. In the drawings:

[0020] Figure 1 A flowchart illustrating the method for determining the transfer pricing of funds in interbank lending transactions provided by the present invention;

[0021] Figure 2 A flowchart illustrating the method for determining the transfer pricing of funds in interbank lending transactions provided by the present invention;

[0022] Figure 3 A flowchart illustrating the method for determining the transfer pricing of funds in interbank lending transactions provided by the present invention;

[0023] Figure 4 A flowchart illustrating the method for determining the transfer pricing of funds in interbank lending transactions provided by the present invention;

[0024] Figure 5 A schematic diagram of the structure of the interbank lending transaction fund transfer pricing determination device provided by the present invention. Detailed Implementation

[0025] To make the objectives, technical solutions, and advantages of the embodiments of the present invention clearer, the embodiments of the present invention will be further described in detail below with reference to the accompanying drawings. Here, the illustrative embodiments of the present invention and their descriptions are used to explain the present invention, but are not intended to limit the present invention.

[0026] Figure 1 This is a flowchart illustrating a method for determining the transfer pricing of funds in a lending transaction, as provided in an embodiment of the present invention. Figure 1 As shown, the method includes:

[0027] Step 101: Obtain the user's interbank lending transaction generation request and interest rate curve.

[0028] The request to generate a lending transaction includes the currency and the term of the transaction.

[0029] Step 102: Determine the funding exposure information corresponding to the interbank lending transaction generation request based on the transaction currency and transaction term.

[0030] In this embodiment of the invention, different preset rules are invoked according to the transaction type, and respective cash flow information is generated according to the transaction details.

[0031] The cash flow information is aggregated according to transaction type, date, currency, and other dimensions to generate a funding exposure information interface.

[0032] Step 103: Determine the interest rate corresponding to the loan transaction generation request based on the transaction currency, transaction term, and interest rate curve.

[0033] Step 104: Determine the lending direction and transaction amount based on the funding exposure information.

[0034] Step 105: Generate a lending transaction based on the lending direction, transaction amount, and transaction term.

[0035] Step 106: Determine the fund transfer pricing for the interbank lending transaction based on the lending direction, transaction amount, transaction term, and interest rate.

[0036] For example, a user triggers a call on the funding exposure information interface. The user selects the funding exposure information of currency A and a certain term on the funding exposure information interface, and then generates a lending transaction. The lending or borrowing transaction of that currency and term is generated according to the user's selection to close the funding gap.

[0037] The above scheme determines the fund transfer pricing of interbank lending transactions based on the lending direction, transaction amount, transaction term, and interest rate. Users only need to select the transaction currency and transaction term to generate an interbank lending transaction and determine the fund transfer pricing. This improves the efficiency and accuracy of determining the fund transfer pricing of interbank lending transactions, realizes the efficient use of funds, and promptly reflects the profit or loss of funds used in the account.

[0038] Before obtaining the user's interbank lending transaction generation request and interest rate curve, the steps in this embodiment of the invention are as follows: Figure 2 As shown, the details are as follows:

[0039] Step 201: Obtain multiple transaction information.

[0040] It should be noted that the transaction information includes: transaction type, principal amount, lending direction, interest accrual date, maturity date, frequency of interest payment and collection, and interest rate.

[0041] Step 202: Generate cash flow information based on multiple transaction information and the preset rules corresponding to the transaction type of each transaction information.

[0042] Step 203: Generate a funding exposure information interface based on cash flow information.

[0043] Step 204: Determine the funding exposure information corresponding to the trading currency and trading period on the funding exposure information interface.

[0044] The above solution generates a funding exposure information interface based on cash flow information, allowing users to understand the funding exposure status of the trading portfolio in real time through the funding exposure information interface, and the gains and losses generated by fund transfers can also be reflected in real time.

[0045] In step 101 of this embodiment of the invention, the interest rate curve is obtained, and the process is as follows: Figure 3 As shown, the details are as follows:

[0046] Step 301: Obtain interest rate data for multiple currencies.

[0047] It should be noted that the interest rate data includes interest rates for various currencies across multiple standard maturities.

[0048] Step 302: Generate interest rate curves based on interest rate data for various currencies under multiple standard maturities.

[0049] Read interest rate data for various currencies accessed within the system, generate interest rate curves based on interest rate data for each currency under multiple standard terms, provide manual addition and subtraction of points in the interest rate curve quotes, and generate an internal capital cost table for each currency for the day when processing in batches.

[0050] The above scheme fits interest rate curves based on interest rate data for various currencies under multiple standard maturities, thereby improving the accuracy of the interest rate curves.

[0051] In this embodiment of the invention, after determining the fund transfer pricing of a lending transaction based on the lending direction, transaction amount, transaction term, and interest rate, the steps are as follows: Figure 4 As shown, the details are as follows:

[0052] Step 401: Obtain the user's batch processing mode enable request.

[0053] Step 402: Determine the funding exposure information and interest rates for each currency for the day the batch processing mode is activated.

[0054] Step 403: Based on the batch processing mode, request the funding exposure information for the day and the interest rates of various currencies to generate overnight interbank lending transactions.

[0055] In this embodiment of the invention, in batch processing mode, the daily funding exposure information table generated by the funding exposure information interface and the daily internal funding cost table for each currency provided by the interest rate curve are called to automatically form overnight internal funding lending transactions.

[0056] The above scheme reflects the cost or benefit of capital occupation for each trading platform by generating overnight interbank lending transactions daily. By calculating future cash flows during transaction access, and adding new daily cash flows to historical cash flows to form a cash flow exposure, interbank lending transactions are generated. The principal uses the value from the capital exposure information interface, and the interest rate uses the intraday interbank lending rate, thus improving the efficiency and accuracy of determining the capital transfer pricing for interbank lending transactions.

[0057] This invention also provides a device for determining the transfer pricing of funds in interbank lending transactions, as described in the following embodiments. This device is as follows... Figure 5As shown, the device includes:

[0058] The acquisition module 501 is used to acquire the user's interbank lending transaction generation request and interest rate curve; the interbank lending transaction generation request includes the transaction currency and transaction term.

[0059] The processing module 502 is used to determine the funding exposure information corresponding to the interbank lending transaction generation request based on the transaction currency and transaction term; determine the interest rate corresponding to the interbank lending transaction generation request based on the transaction currency, transaction term and interest rate curve; determine the lending direction and transaction amount based on the funding exposure information; generate the interbank lending transaction based on the lending direction, transaction amount and transaction term; and determine the fund transfer pricing of the interbank lending transaction based on the lending direction, transaction amount, transaction term and interest rate.

[0060] In this embodiment of the invention, the acquisition module 501 is further configured to:

[0061] Before obtaining the user's interbank lending transaction generation request and interest rate curve, multiple transaction information is obtained; the transaction information includes: transaction type, principal amount, lending direction, interest accrual date, maturity date, interest payment frequency and interest rate.

[0062] Cash flow information is generated based on multiple transaction information and preset rules corresponding to the transaction types of each transaction information.

[0063] Generate a funding exposure information interface based on cash flow information;

[0064] Determine the funding exposure information corresponding to the trading currency and trading period mentioned on the funding exposure information interface.

[0065] In this embodiment of the invention, the acquisition module 501 is specifically used for:

[0066] Obtain interest rate data for multiple currencies; the interest rate data refers to the interest rate data for each currency under multiple standard terms;

[0067] Interest rate curves are generated based on interest rate data for various currencies across multiple standard maturities.

[0068] In this embodiment of the invention, the processing module 502 is further configured to:

[0069] After determining the fund transfer pricing of the lending transaction based on the lending direction, transaction amount, transaction term and interest rate, obtain the user's batch processing mode start request;

[0070] Determine the funding exposure information and interest rates for each currency for the day the batch processing mode is activated;

[0071] Based on the batch processing mode, the system requests the day's funding exposure information and the interest rates of various currencies to generate overnight lending transactions.

[0072] Since the principle by which this device solves the problem is similar to the method for determining the transfer pricing of funds in interbank lending transactions, the implementation of this device can be found in the implementation of the method for determining the transfer pricing of funds in interbank lending transactions, and the repetitive parts will not be repeated.

[0073] This invention also provides a computer device, including a memory, a processor, and a computer program stored in the memory and executable on the processor. When the processor executes the computer program, it implements the above-described method for determining the transfer pricing of funds in interbank lending transactions.

[0074] This invention also provides a computer-readable storage medium storing a computer program that, when executed by a processor, implements the above-described method for determining the transfer pricing of funds in interbank lending transactions.

[0075] This invention also provides a computer program product, which includes a computer program that, when executed by a processor, implements the above-described method for determining the transfer pricing of funds in interbank lending transactions.

[0076] In this embodiment of the invention, the following steps are taken: First, the user's interbank lending transaction generation request and interest rate curve are obtained. Then, the funding exposure information corresponding to the interbank lending transaction generation request is determined based on the transaction currency and transaction term. Next, the interest rate corresponding to the interbank lending transaction generation request is determined based on the transaction currency, transaction term, and interest rate curve. Finally, the lending direction and transaction amount are determined based on the funding exposure information. The interbank lending transaction is generated based on the lending direction, transaction amount, transaction term, and interest rate. Finally, the fund transfer pricing of the interbank lending transaction is determined based on the lending direction, transaction amount, transaction term, and interest rate. Compared with existing technologies, this method, by determining the fund transfer pricing of interbank lending transactions based on the lending direction, transaction amount, transaction term, and interest rate, allows users to generate interbank lending transactions and determine the fund transfer pricing simply by selecting the transaction currency and transaction term. This improves the efficiency and accuracy of determining the fund transfer pricing of interbank lending transactions, achieves efficient use of funds, and promptly reflects the gains and losses of fund occupation in the account.

[0077] Those skilled in the art will understand that embodiments of the present invention can be provided as methods, systems, or computer program products. Therefore, the present invention can take the form of a completely hardware embodiment, a completely software embodiment, or an embodiment combining software and hardware aspects. Furthermore, the present invention can take the form of a computer program product embodied on one or more computer-usable storage media (including, but not limited to, disk storage, CD-ROM, optical storage, etc.) containing computer-usable program code.

[0078] This invention is 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 computer 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 and / or block diagrams. Figure 1 One or more processes and / or boxes Figure 1 A device that provides the functions specified in one or more boxes.

[0079] These computer program instructions may also be stored in a computer-readable storage medium that can direct a computer or other programmable data processing device to function in a particular manner, such that the instructions stored in the computer-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.

[0080] These computer program instructions may also be loaded onto a computer or other programmable data processing equipment to cause a series of operational steps to be performed on the computer or other programmable equipment to produce a computer-implemented process, thereby providing instructions that execute on the computer or other programmable equipment 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.

[0081] The specific embodiments described above further illustrate the purpose, technical solution, and beneficial effects of the present invention. It should be understood that the above descriptions are merely specific embodiments of the present invention and are not intended to limit the scope of protection of the present invention. Any modifications, equivalent substitutions, improvements, etc., made within the spirit and principles of the present invention should be included within the scope of protection of the present invention.

Claims

1. A method for determining the transfer pricing of funds in interbank lending transactions, characterized in that, include: Obtain the user's interbank lending transaction generation request and interest rate curve; the interbank lending transaction generation request includes the transaction currency and transaction term; Determine the funding exposure information corresponding to the lending transaction request based on the transaction currency and transaction term; The interest rate corresponding to the lending transaction request is determined based on the transaction currency, transaction term, and interest rate curve. Determine the lending direction and transaction amount based on funding exposure information; A lending transaction is generated based on the lending direction, transaction amount, and transaction term. The fund transfer pricing of the lending transaction is determined based on the lending direction, transaction amount, transaction term, and interest rate. Before obtaining the user's interbank lending transaction generation request and interest rate curve, the process also includes: Obtain multiple transaction information; the transaction information includes: transaction type, principal amount, lending direction, interest accrual date, maturity date, interest payment frequency, and interest rate. Cash flow information is generated based on multiple transaction information and preset rules corresponding to the transaction types of each transaction information. Generate a funding exposure information interface based on cash flow information; Determine the funding exposure information corresponding to the trading currency and trading period mentioned on the funding exposure information interface.

2. The method for determining the transfer pricing of funds in interbank lending transactions as described in claim 1, characterized in that, Obtain the interest rate curve, including: Obtain interest rate data for multiple currencies; the interest rate data refers to the interest rate data for each currency under multiple standard terms; Interest rate curves are generated based on interest rate data for various currencies across multiple standard maturities.

3. The method for determining the transfer pricing of funds in interbank lending transactions as described in claim 1, characterized in that, After determining the fund transfer pricing for the interbank lending transaction based on the lending direction, transaction amount, transaction term, and interest rate, it also includes: Get the user's batch mode enable request; Determine the funding exposure information and interest rates for each currency for the day the batch processing mode is activated; Based on the batch processing mode, the system requests the day's funding exposure information and the interest rates of various currencies to generate overnight lending transactions.

4. A device for determining the transfer pricing of funds in interbank lending transactions, characterized in that, include: The acquisition module is used to acquire users' interbank lending transaction generation requests and interest rate curves; the interbank lending transaction generation requests include the transaction currency and transaction term; The processing module is used to determine the funding exposure information corresponding to the interbank lending transaction generation request based on the transaction currency and transaction term; and to determine the interest rate corresponding to the interbank lending transaction generation request based on the transaction currency, transaction term, and interest rate curve. Determine the lending direction and transaction amount based on funding exposure information; generate a lending transaction based on the lending direction, transaction amount, and transaction term; determine the fund transfer pricing of the lending transaction based on the lending direction, transaction amount, transaction term, and interest rate; The acquisition module is further configured to: Before obtaining the user's interbank lending transaction generation request and interest rate curve, multiple transaction information is obtained; the transaction information includes: transaction type, principal amount, lending direction, interest accrual date, maturity date, interest payment frequency and interest rate. Cash flow information is generated based on multiple transaction information and preset rules corresponding to the transaction types of each transaction information. Generate a funding exposure information interface based on cash flow information; Determine the funding exposure information corresponding to the trading currency and trading period mentioned on the funding exposure information interface.

5. The device for determining the transfer pricing of funds in interbank lending transactions as described in claim 4, characterized in that, The acquisition module is specifically used for: Obtain interest rate data for multiple currencies; the interest rate data refers to the interest rate data for each currency under multiple standard terms; Interest rate curves are generated based on interest rate data for various currencies across multiple standard maturities.

6. The device for determining the transfer pricing of funds in interbank lending transactions as described in claim 4, characterized in that, The processing module is also used for: After determining the fund transfer pricing of the lending transaction based on the lending direction, transaction amount, transaction term and interest rate, obtain the user's batch processing mode start request; Determine the funding exposure information and interest rates for each currency for the day the batch processing mode is activated; Based on the batch processing mode, the system requests the day's funding exposure information and the interest rates of various currencies to generate overnight lending transactions.

7. A computer device, comprising a memory, a processor, and a computer program stored in the memory and executable on the processor, characterized in that, When the processor executes the computer program, it implements the method of any one of claims 1 to 3.

8. A computer-readable storage medium, characterized in that, The computer-readable storage medium stores a computer program that, when executed by a processor, implements the method of any one of claims 1 to 3.

9. A computer program product, characterized in that, The computer program product includes a computer program that, when executed by a processor, implements the method of any one of claims 1 to 3.

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