Transferable debt valuation method and related device

Abstract

The invention provides a transferable debt valuation method and a related device, relates to electric digital data, and aims to analyze the activeness of a target transferable debt when the target transferable debt needs to be subjected to valuation calculation, and to perform valuation calculation on the valuation of the target transferable debt by adopting a model method when the target transferable debt is a low-activeness transferable debt. And when the target transferable debt is a general activeness transferable debt, a weighted transaction market method is adopted to carry out valuation calculation on the target transferable debt, and when the target transferable debt is an active transferable debt, a market method is adopted to carry out valuation calculation on the target transferable debt. The method can fully capture the internal value and complexity of the transferable debt, and enables the estimation result to be more accurate and reliable.

Description

Technical Field

[0001] The present invention relates to the field of electrical digital data, and in particular to a convertible bond valuation method and related devices. Background Art

[0002] With the deepening reform of the equity capital market, the convertible bond and exchangeable bond markets have flourished, and the overall number and scale of convertible bonds and exchangeable bonds have increased year by year. With the net value management of asset management products and the full implementation of the new financial instrument standards, market institutions have an increasing demand for convertible bond valuations. As a financial instrument that combines the nature of debt and equity, the valuation method of convertible bonds is more complicated than that of ordinary bonds and stocks. The intrinsic value of convertible bonds is affected by activity. The higher the activity, the higher the intrinsic value for traders. Traditional pricing models such as the Black-Scholes model are difficult to fully capture the intrinsic value of convertible bonds, which makes their valuation results unreliable. Summary of the invention

[0003] In view of this, an embodiment of the present invention provides a convertible bond valuation method and related devices to achieve accurate valuation calculation of convertible bonds.

[0004] To achieve the above objectives, the embodiments of the present invention provide the following technical solutions:

[0005] A convertible bond valuation method, comprising:

[0006] Obtain the activity of the target convertible bond;

[0007] When the activity level is lower than a first activity level threshold, a valuation calculation is performed on the target convertible bond using a model method;

[0008] When the activity level is not lower than the first activity level threshold and lower than the second activity level threshold, the target convertible bond is valued using the weighted transaction market method;

[0009] When the activity level is not lower than the second activity level threshold, the market method is used to perform valuation calculation on the target convertible bond.

[0010] Optionally, in the above convertible bond valuation method, obtaining the activity of the target convertible bond includes:

[0011] The turnover rate of the target convertible bond is obtained, and the turnover rate is used as the activity of the target convertible bond.

[0012] Optionally, in the above convertible bond valuation method, before determining the target convertible bond, it also includes:

[0013] Extracting relevant data of each convertible bond from the target data source, wherein the relevant data includes bond information and a convertible bond closing price table;

[0014] Preprocessing the relevant data, wherein the preprocessing includes data cleaning, conversion and integration;

[0015] The preprocessed relevant data is stored in the convertible bond data warehouse, and a corresponding relationship is established between the preprocessed relevant data and each convertible bond.

[0016] Optionally, in the above convertible bond valuation method, the valuation calculation of the target convertible bond using the market method includes:

[0017] The Monte Carlo method is used to calculate the valuation of the target convertible bond.

[0018] Optionally, in the above convertible bond valuation method, the Monte Carlo method is used to calculate the valuation of the target convertible bond, including:

[0019] Obtaining key parameters of the target convertible bond, the key parameters including: short-term interest rate mean reversion rate, short-term interest rate volatility, stock price equation drift, stock price equation volatility, and correlation coefficient between interest rate and stock price;

[0020] Substituting the key parameters into the interest rate model and the stock price model to obtain the stock price path and the interest rate path;

[0021] Based on the maturity date and valuation date of the target convertible bond, the stock price path and interest rate path are reversed to obtain the optimal cash flow on the valuation date, and the optimal cash flow is used as the final valuation of the target convertible bond.

[0022] Optionally, in the above convertible bond valuation method, when the number of stock price paths and interest rate paths obtained is greater than 1, the average of the optimal cash flows on the valuation date corresponding to each group of stock price paths and interest rate paths is taken as the final valuation of the target convertible bond.

[0023] A convertible bond valuation device, comprising:

[0024] A data collection unit, used to obtain the activity of the target convertible bond;

[0025] A first valuation model unit, configured to calculate the valuation of the target convertible bond using a model method when the activity level is lower than a first activity level threshold;

[0026] A second valuation model unit, configured to use a weighted transaction market method to perform valuation calculation on the target convertible bond when the activity is not lower than the first activity threshold and lower than a second activity threshold;

[0027] The third valuation model unit is used to use the market method to perform valuation calculation on the target convertible bond when the activity level is not lower than the second activity level threshold.

[0028] An electronic device comprises at least one processor and a memory connected to the processor, wherein:

[0029] The memory is used to store computer programs;

[0030] The processor is used to execute the computer program so that the electronic device can implement any one of the convertible bond valuation methods described above.

[0031] A computer storage medium, wherein the storage medium carries one or more computer programs, and when the one or more computer programs are executed by an electronic device, the electronic device can implement any of the convertible bond valuation methods described above.

[0032] A computer program product includes computer-readable instructions. When the computer-readable instructions are executed on an electronic device, the electronic device implements any of the convertible bond valuation methods described above.

[0033] Based on the above technical solution, the above solution provided by the embodiment of the present invention analyzes the activity of the target convertible bond when it is necessary to perform valuation calculation on the target convertible bond. Based on the activity, the present application divides the convertible bonds into low-activity convertible bonds below a first activity threshold, general-activity convertible bonds not lower than the first activity threshold and lower than a second activity threshold, and active convertible bonds not lower than the second activity threshold. When the target convertible bond is a low-activity convertible bond, the model method is used to perform valuation calculation on the target convertible bond. When the target convertible bond is a general-activity convertible bond, the weighted transaction market method is used to perform valuation calculation on the target convertible bond. When the target convertible bond is an active convertible bond, the market method is used to perform valuation calculation on the target convertible bond. The present application uses different valuation methods to perform valuation calculation on convertible bonds of different activities, which can fully capture the intrinsic value and complexity of convertible bonds, making the valuation results more accurate and reliable. BRIEF DESCRIPTION OF THE DRAWINGS

[0034] In order to more clearly illustrate the embodiments of the present invention or the technical solutions in the prior art, the drawings required for use in the embodiments or the description of the prior art will be briefly introduced below. Obviously, the drawings described below are only embodiments of the present invention. For ordinary technicians in this field, other drawings can be obtained based on the provided drawings without paying creative work.

[0035] Figure 1A schematic diagram of a system framework of an embodiment of a convertible bond valuation method disclosed in an embodiment of the present application;

[0036] Figure 2 A schematic diagram of a terminal structure provided in an embodiment of the present application;

[0037] Figure 3 A schematic diagram of a server structure provided in an embodiment of the present application;

[0038] Figure 4 A schematic diagram of a convertible bond valuation method disclosed in an embodiment of the present application;

[0039] Figure 5 A schematic diagram of a convertible bond valuation method disclosed in another embodiment of the present application;

[0040] Figure 6 A schematic diagram of the structure of a convertible bond valuation device disclosed in an embodiment of the present application;

[0041] Figure 7 A schematic diagram of the structure of a convertible bond valuation device disclosed in another embodiment of the present application;

[0042] Figure 8 This is a schematic diagram of the structure of an electronic device disclosed in an embodiment of the present application. DETAILED DESCRIPTION

[0043] The following will be combined with the drawings in the embodiments of the present invention to clearly and completely describe the technical solutions in the embodiments of the present invention. Obviously, the described embodiments are only part of the embodiments of the present invention, not all of the embodiments. Based on the embodiments of the present invention, all other embodiments obtained by ordinary technicians in this field without creative work are within the scope of protection of the present invention.

[0044] The following describes the embodiments of the present application in conjunction with the drawings in the embodiments of the present application. The terms used in the implementation method section of the present application are only used to explain the specific embodiments of the present application, and are not intended to limit the present application.

[0045] The embodiments of the present application are described below in conjunction with the accompanying drawings. Those skilled in the art will appreciate that, with the development of technology and the emergence of new scenarios, the technical solutions provided in the embodiments of the present application are also applicable to similar technical problems.

[0046] The terms "first", "second", etc. in the specification and claims of the present application and the above-mentioned drawings are used to distinguish similar objects, and need not be used to describe a specific order or sequential order. It should be understood that the terms used in this way can be interchangeable under appropriate circumstances, which is only to describe the distinction mode adopted by the objects of the same attributes when describing in the embodiments of the present application. In addition, the terms "including" and "having" and any of their variations are intended to cover non-exclusive inclusions, so that the process, method, system, product or equipment comprising a series of units need not be limited to those units, but may include other units that are not clearly listed or inherent to these processes, methods, products or equipment.

[0047] The present application provides a convertible bond valuation scheme, which can be applied to the valuation calculation of convertible bonds. In the present application, exchangeable bonds are also regarded as convertible bonds.

[0048] The convertible bond valuation method provided in this application can be applied to Figure 1 The system architecture shown in FIG. 1 may include a terminal 100 and a server 200. The server 200 may include one or more servers ( Figure 1 A server is included as an example for explanation).

[0049] The terminal 100 and the server 200 can be used alone to execute the convertible bond valuation method provided in the embodiment of the present application. The terminal 100 and the server 200 can also be used together to execute the convertible bond valuation method provided in the embodiment of the present application.

[0050] Next describe Figure 1 The product form of the mid-terminal 100;

[0051] The terminal 100 in the embodiment of the present application can be a mobile phone, a tablet computer, a wearable device, a vehicle-mounted device, a conference terminal, an augmented reality (AR) / virtual reality (VR) device, a laptop computer, an ultra-mobile personal computer (UMPC), a netbook, a personal digital assistant (PDA), etc., and the embodiment of the present application does not impose any restrictions on this.

[0052] Figure 2 An optional hardware structure diagram of the terminal 100 is shown.

[0053] refer to Figure 2As shown, the terminal 100 may include a radio frequency unit 110, a memory 120, an input unit 130, a display unit 140 (optional), a camera 150 (optional), an audio circuit 160 (optional), a speaker 161 (optional), a microphone 162 (optional), an earphone jack 163 (optional), a first processor 170, an external interface 180, a power supply 190 and other components. Those skilled in the art will understand that Figure 2 These are merely examples of terminals or multi-function devices and do not constitute limitations on the terminals or multi-function devices, which may include more or fewer components than those shown in the figures, or combinations of certain components, or different components.

[0054] The input unit 130 can be used to receive input digital or character information, and generate key signal input related to the user settings and function control of the portable multifunctional device. Specifically, the input unit 130 may include a touch screen 131 (optional) and / or other input devices 132. The touch screen 131 can collect the user's touch operations on or near it (such as the user's operation on or near the touch screen using any suitable object such as fingers, joints, stylus, etc.), and drive the corresponding connection device according to a pre-set program. The touch screen can detect the user's touch action on the touch screen, convert the touch action into a touch signal and send it to the first processor 170, and can receive and execute the command sent by the first processor 170; the touch signal at least includes the touch point coordinate information. The touch screen 131 can provide an input interface and an output interface between the terminal 100 and the user. In addition, the touch screen can be implemented using multiple types such as resistive, capacitive, infrared and surface acoustic wave. In addition to the touch screen 131, the input unit 130 can also include other input devices. Specifically, other input devices 132 may include, but are not limited to, one or more of a physical keyboard, function keys (such as a volume control key, a switch key, etc.), a trackball, a mouse, a joystick, and the like.

[0055] Among them, the input device 132 can receive input data and the like.

[0056] The display unit 140 can be used to display information input by the user or information provided to the user, various menus of the terminal 100, interactive interfaces, file display and / or playback of any multimedia file. In the embodiment of the present application, the display unit 140 can be used to display the calculation results of the valuation of multiple convertible bonds, etc.

[0057] The memory 120 can be used to store instructions and data. The memory 120 can mainly include an instruction storage area and a data storage area. The data storage area can store various data, such as multimedia files, texts, etc.; the instruction storage area can store software units such as operating systems, applications, instructions required for at least one function, or their subsets and extensions. It can also include a non-volatile random access memory; provide the first processor 170 with hardware, software and data resources including management computing and processing equipment, and support control software and applications. It is also used for the storage of multimedia files, and the storage of running programs and applications.

[0058] The first processor 170 is the control center of the terminal 100. It uses various interfaces and lines to connect various parts of the entire terminal 100. By running or executing instructions stored in the memory 120 and calling data stored in the memory 120, it executes various functions of the terminal 100 and processes data, thereby controlling the terminal device as a whole. Optionally, the first processor 170 may include one or more processing units; preferably, the first processor 170 may integrate an application processor and a modem processor, wherein the application processor mainly processes the operating system, user interface and application program, and the modem processor mainly processes wireless communication. It is understandable that the above-mentioned modem processor may not be integrated into the first processor 170. In some embodiments, the processor, memory, can be implemented on a single chip, and in some embodiments, they can also be implemented separately on independent chips. The first processor 170 can also be used to generate corresponding operation control signals, send them to corresponding components of the computing and processing device, read and process data in the software, especially read and process data and programs in the memory 120, so that each functional module therein performs corresponding functions, thereby controlling the corresponding components to act according to the requirements of the instructions.

[0059] Among them, the memory 120 can be used to store software codes related to the convertible bond valuation method, the first processor 170 can execute the steps of the convertible bond valuation method, and can also schedule other units (such as the above-mentioned input unit 130 and display unit 140) to achieve corresponding functions.

[0060] The radio frequency unit 110 (optional) can be used for receiving and sending information or receiving and sending signals during a call, for example, after receiving the downlink information of the base station, it is sent to the first processor 170 for processing; in addition, the designed uplink data is sent to the base station. Generally, the RF circuit includes but is not limited to an antenna, at least one amplifier, a transceiver, a coupler, a low noise amplifier (LowNoiseAmplifier, LNA), a duplexer, etc. In addition, the radio frequency unit 110 can also communicate with network devices and other devices through wireless communication. The wireless communication can use any communication standard or protocol, including but not limited to Global System of Mobile communication (Global System of Mobile communication, GSM), General Packet Radio Service (General PacketRadio Service, GPRS), Code Division Multiple Access (Code Division Multiple Access, CDMA), Wideband Code Division Multiple Access (Wideband Code Division Multiple Access, WCDMA), Long Term Evolution (Long Term Evolution, LTE), email, Short Messaging Service (SMS), etc.

[0061] It should be understood that the radio frequency unit 110 is optional and can be replaced by other communication interfaces, such as a network port.

[0062] The terminal 100 also includes a power supply 190 (such as a battery) for supplying power to various components. Preferably, the power supply can be logically connected to the first processor 170 through a power management system, so that the power management system can manage functions such as charging, discharging, and power consumption.

[0063] The terminal 100 further includes an external interface 180 , which may be a standard Micro USB interface or a multi-pin connector, and may be used to connect the terminal 100 to communicate with other devices, or to connect a charger to charge the terminal 100 .

[0064] Although not shown, the terminal 100 may also include a flashlight, a wireless fidelity (WiFi) module, a Bluetooth module, sensors with different functions, etc., which are not described in detail here. Some or all of the methods described below may be applied in the following embodiments. Figure 2 In the terminal 100 shown.

[0065] Next describe Figure 1 The product form of the server 200;

[0066] Figure 3A structural diagram of a server 200 is provided, such as Figure 3 As shown, the server 200 includes a first bus 201, a second processor 202, a communication interface 203 and a memory 204. The second processor 202, the memory 204 and the communication interface 203 communicate with each other through the first bus 201.

[0067] The first bus 201 may be a peripheral component interconnect (PCI) bus or an extended industry standard architecture (EISA) bus. The bus may be divided into an address bus, a data bus, a control bus, etc. For ease of representation, Figure 3 Only one thick line is used in the diagram, but this does not mean that there is only one bus or only one type of bus.

[0068] The second processor 202 may be any one or more of a central processing unit (CPU), a graphics processing unit (GPU), a microprocessor (MP), or a digital signal processor (DSP).

[0069] The memory 204 may include a volatile memory, such as a random access memory (RAM). The memory 204 may also include a non-volatile memory, such as a read-only memory (ROM), a flash memory, a hard disk drive (HDD), or a solid state drive (SSD).

[0070] The memory 204 may be used to store software codes related to the convertible bond valuation method, and the second processor 202 may execute the steps of the convertible bond valuation method, and may also schedule other units to implement corresponding functions.

[0071] It should be understood that the above-mentioned terminal 100 and server 200 can be centralized or distributed devices, and the processors in the above-mentioned terminal 100 and server 200 (such as the first processor 170 and the second processor 202) can be hardware circuits (such as application specific integrated circuits (ASIC), field-programmable gate arrays (FPGA), general-purpose processors, digital signal processors (DSP), microprocessors or microcontrollers, etc.), or a combination of these hardware circuits. For example, the processor can be a hardware system with an instruction execution function, such as a CPU, DSP, etc., or a hardware system without an instruction execution function, such as an ASIC, FPGA, etc., or a combination of the above-mentioned hardware systems without an instruction execution function and hardware systems with an instruction execution function.

[0072] After research, the applicant found that the Monte Carlo model, as a method based on random sampling and statistical analysis, can effectively estimate the value of financial products, especially in the valuation of convertible bonds, and can more accurately estimate the value of conversion options and the total value of convertible bonds.

[0073] In convertible bond valuation, the Monte Carlo model can be used to estimate the value of the conversion option and the total value of the convertible bond. The specific steps include determining simulation parameters, simulating the stock price path, calculating the value of the convertible bond, calculating the value of the conversion option, and calculating the total value. Through the Monte Carlo simulation of the convertible bond valuation method, the impact of uncertain factors on the value of the convertible bond can be taken into account, improving the accuracy and reliability of the valuation.

[0074] The present application provides a convertible bond valuation method, which is applied to Figure 1 The computer device in the figure is used as an example, and the computer device can specifically be the terminal 100 or the server 200 in the above figure. Figure 4 , the convertible bond valuation method specifically includes the following steps:

[0075] Step S401: Obtain the activity of the target convertible bond.

[0076] In the trading market, indicators such as trading volume, turnover rate, and trading continuity can be used to judge market activity. That is, after determining the target convertible bond that needs to be valued, this application can obtain indicators such as the target convertible bond's trading volume, turnover rate, and trading continuity on that day, and comprehensively calculate the activity of the target convertible bond based on these indicators. Among them, the higher the trading volume, the higher the turnover rate, and the better the trading continuity, the more active the target convertible bond. Of course, this application can also directly use the turnover rate of the target convertible bond as the activity of the target convertible bond.

[0077] Step S402: When the activity level is lower than a first activity level threshold, a model method is used to calculate the valuation of the target convertible bond.

[0078] For inactive target convertible bonds, this application adopts a model method for valuation, and specifically, the Monte Carlo model, the binomial tree model, the Black-Scholes (BS) model, the least squares Monte Carlo (LSM) model, etc. can be used to calculate the valuation of the target convertible bonds. These models have their own advantages and disadvantages, and users can choose according to the specific characteristics of the convertible bonds and the market environment. For example, in the solution disclosed in the embodiment of this application, the selected model can be a Monte Carlo model.

[0079] Step S403: When the activity level is not lower than the first activity level threshold and lower than the second activity level threshold, a weighted transaction market method is used to calculate the valuation of the target convertible bond.

[0080] For target convertible bonds whose market activity is between the first activity threshold and lower than the second activity threshold, this application uses the weighted average transaction price to perform valuation calculations on the target convertible bonds. When calculating the valuation, all transaction prices of the target convertible bonds during the day are taken, and the weighted average is taken with the transaction volume as the weight, which is used as the valuation analysis result.

[0081] Step S404: When the activity level is not lower than the second activity level threshold, the target convertible bond is valued using a market approach.

[0082] For active target convertible bonds, the market closing price can more fully reflect the market pricing, so the market method can be used to calculate their valuation. In this process, the closing price is used for valuation, and the closing price of the target convertible bond at the end of the day is taken as the valuation result.

[0083] The above-mentioned scheme disclosed in the embodiment of the present application analyzes the activity of the target convertible bond when it is necessary to perform valuation calculation on the target convertible bond. Based on the activity, the present application divides the convertible bonds into low-activity convertible bonds below a first activity threshold, general activity convertible bonds not lower than the first activity threshold and lower than a second activity threshold, and active convertible bonds not lower than the second activity threshold. When the target convertible bond is a low-activity convertible bond, the model method is used to perform valuation calculation on the target convertible bond. When the target convertible bond is a general activity convertible bond, the weighted transaction market method is used to perform valuation calculation on the target convertible bond. When the target convertible bond is an active convertible bond, the market method is used to perform valuation calculation on the target convertible bond. The present application uses different valuation methods to perform valuation calculation on convertible bonds of different activities, which can fully capture the intrinsic value and complexity of the convertible bonds, making the valuation results more accurate and reliable.

[0084] In order to quickly respond to the user's request for valuation calculation of the target convertible bond, the system using this solution can extract the relevant data of each convertible bond from the target data source in advance, and the relevant data includes bond information and convertible bond closing price table, and then pre-process the relevant data, which includes data cleaning, conversion and integration, and store the pre-processed relevant data in the convertible bond data warehouse, and establish a corresponding relationship between the pre-processed relevant data and each convertible bond. When it is necessary to perform valuation calculation on the target convertible bond, the corresponding relevant data can be retrieved from the convertible bond data warehouse.

[0085] This Monte Carlo model uses the method of simulating interest rates and stock prices simultaneously to calculate the valuation of the target convertible bonds. The interest rate model uses the Hull-White single factor model, and the stock price model uses the log-normal model. Figure 5 ,when Figure 4 When the Monte Carlo method is used to calculate the valuation of the target convertible bond in step S402, the specific process may include:

[0086] Step S501: Obtain key parameters of the target convertible bond.

[0087] The key parameters include: short-term interest rate mean reversion rate, short-term interest rate volatility, stock price equation drift, stock price equation volatility, and the correlation coefficient between interest rate and stock price.

[0088] Among them, the short-term interest rate mean reversion rate and short-term interest rate volatility can directly use the coefficients of the short-term interest rate mean reversion rate and short-term interest rate volatility in the ternary tree interest rate model.

[0089] For stock price equation drift and stock price equation fluctuation, the industry is divided into two categories. The prices of several active public convertible bonds are used as price samples. The corresponding stock price equation drift and stock price equation fluctuation of each industry can be obtained through calibration method. After determining the industry of the target convertible bond, the stock price equation drift and stock price equation fluctuation corresponding to the industry are obtained, and the correlation coefficient of the retrieved stock price equation drift and stock price equation fluctuation is used as the key parameter of the target convertible bond.

[0090] For the correlation coefficient between interest rate and stock price, it can be set to 0 in this scheme.

[0091] Step S502: Substitute the key parameters into the interest rate model and the stock price model to obtain the stock price path and the interest rate path.

[0092] After determining the above key parameters, the key parameters are substituted into the interest rate model and the stock price model to obtain the stock price path and the interest rate path.

[0093] Step S503: Based on the maturity date and valuation date of the target convertible bond, the stock price path and interest rate path are reversed to obtain the optimal cash flow on the valuation date, and the optimal cash flow is used as the final valuation of the target convertible bond.

[0094] After obtaining the stock price path and interest rate path of the target convertible bond, the target convertible bond is recursively valued from the expiration date to the valuation date:

[0095] In the reverse recursive process, for the interest rate path and the stock price path, the known optimal cash flow of the next day is discounted to obtain the initial cash flow of the previous day, and after the exercise judgment of the put right, redemption right and conversion right is made, the optimal exercise decision and optimal cash flow of the previous day are obtained comprehensively. In this way, the optimal cash flow on the valuation date in the path is finally obtained, and the optimal cash flow is used as the final valuation of the target convertible bond. When the number of stock price paths and interest rate paths output by the interest rate model and the stock price model is greater than 1, the average of the optimal cash flows on the valuation date corresponding to each group of stock price paths and interest rate paths is taken as the final valuation of the target convertible bond.

[0096] The convertible bond valuation method of the present invention, combined with the actual market situation, adopts indicators such as trading volume, turnover rate, and transaction continuity to judge the market activity. According to the market activity, the market method or model method is used for valuation calculation. For convertible bonds with high market activity, the closing price of the day is used as the full valuation price, and the accrued interest is deducted to calculate its valuation. For convertible bonds with average market activity, the weighted average transaction price is used to calculate its valuation. For inactive convertible bonds, when the model method is used to value the convertible bonds, Monte Carlo can be used to implement it. This method jointly simulates the interest rate path and the stock price path, and through reverse recursive analysis, the convertible bond price is reversely recursed from the expiration date to the valuation date to obtain the optimal cash flow on the valuation date of each path, and the optimal cash flow is used as the final valuation of the target convertible bond.

[0097] In this embodiment, corresponding to the above method, a convertible bond valuation device is also disclosed. For the specific working contents of each unit in the convertible bond valuation device, please refer to the contents of the above method embodiment.

[0098] The convertible bond valuation device provided by the embodiment of the present invention is described below. The convertible bond valuation device described below and the convertible bond valuation method described above can be referred to each other. Figure 6 , the device may include:

[0099] A data collection unit 10 is used to obtain the activity of the target convertible bond;

[0100] A first valuation model unit 20, configured to calculate the valuation of the target convertible bond using a model method when the activity level is lower than a first activity level threshold;

[0101] A second valuation model unit 30, configured to use a weighted transaction market method to perform valuation calculation on the target convertible bond when the activity is not lower than the first activity threshold and lower than a second activity threshold;

[0102] The third valuation model unit 40 is used to use the market method to perform valuation calculation on the target convertible bond when the activity level is not lower than the second activity level threshold.

[0103] The specific working contents of the data acquisition unit 10, the first estimation model unit 20, the second estimation model unit 30 and the third estimation model unit 40 can be referred to the above method embodiment.

[0104] The data acquisition unit 10 can be integrated into the convertible bond valuation application module, and the first valuation model unit 20, the second valuation model unit 30 and the third valuation model unit 40 can be integrated into the valuation calculation module, see Figure 7In addition to the valuation calculation module, the convertible bond valuation device may also include: a first cache service module, a parameter calibration module, a data derivation layer module, a public application module, a second cache service module and an application database.

[0105] Among them, the data derivation layer module is the data basis of the entire convertible bond valuation device. The data derivation layer module integrates the basic asset information, cash flow information, interest rate information and closing market data of each convertible bond through data collection and processing. These data can come from exchanges, internal systems of financial institutions and third-party data providers. The data derivation layer module is responsible for extracting the above data from various data sources, and performing data cleaning, conversion and integration on the extracted data to ensure the accuracy and consistency of the data. In this case, in addition to obtaining the basic bond information, issuer, issuance method, issuance price, listing date, face interest rate and interest calculation method of each convertible bond, the data derivation layer module can also obtain the transaction data of each convertible bond by accessing the exchange to form a convertible bond closing market table. Using this table, the activity of the bond and the closing price, trading volume, transaction amount and the like of the day can be obtained through the activity formula. The conversion, resale and redemption details of the convertible bond are obtained through collection. When performing valuation calculations, the collected data can be stored in the data warehouse debt asset model, and the debt asset model can be loaded into the valuation calculation module for formula calculation. The valuation calculation module can use the bond asset model in the cash flow reverse recursive algorithm (reverse recursive valuation of the target convertible bond from the maturity date to the valuation date on a daily basis) to obtain the conversion right, redemption right, put back right, etc. for least squares fitting.

[0106] The convertible bond valuation application module is the core of the valuation process. The convertible bond valuation application module can provide the business logic of convertible bond valuation. It combines the convertible bond business rules to provide system process services for bond valuation, including key functions such as basic parameter maintenance, stock price and interest rate parameter maintenance, industry maintenance, convertible bond valuation range management, valuation preparation, calculation release and quality inspection report. By initializing the bond range and plan tasks daily, as well as calculation quality inspection, it is possible to determine the range of all convertible bonds that can be prepared for the business on that day, and call the valuation calculation module according to the activity of the convertible bonds, and select the market method, weighted transaction market method or model method for valuation calculation.

[0107] The public application module is used to provide a public access mode to each data table in the data derivation layer to shield the impact of changes in the data table structure on the convertible bond valuation application module.

[0108] The second cache service module is mainly used to cache frequently accessed data, provide fast data reading capabilities, reduce database pressure, and provide distributed locks in the system architecture design of the convertible bond valuation device to ensure mutually exclusive access to multiple convertible bond valuation application modules.

[0109] Regarding the valuation calculation module and parameter calibration module, the valuation calculation module is mainly used to store the valuation calculation formulas and models corresponding to the market method, weighted transaction market method and model method, and the parameter calibration module is responsible for the calibration of the valuation calculation formulas and model parameters.

[0110] In addition, other relevant calculation formulas can also be stored in the valuation calculation module. These formulas can be used to calculate the full price of the bond floor valuation corresponding to the convertible bond (the full price at the end of the day corresponding to the target bond), the accrued interest at the end of the day (the accrued interest at the end of the day corresponding to the target bond), the net price of the bond floor valuation (the net price of the valuation corresponding to the target bond), the bond floor yield (the yield corresponding to the target bond), the bond floor modified duration (the modified duration corresponding to the target bond), the bond floor convexity (the convexity corresponding to the target bond), etc.

[0111] The present application also provides an electronic device in an embodiment. Figure 8 As shown, it shows a schematic diagram of the structure of an electronic device suitable for implementing the embodiment of the present application. The electronic device in the embodiment of the present application may include but is not limited to fixed terminals such as mobile phones, laptops, PDAs (personal digital assistants), PADs (tablet computers), desktop computers, etc. Figure 8 The electronic device shown is merely an example and should not bring any limitation to the functions and scope of use of the embodiments of the present application.

[0112] like Figure 8 As shown, the electronic device may include a third processor (e.g., a central processing unit, a graphics processor, etc.) 601, which can perform various appropriate actions and processes according to a program stored in a read-only memory (ROM) 602 or a program loaded from a storage device 608 to a random access memory (RAM) 603. When the electronic device is powered on, various programs and data required for the operation of the electronic device are also stored in the RAM 603. The third processor 601, the ROM 602, and the RAM 603 are connected to each other via a second bus 604. An input / output (I / O) interface 605 is also connected to the second bus 604.

[0113] Typically, the following devices may be connected to the I / O interface 605: an input device 606 including, for example, a touch screen, a touch pad, a keyboard, a mouse, a camera, a microphone, an accelerometer, a gyroscope, etc.; an output device 607 including, for example, a liquid crystal display (LCD), a speaker, a vibrator, etc.; a storage device 608 including, for example, a memory card, a hard disk, etc.; and a communication device 609. The communication device 609 may allow the electronic device to communicate with other devices wirelessly or by wire to exchange data. Although Figure 8 An electronic device having various devices is shown, but it should be understood that it is not required to implement or possess all the devices shown. More or fewer devices may be implemented or possessed instead.

[0114] Also provided in an embodiment of the present application is a computer program product, including computer-readable instructions. When the computer-readable instructions are executed on an electronic device, the electronic device implements any convertible bond valuation method provided in the embodiment of the present application.

[0115] A computer-readable storage medium is also provided in an embodiment of the present application. The storage medium carries one or more computer programs. When the one or more computer programs are executed by an electronic device, the electronic device can implement any convertible bond valuation method provided in the embodiment of the present application.

[0116] For the convenience of description, the above system is described as being divided into various modules according to their functions. Of course, when implementing the present invention, the functions of each module can be implemented in the same or multiple software and / or hardware.

[0117] Each embodiment in this specification is described in a progressive manner, and the same or similar parts between the embodiments can refer to each other, and each embodiment focuses on the differences from other embodiments. In particular, for the system or system embodiment, since it is basically similar to the method embodiment, the description is relatively simple, and the relevant parts can refer to the partial description of the method embodiment. The system and system embodiments described above are merely schematic, wherein the units described as separate components may or may not be physically separated, and the components displayed as units may or may not be physical units, that is, they may be located in one place, or they may be distributed on multiple network units. Some or all of the modules may be selected according to actual needs to achieve the purpose of the scheme of this embodiment. Ordinary technicians in this field can understand and implement it without creative work.

[0118] Professionals may further appreciate that the units and algorithm steps of each example described in conjunction with the embodiments disclosed herein can be implemented in electronic hardware, computer software, or a combination of the two. In order to clearly illustrate the interchangeability of hardware and software, the composition and steps of each example have been generally described in the above description according to function. Whether these functions are performed in hardware or software depends on the specific application and design constraints of the technical solution. Professionals and technicians may use different methods to implement the described functions for each specific application, but such implementation should not be considered to be beyond the scope of the present invention.

[0119] The steps of the method or algorithm described in conjunction with the embodiments disclosed herein may be implemented directly using hardware, a software module executed by a processor, or a combination of the two. The software module may be placed in a random access memory (RAM), a memory, a read-only memory (ROM), an electrically programmable ROM, an electrically erasable programmable ROM, a register, a hard disk, a removable disk, a CD-ROM, or any other form of storage medium known in the art.

[0120] It should also be noted that, in this article, relational terms such as first and second, etc. are only used to distinguish one entity or operation from another entity or operation, and do not necessarily require or imply any such actual relationship or order between these entities or operations. Moreover, the terms "include", "comprise" or any other variants thereof are intended to cover non-exclusive inclusion, so that a process, method, article or device including a series of elements includes not only those elements, but also other elements not explicitly listed, or also includes elements inherent to such process, method, article or device. In the absence of further restrictions, the elements defined by the sentence "comprise a ..." do not exclude the presence of other identical elements in the process, method, article or device including the elements.

[0121] The above description of the disclosed embodiments enables one skilled in the art to implement or use the present invention. Various modifications to these embodiments will be apparent to one skilled in the art, and the general principles defined herein may be implemented in other embodiments without departing from the spirit or scope of the present invention. Therefore, the present invention will not be limited to the embodiments shown herein, but rather to the widest scope consistent with the principles and novel features disclosed herein.

Claims

1. A convertible bond valuation method, characterized in that: include: Obtain the activity of the target convertible bond; When the activity level is lower than a first activity level threshold, a valuation calculation is performed on the target convertible bond using a model method; When the activity level is not lower than the first activity level threshold and lower than the second activity level threshold, the target convertible bond is valued using the weighted transaction market method; When the activity level is not lower than the second activity level threshold, the market method is used to perform valuation calculation on the target convertible bond.

2. The convertible bond valuation method according to claim 1, characterized in that: Obtaining the activity of the target convertible bond, including: The turnover rate of the target convertible bond is obtained, and the turnover rate is used as the activity of the target convertible bond.

3. The convertible bond valuation method according to claim 1, characterized in that: Before determining the target convertible bond, it also includes: Extracting relevant data of each convertible bond from the target data source, wherein the relevant data includes bond information and a convertible bond closing price table; Preprocessing the relevant data, wherein the preprocessing includes data cleaning, conversion and integration; The preprocessed relevant data is stored in the convertible bond data warehouse, and a corresponding relationship between the preprocessed relevant data and each convertible bond is established.

4. The convertible bond valuation method according to claim 1, characterized in that: The valuation calculation of the target convertible bond using the market method includes: The Monte Carlo method is used to calculate the valuation of the target convertible bonds.

5. The convertible bond valuation method according to claim 4, characterized in that: The Monte Carlo method is used to calculate the valuation of the target convertible bond, including: Obtaining key parameters of the target convertible bond, the key parameters including: short-term interest rate mean reversion rate, short-term interest rate volatility, stock price equation drift, stock price equation volatility, and correlation coefficient between interest rate and stock price; Substituting the key parameters into the interest rate model and the stock price model to obtain the stock price path and the interest rate path; Based on the maturity date and valuation date of the target convertible bond, the stock price path and interest rate path are reversed to obtain the optimal cash flow on the valuation date, and the optimal cash flow is used as the final valuation of the target convertible bond.

6. The convertible bond valuation method according to claim 5, characterized in that: When the number of stock price paths and interest rate paths obtained is greater than 1, the average of the optimal cash flows on the valuation date corresponding to each group of stock price paths and interest rate paths is taken as the final valuation of the target convertible bond.

7. A convertible bond valuation device, characterized in that: include: A data collection unit, used to obtain the activity of the target convertible bond; A first valuation model unit, configured to calculate the valuation of the target convertible bond using a model method when the activity level is lower than a first activity level threshold; A second valuation model unit, configured to use a weighted transaction market method to perform valuation calculation on the target convertible bond when the activity is not lower than the first activity threshold and lower than a second activity threshold; The third valuation model unit is used to use the market method to perform valuation calculation on the target convertible bond when the activity level is not lower than the second activity level threshold.

8. An electronic device, characterized in that: The method comprises at least one processor and a memory connected to the processor, wherein: The memory is used to store computer programs; The processor is used to execute the computer program so that the electronic device can implement the convertible bond valuation method as described in any one of claims 1 to 6.

9. A computer storage medium, characterized in that The storage medium carries one or more computer programs, and when the one or more computer programs are executed by an electronic device, the electronic device can implement the convertible bond valuation method as described in any one of claims 1 to 6.

10. A computer program product, characterized in that It includes computer-readable instructions, which, when executed on an electronic device, enable the electronic device to implement the convertible bond valuation method as described in any one of claims 1 to 6.

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