Data processing method and device, equipment and medium

Abstract

The invention relates to the technical field of data processing, in particular to a data processing method and device, equipment and a medium. In the embodiment of the invention, a data processing request sent by front-end equipment is received, and according to a product identifier carried in the data processing request, if a product of the product identifier is determined to be of a preset structure type, current transaction data of an account carried in the data processing request is acquired; wherein the current transaction data comprises an estimation date, an interest bearing interval annual time and a discount factor of a preset currency of an expiration date, and starting a thread corresponding to the structure type so as to determine a target estimation value of the account based on the current transaction data, and after a data processing request carrying the current transaction data is received, sending the target estimation value to the current transaction data. Therefore, the target estimated value of the account can be determined in real time based on the current transaction data without accumulating a certain amount of data, so that the user experience is improved.

Description

Technical Field

[0001] The present application relates to the field of data processing technology, and in particular to a data processing method, device, equipment and medium. Background Art

[0002] With the development of social economy, more and more people are focusing on financial products, such as investing in structured deposits. In order to obtain higher returns, people generally choose to invest in relatively stable structured deposits, such as shark fin structured financial products. Purchasing structured deposits will inevitably face the problem of asset valuation.

[0003] At present, the most commonly used valuation method for shark fin structured wealth management products is Monte Carlo simulation. This method usually requires the collection of a large amount of data for simulation to determine the valuation, and it is impossible to determine the valuation of shark fin structured wealth management products in real time.

[0004] Therefore, how to determine the valuation of shark fin structured wealth management products in time becomes an urgent problem to be solved. Summary of the invention

[0005] The present application provides a data processing method, device, equipment and medium to solve the problem that the valuation of shark fin structured financial products cannot be determined in real time in the prior art.

[0006] The present application provides a data processing method, the method comprising:

[0007] Receive a data processing request sent by a front-end device, and obtain a product identifier carried in the data processing request;

[0008] According to the product identifier, if it is determined that the product identified by the product identifier is a preset structure type, the current transaction data of the account carried in the data processing request is obtained, wherein the current transaction data includes the valuation date, the annualized time of the interest calculation interval, and the discount factor of the preset currency on the maturity date;

[0009] A thread corresponding to the structure type is started, and a target valuation of the account is determined based on the current transaction data.

[0010] Furthermore, before determining the target valuation of the account based on the current transaction data, the method further includes:

[0011] Obtaining the terms parameters corresponding to the product identifier, wherein the terms parameters include a guaranteed rate of return, a participation rate, and an initial price of the underlying asset;

[0012] The determining the target valuation of the account based on the current transaction data includes:

[0013] Based on the current transaction data and the term parameters, determine the existing asset value of the preset principal, the guaranteed asset growth value, and the excess asset growth value of the product identified by the product until the maturity date;

[0014] The target valuation of the account is determined based on the existing asset value of the preset principal, the guaranteed asset growth value and the excess asset growth value.

[0015] Furthermore, the process of determining the current asset value of the preset principal includes:

[0016] The current asset value of the preset principal on the maturity date is determined based on the discount factor of the preset currency on the maturity date and the preset principal.

[0017] Furthermore, the process of determining the guaranteed asset growth value includes:

[0018] The guaranteed asset growth value of the preset principal until the maturity date is determined based on the discount factor, the annualized time of the interest calculation interval and the guaranteed asset growth rate.

[0019] Furthermore, the process of determining the excess asset growth value includes:

[0020] Determining the ratio of the participation rate to the initial price of the underlying asset;

[0021] Determining a first valuation of the product identified by the product according to a pricing formula corresponding to the substructure type corresponding to the product identified by the product;

[0022] The excess asset growth value of the product identified by the product until the maturity date is determined based on the annualized time of the interest calculation interval, the first ratio and the first valuation.

[0023] Furthermore, after starting the thread corresponding to the structure type and before determining the target valuation of the account based on the current transaction data, the method further includes:

[0024] Determine whether the substructure type of the product identified by the product is a bidirectional shark fin structure;

[0025] If not, continue to execute the subsequent step of determining the target valuation of the account based on the current transaction data.

[0026] Furthermore, the method further comprises:

[0027] If the substructure type is a two-way shark fin structure, then respectively determining a second valuation of the account when the substructure type is a knock-up call option and a third valuation of the account when the substructure type is a knock-down put option;

[0028] The sum of the second valuation and the third valuation is determined as the target valuation of the account.

[0029] The present application provides a data processing device, the device comprising:

[0030] A receiving module, used for receiving a data processing request sent by a front-end device;

[0031] An acquisition module is used to acquire a product identifier carried in the data processing request; based on the product identifier, if it is determined that the product with the product identifier is a preset structure type, acquire the current transaction data of the account carried in the data processing request, wherein the current transaction data includes the valuation date, the annualized time of the interest calculation interval, and the discount factor of the preset currency on the maturity date;

[0032] A determination module is used to start a thread corresponding to the structure type and determine a target valuation of the account based on the current transaction data.

[0033] Furthermore, the acquisition module is further used to acquire the clause parameters corresponding to the product identifier, wherein the clause parameters include a guaranteed rate of return, a participation rate, and an initial price of the underlying asset;

[0034] The determination module is specifically used to determine the existing asset value of the preset principal, the guaranteed asset growth value, and the excess asset growth value of the product identified by the product until the maturity date based on the current transaction data and the term parameters; and determine the target valuation of the account based on the existing asset value of the preset principal, the guaranteed asset growth value and the excess asset growth value.

[0035] Furthermore, the determination module is specifically used to determine the existing asset value of the preset principal on the maturity date based on the discount factor of the preset currency on the maturity date and the preset principal.

[0036] Furthermore, the determination module is specifically used to determine the guaranteed asset growth value of the preset principal until the maturity date based on the discount factor, the annualized time of the interest calculation interval and the guaranteed asset growth rate.

[0037] Furthermore, the determination module is specifically used to determine the ratio of the participation rate to the initial price of the underlying asset; determine the first valuation of the product identified by the product according to the pricing formula corresponding to the substructure type corresponding to the product identified by the product; and determine the excess asset growth value of the product identified by the product until the maturity date based on the annualized time of the interest calculation interval, the first ratio and the first valuation.

[0038] Furthermore, the determination module is also used to determine whether the substructure type of the product identified by the product is a bidirectional shark fin structure; if not, continue to execute the subsequent steps of determining the target valuation of the account based on the current transaction data.

[0039] Furthermore, the determination module is also used to determine, if the substructure type is a two-way shark fin structure, a second valuation of the account when the substructure type is a knock-out call option, and a third valuation of the account when the substructure type is a knock-out put option; and determine the sum of the second valuation and the third valuation as the target valuation of the account.

[0040] An embodiment of the present application further provides an electronic device, the electronic device comprising a processor, the processor being configured to implement the steps of any of the above-mentioned data processing methods when executing a computer program stored in a memory.

[0041] An embodiment of the present application further provides a computer-readable storage medium storing a computer program, wherein when the computer program is executed by a processor, the steps of any of the data processing methods described above are implemented.

[0042] An embodiment of the present application further provides a computer program product, which includes: a computer program code, and when the computer program code is executed on a computer, the computer executes the steps of any of the above-mentioned data processing methods.

[0043] In the embodiment of the present application, a data processing request sent by a front-end device is received, and based on the product identification carried in the data processing request, if it is determined that the product with the product identification is a preset structure type, the current transaction data of the account carried in the data processing request is obtained, wherein the current transaction data includes the valuation date, the annualized time of the interest calculation interval, and the discount factor of the preset currency on the maturity date, and the thread corresponding to the structure type is started, so as to determine the target valuation of the account based on the current transaction data. After receiving the data processing request carrying the current transaction data, the target valuation of the account can be determined in real time based on the current transaction data, without having to accumulate a certain amount of data, thereby improving the user experience. BRIEF DESCRIPTION OF THE DRAWINGS

[0044] In order to more clearly illustrate the technical solution of the present application, the drawings required for use in the description of the embodiments will be briefly introduced below. Obviously, the drawings described below are only some embodiments of the present application. For ordinary technicians in this field, other drawings can be obtained based on these drawings without paying any creative work.

[0045] Figure 1A schematic diagram of expiration profit and loss of a knock-out call option provided in an embodiment of the present application;

[0046] Figure 2 A schematic diagram of expiration profit and loss of a knock-down put option provided in an embodiment of the present application;

[0047] Figure 3 A schematic diagram of expiration profit and loss of a bidirectional shark fin structure provided in an embodiment of the present application;

[0048] Figure 4 A schematic diagram of a data processing process provided in an embodiment of the present application;

[0049] Figure 5 A schematic diagram of the structure of a data processing device provided in an embodiment of the present application;

[0050] Figure 6 A schematic diagram of the structure of an electronic device provided in an embodiment of the present application. DETAILED DESCRIPTION

[0051] In order to make the purpose, technical scheme and advantages of the present application clearer, the technical scheme in the embodiment of the present application will be clearly and completely described below in conjunction with the drawings in the embodiment of the present application. Obviously, the described embodiment is only a part of the embodiment of the present application, rather than all the embodiments. Based on the embodiments in the present application, all other embodiments obtained by ordinary technicians in the field without making creative work are within the scope of protection of the present application. In the absence of conflict, the embodiments in the present application and the features in the embodiments can be arbitrarily combined with each other. In addition, although the logical order is shown in the flow chart, in some cases, the steps shown or described can be performed in an order different from that here.

[0052] The terms "first" and "second" in the specification and claims of the present application and the above-mentioned drawings are used to distinguish different objects, rather than to describe a specific order. In addition, the term "comprising" and any of their variations are intended to cover non-exclusive protection. For example, a process, method, system, product or device comprising a series of steps or units is not limited to the listed steps or units, but optionally also includes steps or units that are not listed, or optionally also includes other steps or units inherent to these processes, methods, products or devices. "Multiple" in the present application can mean at least two, for example, two, three or more, and the embodiments of the present application are not limited.

[0053] The following is a description of exemplary embodiments of the present application in conjunction with the accompanying drawings, including various details of the embodiments of the present application to facilitate understanding, which should be considered as merely exemplary. Therefore, those of ordinary skill in the art should recognize that various changes and modifications can be made to the embodiments described herein without departing from the scope of the present application. Similarly, for the sake of clarity and conciseness, the description of well-known functions and structures is omitted in the following description. It should be noted that in the embodiments of the present application, certain software, components, models and other existing solutions in the industry may be mentioned, which should be considered as exemplary, and their purpose is only to illustrate the feasibility of the implementation of the technical solution of the present application, but it does not mean that the applicant has or will necessarily use the solution.

[0054] In the technical solution of this application, the acquisition, transmission, storage, and use of data are in compliance with the requirements of relevant national laws and regulations.

[0055] The present application provides a data processing method, device, equipment and medium. In an embodiment of the present application, a data processing request sent by a front-end device is received, and a product identification carried in the data processing request is obtained; based on the product identification, if it is determined that the product with the product identification is a preset structure type, the current transaction data of the account carried in the data processing request is obtained, wherein the current transaction data includes the valuation date, the annualized time of the interest calculation interval, and the discount factor of the preset currency on the maturity date; the thread corresponding to the structure type is started, and the target valuation of the account is determined based on the current transaction data.

[0056] Before introducing the data processing method provided in the embodiment of the present application, in order to facilitate understanding, some terms involved in the embodiment of the present application are first explained below.

[0057] Structured deposits: refers to financial products with certain risks in which investors deposit their legally held assets in a bank, and the bank embeds financial derivatives, including but not limited to forwards, swaps, options or futures, on the basis of ordinary deposits to link investors' returns with interest rates, exchange rates, stock prices, commodity prices, credit, indexes and other financial or non-financial underlying assets.

[0058] Shark Fin Option: It is essentially a barrier option structure, named because its payoff image is similar to the image of a shark fin. If there is only one barrier price, it is a "one-way shark fin" structure. If there are two barrier prices, it is a "two-way shark fin" structure.

[0059] The terms and parameters of a typical bullish shark fin structure linked to the CSI 500 Index are shown in Table 1:

[0060] Table 1

[0061]

[0062] The shark fin structure generally sets a participation rate, that is, the hook ratio, the ratio of the corresponding underlying gain. The one-way shark fin only sets one barrier, and the two-way shark fin sets two barriers. In practical applications, the most commonly used shark fin structures include knock-up call options and knock-down put options. Among them, the knock-up call option means that the barrier price is higher than the exercise price, and the knock-down put option means that the barrier price is lower than the exercise price. Among them, the exercise price is also called the execution price.

[0063] A two-way shark fin can be split into an upward knock-out call option and a downward knock-out put option, namely a wide strangle structure. When the strike prices of the two options are equal, the strangle structure degenerates into a straddle structure.

[0064] Combine the following Figure 1 Explain Up-Out-Call (UOC). Figure 1 A schematic diagram of the expiration profit and loss of a knock-out call option provided in an embodiment of the present application is shown in FIG. Figure 1 As shown in the figure, during the observation period before the expiration date, if the price of the underlying asset is always less than the barrier price B and is not knocked out upward, the option return at expiration is the same as the standard European call option return, and the return can be determined according to the rate of return between the expected minimum rate of return and the expected maximum rate of return. If the barrier price B is touched upward, the option will automatically expire, and cash compensation Q can be obtained according to the rate of return after the knock-out. The return of a knock-out call option with an exercise price of K can be expressed as:

[0065]

[0066] Where t represents the valuation date; T represents the end of observation date; S t Represents the price of the underlying asset on the valuation date; S T represents the price of the underlying asset on the end date of the observation period; K represents the exercise price; B represents the barrier price; Q represents the cash compensation Q after the strike; UOC BS represents the payoff of the upward knock-out feedback option; t′ represents any date between the valuation date t and the observation end date T; S t′ Represents the price of the underlying asset at date t′.

[0067] Therefore, the above formula can be understood as follows: if the underlying asset price S at any date t′ is t′ If it is less than the barrier price B, then the profit can be S T -K, or 0. Specifically, S TThe maximum value between -K and 0 is determined as the obtained profit. If the price of the underlying asset on any date t′ is not less than the barrier price B, the obtained profit is the cash compensation Q.

[0068] Combine the following Figure 2 The Down-Out-Put (UOP) option is explained. Figure 2 A schematic diagram of a knock-down put option expiration profit and loss provided in an embodiment of the present application is shown in FIG. Figure 2 As shown in the figure, during the observation period before the expiration date, if the price of the underlying asset is always greater than the barrier price B and has not been knocked down, the option return at expiration is the same as the standard European put option return, and the return can be determined according to the rate of return between the expected minimum rate of return and the expected maximum rate of return; if the barrier price B is touched downward, the option will automatically expire, and cash compensation Q can be obtained according to the rate of return after the knock-out. The return of a knock-down put option with an exercise price of K can be expressed as:

[0069]

[0070] Where t represents the valuation date; T represents the end of observation date; S t Represents the price of the underlying asset on the valuation date; S T represents the price of the underlying asset on the end date of the observation period; K represents the exercise price; B represents the barrier price; Q represents the cash compensation Q after the strike; UOP BS represents the payoff of knocking out a put option; t′ represents any date between the valuation date t and the observation end date T; S t′ Represents the price of the underlying asset at date t′.

[0071] Therefore, the above formula can be understood as the price of the underlying asset S at any date t′ t′ If the price is greater than the barrier price B, then the profit obtained can be the exercise price K minus the price of the underlying asset S on the end of the observation day. T , and 0; if the price of the underlying asset on any date t′ is not greater than the barrier price B, then the profit obtained is the cash compensation Q.

[0072] Figure 3 A schematic diagram of the expiration profit and loss of a bidirectional shark fin structure provided in an embodiment of the present application is shown in FIG. Figure 3 As shown in Figure 2, the two-way shark fin structure can be understood as a combination of an upward knock-out call option and a downward knock-out put option, such as Figure 3 As shown, Figure 3 The left half (left and right in the diagram) of the yield on the middle vertical axis can be seen as a schematic diagram of the profit and loss of a put option upon expiration, and the right half (left and right in the diagram) of the yield on the vertical axis can be seen as a schematic diagram of the profit and loss of a call option upon expiration.

[0073] Embodiment 1:

[0074] Figure 4 A schematic diagram of a data processing process provided in an embodiment of the present application, such as Figure 4 As shown, the process includes the following steps:

[0075] S401: Receive a data processing request sent by a front-end device, and obtain a product identifier carried in the data processing request.

[0076] A data processing method provided in an embodiment of the present application is applied to an electronic device, which may be a server, a PC, etc.

[0077] In the related art, the most commonly used valuation method for shark fin structures is Monte Carlo simulation. The basic steps of Monte Carlo simulation are as follows:

[0078] (1) Assume that the price of the underlying asset S follows a random process and sample the random paths of S in a risk-neutral world;

[0079] (2) Based on a series of discrete observation days of the shark fin structure, determine whether to knock out and calculate the profit;

[0080] (3) Repeat steps 1 and 2 to obtain many samples of the product's returns in a risk-neutral world;

[0081] (4) Calculate the average value of the returns;

[0082] (5) Discount the expected return at the risk-free rate to obtain the valuation of the shark fin structure.

[0083] Although the above method can accurately determine the valuation of the shark fin structure, the biggest problem with Monte Carlo simulation is that it is slow and requires a large number of sample simulations to improve the valuation accuracy. Generally speaking, at least 20,000 simulations are required to achieve a good convergence effect. Based on this, the valuation of the account cannot be determined in real time, which brings about the problem of poor user experience. In order to determine the user's valuation in real time, in an embodiment of the present application, the data sent by the front-end device can be processed, wherein the front-end device can be an electronic device deployed at a business counter, or it can be an electronic device held by a user, such as a user's mobile phone, which has an application for data processing installed in it.

[0084] In an embodiment of the present application, a data processing request sent by a front-end device can be received, so that a corresponding processing operation is performed according to the information carried in the data processing request. Since the data processing flow corresponding to different products is different, after receiving the data processing request sent by the front-end device, the product identification carried in the data processing request can be obtained, so as to determine the next processing operation to be performed based on the product identification.

[0085] S402: Based on the product identifier, if it is determined that the product with the product identifier is a preset structure type, obtain the current transaction data of the account carried in the data processing request, wherein the current transaction data includes the valuation date, the annualized time of the interest calculation interval, and the discount factor of the preset currency on the maturity date.

[0086] After obtaining the product identification carried in the data processing request, it is possible to determine whether the product identified by the product is a preset structure type according to the product identification. Wherein, the structure type refers to a structured deposit type. In the embodiment of the present application, the preset structure type may be a shark fin structured deposit type. In other words, it is determined whether the product identified by the product is a shark fin structured deposit type. If so, the current transaction data of the account carried in the data processing request can be obtained. Specifically, the current transaction data may include the valuation date, the annualized time of the interest-bearing interval, and the discount factor of the preset currency on the maturity date. The current transaction data may be input by the user on the front-end device according to the business to be handled, or may be obtained in the database, or may be calculated based on a preset algorithm, or may be partially input, partially obtained in the database, or partially calculated based on a preset algorithm, etc. For example, the valuation date and the annualized time of the interest-bearing interval may be input by the user, and the discount factor of the preset currency on the maturity date may be calculated based on a preset algorithm. How to determine the discount factor of the preset currency on the maturity date is a prior art, and the embodiment of the present application will not be repeated here. Wherein, a technician in this field can configure the preset currency as needed, for example, the preset currency may be RMB.

[0087] S403: Start a thread corresponding to the structure type, and determine a target valuation of the account based on the current transaction data.

[0088] In order to determine the target valuation of the account that sent the data processing request, after obtaining the current transaction data, the thread corresponding to the preset structure type can be enabled. The started thread can be one or more. Exemplarily, if the data processing request requires determination of the target valuation of multiple accounts, then when starting the thread, multiple threads can be used, and different threads are used to determine the target valuation of different accounts.

[0089] After the thread is started, the target valuation of the account can be determined based on the current transaction data obtained. In an embodiment of the present application, the started thread can call a pre-selected and trained valuation model, and input the current transaction data into the pre-trained valuation model to determine the target valuation. The started thread can also call a pre-written valuation calculation program code, and fill the current transaction data into the set position of the program code to obtain a complete running code, and run it to complete the calculation of the target valuation. After obtaining the target valuation, the target valuation can be directly output for display, or the target valuation can be sent to other electronic devices, so that the other electronic devices perform specific downstream task processing based on the target valuation, for example, risk management based on the target valuation, setting terms based on the target valuation, etc.

[0090] In the embodiment of the present application, a data processing request sent by a front-end device is received, and based on the product identification carried in the data processing request, if it is determined that the product with the product identification is a preset structure type, the current transaction data of the account carried in the data processing request is obtained, wherein the current transaction data includes the valuation date, the annualized time of the interest calculation interval, and the discount factor of the preset currency on the maturity date, and the thread corresponding to the structure type is started, so as to determine the target valuation of the account based on the current transaction data. After receiving the data processing request carrying the current transaction data, the target valuation of the account can be determined in real time based on the current transaction data, without having to accumulate a certain amount of data, thereby improving the user experience.

[0091] Embodiment 2:

[0092] In order to improve the accuracy of determining the target valuation, based on the above embodiment, in the embodiment of the present application, before determining the target valuation of the account based on the current transaction data, the method further includes:

[0093] Obtaining the terms parameters corresponding to the product identifier, wherein the terms parameters include a guaranteed rate of return, a participation rate, and an initial price of the underlying asset;

[0094] The determining the target valuation of the account based on the current transaction data includes:

[0095] Based on the current transaction data and the term parameters, determine the existing asset value of the preset principal, the guaranteed asset growth value, and the excess asset growth value of the product identified by the product until the maturity date;

[0096] The target valuation of the account is determined based on the existing asset value of the preset principal, the guaranteed asset growth value and the excess asset growth value.

[0097] Before determining the target valuation of the account based on the current transaction data, the terms and conditions parameters corresponding to the product identifier can also be obtained. Specifically, the terms and conditions parameters may include the guaranteed rate of return, the participation rate and the initial price of the underlying asset. Of course, the terms and conditions parameters may also be other parameters described in Table 1 above. Among them, the guaranteed rate of return can be understood as the minimum rate of return during the preparatory period.

[0098] For shark fin structured deposits, the maturity income includes not only the principal but also the guaranteed income. If the barrier price is not touched during the observation period, additional income will be obtained. In order to determine the target valuation of the account on the maturity date, in the embodiment of the present application, after obtaining the terms and conditions parameters, when determining the target valuation of the account based on the current transaction data, the existing asset value and the guaranteed asset growth value of the preset principal on the maturity date can also be determined based on the current transaction data and the terms and conditions parameters. Thus, the target valuation of the account is determined based on the determined existing asset value, guaranteed asset growth value and excess asset growth value of the preset principal on the maturity date.

[0099] In the embodiment of the present application, the process of determining the current asset value of the preset principal includes:

[0100] The current asset value of the preset principal on the maturity date is determined based on the discount factor of the preset currency on the maturity date and the preset principal.

[0101] If the preset currency is RMB, then the discount factor can represent the present value of 1 yuan on the due date, that is, how much money 1 yuan at that time is converted into now. When determining the current asset value of the preset principal, the current asset value of the preset principal on the due date can be determined based on the discount factor and the preset principal. Specifically, the product of the preset principal and the discount factor can be determined as the current asset value.

[0102] In the embodiment of the present application, the process of determining the guaranteed asset growth value includes:

[0103] The guaranteed asset growth value of the preset principal until the maturity date is determined based on the discount factor, the annualized time of the interest calculation interval and the guaranteed asset growth rate.

[0104] according to Figure 1-Figure 3 It can be seen that no matter whether the barrier price is touched during the observation period, at least the normal value of the guaranteed asset will be obtained based on the expected minimum rate of return at maturity. Therefore, in the embodiment of the present application, when determining the growth value of the guaranteed asset, the growth value of the guaranteed asset of the preset principal on the maturity date can be determined based on the discount factor, the annualized time of the interest calculation interval and the guaranteed asset growth rate.

[0105] Specifically, the guaranteed asset growth value of the preset principal until the maturity date can be determined based on the following formula:

[0106] Guaranteed asset growth value = discount factor * annualized interest-bearing period * guaranteed asset growth rate * preset principal.

[0107] In the embodiment of the present application, the process of determining the excess asset growth value includes:

[0108] Determining the ratio of the participation rate to the initial price of the underlying asset;

[0109] Determining a first valuation of the product identified by the product according to a pricing formula corresponding to the substructure type corresponding to the product identified by the product;

[0110] The excess asset growth value of the product identified by the product until the maturity date is determined based on the annualized time of the interest calculation interval, the first ratio and the first valuation.

[0111] When determining the value of excess asset growth, the ratio of the participation rate to the initial price of the underlying asset can be determined.

[0112] Due to the pricing formula of the standard single barrier option proposed under the Black-Scholes Model framework, the valuation of the knock-up call option and the valuation of the knock-down put option can be calculated. Since the shark fin structured deposit includes the substructure types of the knock-up call option, the knock-down put option and the two-way shark fin, when determining the excess asset growth value, the substructure type corresponding to the product of the product identifier can be determined according to the product identifier carried in the data processing request, and then the first valuation of the product of the product identifier can be determined according to the pricing formula corresponding to the substructure type.

[0113] After the first valuation is determined, the excess asset growth value of the product identified by the product identifier until the maturity date can be determined based on the annualized time of the interest calculation interval, the first ratio, and the first valuation.

[0114] Specifically, the excess asset growth value can be determined based on the following formula:

[0115] Excess asset growth value = annualized interest-bearing period * first ratio * first valuation.

[0116] The pricing formula for knock-up call options is: A-B'+C-D+F; the pricing formula for knock-down put options is: A-B'+C-D+F. Among them, A, B', C, D, and F are expressed using the following formulas respectively:

[0117]

[0118] In the above formula, x 1 、x 2 ,y 1 ,y2 , z, μ, λ, b can be expressed as:

[0119]

[0120] Where φ represents an up-and-out call option or a down-and-out put option. When it is an up-and-out call option, φ = +1; when it is a down-and-out put option, φ = -1; S t represents the price of the underlying asset on the valuation date; r d represents the continuously compounded risk-free interest rate; T represents the end date of observation; t represents the valuation date; N(x) represents the cumulative probability distribution function of the standard normal distribution; K represents the exercise price; B represents the barrier price; S represents the price of the underlying asset to which it is linked; σ represents the implied volatility; η represents the type of barrier price. When it is an up-and-out call option, η = -1 represents the upper barrier, and when it is a down-and-out put option, η = +1 represents the lower barrier; Q represents the pre-determined cash return; q represents the continuously compounded return rate of the underlying asset.

[0121] For the sake of easy understanding, the following uses a principal of 1 yuan to illustrate the process of determining the target valuation of the above-mentioned account.

[0122] In order to represent the shark fin structure using mathematical formulas, through the analysis of Figure 1-Figure 3 , the core trading elements of the shark fin structure can be abstracted and defined as follows:

[0123] For an up-and-out call option and a down-and-out put option, the exercise price is K; the barrier price is B; the initial price is S 0 ; the participation rate is p.

[0124] For a two-way shark fin structure, the exercise prices are K 1 , K 2 ; the barrier prices are B 1 , B 2 , B 2 > B 1 ; the initial price is S 0 ; the participation rate is p.

[0125] For an up-and-out call option, the exercise price K is greater than or equal to the initial price S 0 , and less than the barrier price B, which can be expressed as: S 0 ≤ K < B. The yield can include the following situations:

[0126] 1) The barrier price B has never been knocked out.

[0127] At the expiration date and observation date, S < K, the yield is R1;

[0128] At the expiration date and observation date, S ≥ K, the yield is R 1+p*(S T -K) / S 0 .

[0129] 2) The barrier price B was hit and the rate of return was R2.

[0130] For a knock-up call option, the strike price K is greater than the barrier price B and less than or equal to the initial price S. 0 , which can be expressed as: B <K≤S 0 The rate of return may include the following:

[0131] 1) Barrier price B is never hit.

[0132] On the observation day of maturity, S>K, the rate of return is R 1 ;

[0133] On the observation day of maturity, K>S≥B, the rate of return R 1 +p*(KS T ) / S 0 .

[0134] 2) The barrier price B was hit, and the rate of return was R 2 .

[0135] For a two-way shark fin structure, the rate of return may include the following:

[0136] 1) The barrier price B was hit 2 , the rate of return is R 3 .

[0137] 2) The barrier price B was hit 1 , the rate of return is R 4 .

[0138] 3) Barrier price B is never hit 1 and B 2 .

[0139] Expiration date observation day, K 2 T ≤B 2 , the rate of return R 1 +p*(S T -K 2 ) / S 0 ;

[0140] Expiration date observation day, K 1 T <K 2 , the rate of return is R 1 ;

[0141] Expiration date observation day, B 1 ≤S T <K​​1 , the rate of return R 1 +p*(K 1 -S T ) / S 0 .

[0142] Combine the following Figure 1 The target valuation determination process of the substructure type of the knock-out call option is explained. If the principal is 1 yuan, the mathematical representation of the knock-out call option is:

[0143]

[0144] The 1 in the above formula means that the principal is 1 yuan. The above formula is sorted out into three parts. The first part is DF CNY (t,T m ), which can be understood as the present value of the principal, that is, the current asset value of the principal; the second part is DF CNY (t,T m )*Δ(T 0 ,T m )R 1 , which can be understood as the present value of the guaranteed return, that is, the guaranteed asset growth value of the preset principal; the third part is It can be understood as the present value of the derivative, that is, the excess asset growth value of the product identified by the product until the maturity date.

[0145] The third part can be further sorted out to obtain the following formula:

[0146]

[0147] In the above formula It can be considered as a knock-out call option with cash return. The knock-out profit is This part can be replaced by the pricing formula of the standard single barrier option corresponding to the knock-out call option.

[0148] The following is the above formula V(t) and V C The parameters in (t) are explained as follows:

[0149] E Q represents the risk-neutral expected value; DF CNY (t,T m ) represents the discount factor of RMB on the maturity date; Δ(T 0 ,T m ) represents the annualized time of the interest-bearing interval; R1 represents the guaranteed rate of return; Prob(S T<K) represents the probability that the price of the underlying asset at the expiration time is less than the exercise price; p represents the participation rate; S T represents the price of the underlying asset at the expiration date; K represents the exercise price; S 0 represents the initial price of the underlying asset; Prob(S T ≥K) represents the probability that the price of the underlying asset at the expiration time is greater than or equal to the exercise price; I(S t′ <B) represents the probability that the price of the underlying asset at time t′ is less than the barrier price; R 2 represents the knock-out yield; I(S t′ ≥B) represents the probability that the price of the underlying asset at time t′ is less than the barrier price; t′ represents any date between the valuation date t and the observation end date T.

[0150] For the sub-structure type of the down-and-out put option, similarly, it can be mathematically expressed as:

[0151]

[0152] In the above formula can be sorted out as:

[0153]

[0154] In the above formula can be regarded as a down-and-out put option, with a cash return at the same time. The knock-out gain is This part can be replaced by the pricing formula of the corresponding standard single-barrier option of the up-and-out call option.

[0155] Example 3:

[0156] In order to further improve the accuracy of target valuation determination, based on the above embodiments, in the embodiment of the present application, after starting the thread corresponding to the structure type and before determining the target valuation of the account based on the current transaction data, the method further includes:

[0157] Judge whether the sub-structure type of the product with the product identifier is a two-way shark fin structure;

[0158] If not, then continue to execute the subsequent steps of determining the target valuation of the account based on the current transaction data.

[0159] For the two-way shark fin structure, this substructure type is equivalent to buying an upward knock-out call option and a downward knock-out put option at the same time, that is, a strangle structure. When the two exercise prices K1=K2, the strangle becomes a straddle. Generally speaking, the exercise price is set to the initial price of the underlying asset, so that the barrier level setting becomes a percentage relative to the initial price change. In addition, in practice, the upward knock-out barrier and the downward knock-out barrier can be asymmetric, that is, the participation rate and the barrier price can be different, thus obtaining an asymmetric two-way shark fin structure.

[0160] In order to accurately determine the target valuation, after starting the thread corresponding to the structure type, before determining the target valuation of the account based on the current transaction data, it is also possible to determine whether the substructure type of the product identified by the product is a two-way shark fin structure. If so, the subsequent steps of determining the target valuation of the account based on the current transaction data can be continued. In other words, when the substructure type of the product identified by the product is a knock-out call option or a knock-out put option, the subsequent steps of determining the target valuation of the account based on the current transaction data can be continued.

[0161] In order to further improve the accuracy of target valuation determination, based on the above embodiments, in the embodiment of the present application, the method further includes:

[0162] If the substructure type is a two-way shark fin structure, then respectively determining a second valuation of the account when the substructure type is a knock-up call option and a third valuation of the account when the substructure type is a knock-down put option;

[0163] The sum of the second valuation and the third valuation is determined as the target valuation of the account.

[0164] If it is determined that the substructure type of the product identified by the product is a bidirectional shark fin structure,

[0165] Since the substructure type of the two-way shark fin structure is equivalent to buying a knock-up call option and a knock-down put option at the same time, if it is determined that the substructure type of the product identified by the product is a two-way shark fin structure, the second valuation of the account is determined when the substructure type is a knock-up call option, and the third valuation of the account is determined when the substructure type is a knock-down put option. The process of determining the valuation of the account in the case of a knock-up call option and a knock-down put option has been described in detail in the above embodiments, and will not be repeated in the embodiments of the present application.

[0166] After obtaining the second valuation corresponding to the account in the case of an upward knock-out call option and the third valuation in the case of a downward knock-out put option, the sum of the second valuation and the third valuation can be determined as the target valuation of the account.

[0167] Embodiment 4:

[0168] Based on the same inventive concept, the embodiment of the present application provides a data processing device, Figure 5 For a schematic diagram of a data processing device structure provided in an embodiment of the present application, please refer to Figure 5 , the device comprises:

[0169] Receiving module 501, used for receiving a data processing request sent by a front-end device;

[0170] The acquisition module 502 is used to acquire the product identification carried in the data processing request; according to the product identification, if it is determined that the product with the product identification is a preset structure type, the current transaction data of the account carried in the data processing request is acquired, wherein the current transaction data includes the valuation date, the annualized time of the interest calculation interval, and the discount factor of the preset currency on the maturity date;

[0171] The determination module 503 is used to start a thread corresponding to the structure type and determine a target valuation of the account based on the current transaction data.

[0172] In a possible implementation, the acquisition module 502 is further used to acquire the term parameters corresponding to the product identifier, the term parameters including the guaranteed rate of return, the participation rate and the initial price of the underlying asset;

[0173] The determination module 503 is specifically used to determine the existing asset value of the preset principal, the guaranteed asset growth value, and the excess asset growth value of the product identified by the product until the maturity date based on the current transaction data and the term parameters; and determine the target valuation of the account based on the existing asset value of the preset principal, the guaranteed asset growth value and the excess asset growth value.

[0174] In a possible implementation, the determination module 503 is specifically configured to determine the current asset value of the preset principal on the maturity date according to the discount factor of the preset currency on the maturity date and the preset principal.

[0175] In a possible implementation, the determination module 503 is specifically configured to determine the guaranteed asset growth value of the preset principal until the maturity date according to the discount factor, the annualized time of the interest calculation interval and the guaranteed asset growth rate.

[0176] In one possible implementation, the determination module 503 is specifically used to determine the ratio of the participation rate to the initial price of the underlying asset; determine the first valuation of the product identified by the product according to the pricing formula corresponding to the substructure type corresponding to the product identified by the product; and determine the excess asset growth value of the product identified by the product until the maturity date according to the annualized time of the interest calculation interval, the first ratio and the first valuation.

[0177] In a possible implementation, the determination module 503 is further used to determine whether the substructure type of the product identified by the product is a bidirectional shark fin structure; if not, continue to execute the subsequent step of determining the target valuation of the account based on the current transaction data.

[0178] In one possible implementation, the determination module 503 is also used to determine, if the substructure type is a two-way shark fin structure, a second valuation of the account when the substructure type is a knock-out call option, and a third valuation of the account when the substructure type is a knock-out put option; and determine the sum of the second valuation and the third valuation as the target valuation of the account.

[0179] Embodiment 5:

[0180] Based on the same inventive concept, an embodiment of the present application provides an electronic device, which can implement the steps of the data processing method discussed above. Figure 6 A schematic diagram of the structure of an electronic device provided in an embodiment of the present application is shown in FIG. Figure 6 As shown, it includes: a processor 601, a communication interface 602, a memory 603 and a communication bus 604, wherein the processor 601, the communication interface 602, and the memory 603 communicate with each other through the communication bus 604;

[0181] The memory 603 stores a computer program. When the program is executed by the processor 601, the processor 601 performs the following steps:

[0182] Receive a data processing request sent by a front-end device, and obtain a product identifier carried in the data processing request;

[0183] According to the product identifier, if it is determined that the product identified by the product identifier is a preset structure type, the current transaction data of the account carried in the data processing request is obtained, wherein the current transaction data includes the valuation date, the annualized time of the interest calculation interval, and the discount factor of the preset currency on the maturity date;

[0184] A thread corresponding to the structure type is started, and a target valuation of the account is determined based on the current transaction data.

[0185] In a possible implementation manner, before determining the target valuation of the account based on the current transaction data, the method further includes:

[0186] Obtaining the terms parameters corresponding to the product identifier, wherein the terms parameters include a guaranteed rate of return, a participation rate, and an initial price of the underlying asset;

[0187] The determining the target valuation of the account based on the current transaction data includes:

[0188] Based on the current transaction data and the term parameters, determine the existing asset value of the preset principal, the guaranteed asset growth value, and the excess asset growth value of the product identified by the product until the maturity date;

[0189] The target valuation of the account is determined based on the existing asset value of the preset principal, the guaranteed asset growth value and the excess asset growth value.

[0190] In a possible implementation, the process of determining the current asset value of the preset principal includes:

[0191] The current asset value of the preset principal on the maturity date is determined based on the discount factor of the preset currency on the maturity date and the preset principal.

[0192] In a possible implementation, the process of determining the guaranteed asset growth value includes:

[0193] The guaranteed asset growth value of the preset principal until the maturity date is determined based on the discount factor, the annualized time of the interest calculation interval and the guaranteed asset growth rate.

[0194] In a possible implementation, the process of determining the excess asset growth value includes:

[0195] Determining the ratio of the participation rate to the initial price of the underlying asset;

[0196] Determining a first valuation of the product identified by the product according to a pricing formula corresponding to the substructure type corresponding to the product identified by the product;

[0197] The excess asset growth value of the product identified by the product until the maturity date is determined based on the annualized time of the interest calculation interval, the first ratio and the first valuation.

[0198] In a possible implementation manner, after starting the thread corresponding to the structure type and before determining the target valuation of the account based on the current transaction data, the method further includes:

[0199] Determine whether the substructure type of the product identified by the product is a bidirectional shark fin structure;

[0200] If not, continue to execute the subsequent step of determining the target valuation of the account based on the current transaction data.

[0201] In a possible implementation, the method further includes:

[0202] If the substructure type is a two-way shark fin structure, then respectively determining a second valuation of the account when the substructure type is a knock-up call option and a third valuation of the account when the substructure type is a knock-down put option;

[0203] The sum of the second valuation and the third valuation is determined as the target valuation of the account.

[0204] Since the principle of solving the problem by the above electronic device is similar to the data processing method, the implementation of the above electronic device can refer to the embodiment of the method, and the repeated parts will not be repeated.

[0205] The communication bus mentioned in the above electronic device can be a Peripheral Component Interconnect (PCI) bus or an Extended Industry Standard Architecture (EISA) bus, etc. The communication bus can be divided into an address bus, a data bus, a control bus, etc. For ease of representation, only one thick line is used in the figure, but it does not mean that there is only one bus or one type of bus. The communication interface 602 is used for communication between the above electronic device and other devices. The memory can include a random access memory (RAM) and can also include a non-volatile memory (NVM), such as at least one disk storage. Optionally, the memory can also be at least one storage device located away from the aforementioned processor.

[0206] The above-mentioned processor can be a general-purpose processor, including a central processing unit, a network processor (Network Processor, NP), etc.; it can also be a digital signal processing processor (Digital Signal Processing, DSP), an application-specific integrated circuit, a field programmable gate array or other programmable logic device, a discrete gate or transistor logic device, a discrete hardware component, etc.

[0207] Embodiment 6:

[0208] Based on the same inventive concept, an embodiment of the present application provides a computer-readable storage medium, in which a computer program executable by a processor is stored, and when the program is run on the processor, the processor executes any of the data processing methods discussed above. Since the principle of solving the problem by the above-mentioned computer-readable storage medium is similar to that of the data processing method, the implementation of the above-mentioned computer-readable storage medium can refer to the implementation of the method, and the repeated parts will not be repeated.

[0209] Embodiment 7:

[0210] Based on the same inventive concept, the embodiment of the present application also provides a computer program product, which includes: computer program code, when the computer program code is run on a computer, the computer executes any of the data processing methods discussed above. Since the principle of solving the problem by the above computer program product is similar to that of the data processing method, the implementation of the above computer program product can refer to the implementation of the method, and the repeated parts will not be repeated.

[0211] In an embodiment of the present application, a data processing request sent by a front-end device is received. Based on the product identifier carried in the data processing request, if it is determined that the product with the product identifier is a preset structure type, the current transaction data of the account carried in the data processing request is obtained, wherein the current transaction data includes the valuation date, the annualized time of the interest calculation interval, and the discount factor of the preset currency on the maturity date, and the thread corresponding to the structure type is started, thereby determining the target valuation of the account based on the current transaction data. After receiving the data processing request carrying the current transaction data, the target valuation of the account can be determined in real time based on the current transaction data, without having to accumulate a certain amount of data, thereby improving the user experience.

[0212] 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 in one or more computer-usable storage media (including but not limited to disk storage, CD-ROM, optical storage, etc.) that include computer-usable program code.

[0213] The present application is described with reference to the flowcharts and / or block diagrams of the methods, devices (systems), and computer program products according to the present application. It should be understood that each process and / or box in the flowchart and / or block diagram, as well as the combination of the processes and / or boxes 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.

[0214] 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.

[0215] 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.

[0216] Obviously, those skilled in the art can make various changes and modifications to the present application without departing from the spirit and scope of the present application. Thus, if these modifications and variations of the present application fall within the scope of the claims of the present application and their equivalents, the present application is also intended to include these modifications and variations.

Claims

1. A data processing method, characterized in that: The method comprises: Receive a data processing request sent by a front-end device, and obtain a product identifier carried in the data processing request; According to the product identifier, if it is determined that the product identified by the product identifier is a preset structure type, the current transaction data of the account carried in the data processing request is obtained, wherein the current transaction data includes the valuation date, the annualized time of the interest calculation interval, and the discount factor of the preset currency on the maturity date; A thread corresponding to the structure type is started, and a target valuation of the account is determined based on the current transaction data.

2. The method according to claim 1, characterized in that Before determining the target valuation of the account based on the current transaction data, the method further includes: Obtaining the terms parameters corresponding to the product identifier, wherein the terms parameters include a guaranteed rate of return, a participation rate, and an initial price of the underlying asset; The determining the target valuation of the account based on the current transaction data includes: Based on the current transaction data and the term parameters, determine the existing asset value of the preset principal, the guaranteed asset growth value, and the excess asset growth value of the product identified by the product until the maturity date; The target valuation of the account is determined based on the existing asset value of the preset principal, the guaranteed asset growth value and the excess asset growth value.

3. The method according to claim 2, characterized in that The process of determining the existing asset value of the preset principal includes: The current asset value of the preset principal on the maturity date is determined based on the discount factor of the preset currency on the maturity date and the preset principal.

4. The method according to claim 2, characterized in that: The process of determining the guaranteed asset growth value includes: The guaranteed asset growth value of the preset principal until the maturity date is determined based on the discount factor, the annualized time of the interest calculation interval and the guaranteed asset growth rate.

5. The method according to claim 2, characterized in that: The process of determining the excess asset growth value includes: Determining the ratio of the participation rate to the initial price of the underlying asset; Determining a first valuation of the product identified by the product according to a pricing formula corresponding to the substructure type corresponding to the product identified by the product; The excess asset growth value of the product identified by the product until the maturity date is determined based on the annualized time of the interest calculation interval, the first ratio and the first valuation.

6. The method according to claim 1, characterized in that After starting the thread corresponding to the structure type and before determining the target valuation of the account based on the current transaction data, the method further includes: Determine whether the substructure type of the product identified by the product is a bidirectional shark fin structure; If not, continue to execute the subsequent step of determining the target valuation of the account based on the current transaction data.

7. The method according to claim 6, characterized in that The method further comprises: If the substructure type is a two-way shark fin structure, then respectively determining a second valuation of the account when the substructure type is a knock-up call option and a third valuation of the account when the substructure type is a knock-down put option; The sum of the second valuation and the third valuation is determined as the target valuation of the account.

8. A data processing device, characterized in that: The device comprises: A receiving module, used for receiving a data processing request sent by a front-end device; An acquisition module is used to acquire a product identifier carried in the data processing request; based on the product identifier, if it is determined that the product with the product identifier is a preset structure type, acquire the current transaction data of the account carried in the data processing request, wherein the current transaction data includes the valuation date, the annualized time of the interest calculation interval, and the discount factor of the preset currency on the maturity date; A determination module is used to start a thread corresponding to the structure type and determine a target valuation of the account based on the current transaction data.

9. The device according to claim 8, characterized in that The acquisition module is further used to acquire the term parameters corresponding to the product identifier, wherein the term parameters include a guaranteed rate of return, a participation rate, and an initial price of the underlying asset; The determination module is specifically used to determine the existing asset value of the preset principal, the guaranteed asset growth value, and the excess asset growth value of the product identified by the product until the maturity date based on the current transaction data and the term parameters; and determine the target valuation of the account based on the existing asset value of the preset principal, the guaranteed asset growth value and the excess asset growth value.

10. The device according to claim 9, characterized in that The determination module is specifically used to determine the existing asset value of the preset principal on the maturity date based on the discount factor of the preset currency on the maturity date and the preset principal.

11. The device according to claim 9, characterized in that The determination module is specifically used to determine the guaranteed asset growth value of the preset principal until the maturity date according to the discount factor, the annualized time of the interest calculation interval and the guaranteed asset growth rate.

12. The device according to claim 9, characterized in that The determination module is specifically used to determine the ratio of the participation rate to the initial price of the underlying asset; determine the first valuation of the product identified by the product according to the pricing formula corresponding to the substructure type corresponding to the product identified by the product; and determine the excess asset growth value of the product identified by the product until the maturity date based on the annualized time of the interest calculation interval, the first ratio and the first valuation.

13. The device according to claim 8, characterized in that The determination module is further used to determine whether the substructure type of the product identified by the product is a bidirectional shark fin structure; if not, continue to execute the subsequent step of determining the target valuation of the account based on the current transaction data.

14. The device according to claim 13, characterized in that The determination module is also used to determine, if the substructure type is a two-way shark fin structure, a second valuation of the account when the substructure type is an upward knock-out call option, and a third valuation of the account when the substructure type is a downward knock-out put option; and determine the sum of the second valuation and the third valuation as the target valuation of the account.

15. An electronic device, characterized in that: The electronic device comprises a processor, and the processor is used to implement the steps of the data processing method according to any one of claims 1 to 7 when executing a computer program stored in a memory.

16. A computer-readable storage medium, characterized in that: It stores a computer program, which, when executed by a processor, implements the steps of the data processing method according to any one of claims 1 to 7.

17. A computer program product, characterized in that The computer program product comprises: a computer program code, and when the computer program code is run on a computer, the computer is enabled to execute the steps of the data processing method as claimed in any one of claims 1 to 7.

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