Credit debt pricing method based on annuity investment

Abstract

The invention relates to a credit debt pricing method based on annuity investment, which adopts a two-level market pricing-relative position method and comprises the following steps of: firstly, confirming three different scenes according to a relation among a to-be-priced coupon, an in-process debt of the same subject and the same term and a curve of the same term; then determining reference sample coupons; screening the sample coupons meeting conditions; screening the sample coupons meeting a requirement range according to the guidance of an annuity investment policy from all the same clauses of the same subject; determining a curve: determining a high-yield curve and a low-yield curve after the curve type is selected; calculating a yield rate: calculating to obtain a pricing result according to the yield rate curve; and finally, fluctuation is reduced, and pricing deviation caused by large transaction fluctuation in individual dates is reduced. The problem of how to reasonably price annuity investment and prevent and control risks is solved, the rate of return of pricing coupons is calculated according to credit and debt pricing methods in different scenes in combination with the relative positions of similar coupons, and then a reasonable bond pricing result is given by eliminating the influence of large fluctuation of an emotional surface.

Description

Technical Field

[0001] The present invention relates to a credit bond pricing method, and in particular to a credit bond pricing method based on annuity investment. Background Art

[0002] Annuity investment is different from traditional capital market investment. It often needs to be invested under the guidance of relevant policies of trustees, custodian banks, and boards of directors. It places high requirements on the return rate, volatility, maximum drawdown and other indicators of the investment portfolio to ensure the pursuit of relative returns under absolute returns. Among them, credit bonds account for a large proportion of the investment targets in annuity investment. Therefore, the pricing of credit bonds is crucial. Reasonable pricing can assist the investment side in exploring investment value, and at the same time, it can conduct reasonable rating and risk prevention based on pricing deviations on the risk side. Summary of the invention

[0003] In order to solve the problem of how to reasonably price annuity investment and control risks, a credit bond pricing method based on annuity investment is proposed.

[0004] The technical solution of the present invention is:

[0005] A credit bond pricing method based on annuity investment, using the secondary market pricing-relative position method, is implemented as follows:

[0006] First confirm the scenario. The default scenario rules are as follows:

[0007] Scenario 1: The bonds to be priced have outstanding bonds with the same principal and terms, and the same terms curve;

[0008] Scenario 2: The bonds to be priced have outstanding bonds of the same issuer but no outstanding bonds with the same terms, and both the bonds to be priced and the outstanding bonds of the same issuer have the same terms curve;

[0009] Scenario 3: The bonds to be priced have outstanding bonds with the same principal and terms, but no same term curve;

[0010] Then determine the reference sample bonds: screen qualified sample bonds: among all outstanding bonds with the same terms and conditions of the same subject, screen sample bonds that meet the requirements according to the annuity investment policy guidelines; determine the curve: after selecting the curve type, determine the high yield and low yield curves; calculate the yield: according to the yield curve, calculate the pricing result;

[0011] Finally, reduce volatility: take the 20-day moving average of the yield in each scenario to reduce pricing deviations caused by large trading fluctuations on individual dates.

[0012] Furthermore, for scenario 1:

[0013] Step 1.1: Determine the reference sample coupon

[0014] Screening of qualified sample bonds: among all outstanding bonds of the same issuer and with the same terms, sample bonds that meet the requirements are screened according to the annuity investment policy guidelines;

[0015] Default recommended bond rule: the bond with the same ChinaBond implicit rating and the closest remaining term to the bond to be priced; if no bond with the same ChinaBond implicit rating is available, the bond with the closest remaining term will be directly selected;

[0016] Step 1.2: Determine the curve

[0017] Recommended curve rules: Same as the current curve type

[0018] Self-selected curve range: Select from China Bond Curve;

[0019] After selecting the curve type, the specific two curves are determined:

[0020] High yield: Curve B, whose yield y2 is closest to the transaction yield y0 of the reference sample bond, among the curves with the same maturity as the reference sample bond, whose yield y2 is higher than the transaction yield y0 of the reference sample bond;

[0021] Low yield: Curve A whose yield y1 is closest to the reference sample bond transaction yield y0 among the curves with the same term as the reference sample bond, and whose yield y1 is lower than the reference sample bond transaction yield y0;

[0022] Step 1.3: Calculate the rate of return

[0023] The corresponding yields of the remaining term of the bond to be priced on curves A and B are set to y3 and y4 respectively;

[0024] 1. If both curves A and B are obtained: the yield of the bond to be priced, (y2-y0) / (y0-y1)=(y4-y) / (y-y3), y = the yield of the bond to be priced;

[0025] 2. If only curve A is obtained: the yield of the bond to be priced, (y0-y1)=(y-y3), where y=the yield of the bond to be priced;

[0026] 3. If you only get curve B: the yield of the bond to be priced, you need (y2-y0)=(y4-y), where y=the yield of the bond to be priced.

[0027] Furthermore, for scenario 2:

[0028] Step 2.1: Determine the reference sample coupons

[0029] Screening of qualified sample bonds: All outstanding bonds with the same term curve of the same issuer are screened out according to the annuity investment policy guidelines to select sample bonds that meet the requirements;

[0030] Default recommended bond rule: the bond with the same ChinaBond implicit rating and the closest remaining term to the bond to be priced; if no bond with the same ChinaBond implicit rating is available, the bond with the closest remaining term will be directly selected;

[0031] Step 2.2: Determine the curve

[0032] Recommended curve rules: The unpriced bonds and reference sample bonds have the same terms curve type;

[0033] Self-selected curve range: Select from China Bond Curve;

[0034] After selecting the curve type, refer to the two specific curves of the sample coupon to determine:

[0035] High yield: Curve B, whose yield y2 is closest to the transaction yield y0 of the reference sample bond, among the curves with the same maturity as the reference sample bond, whose yield y2 is higher than the transaction yield y0 of the reference sample bond;

[0036] Low yield: Curve A whose yield y1 is closest to the reference sample bond transaction yield y0 among the curves with the same term as the reference sample bond, and whose yield y1 is lower than the reference sample bond transaction yield y0;

[0037] The specific two curves corresponding to the coupons to be priced are determined: curves C and D with the same rating as A and B in the selected curve type;

[0038] Step 2.3: Calculate the rate of return

[0039] The corresponding yields of the remaining term of the bond to be priced on curves C and D are set to y3 and y4 respectively;

[0040] 1. If curves A, B, C, and D are all obtained: (y2-y0) / (y0-y1)=(y4-y) / (y-y3), y = yield of the bond to be priced;

[0041] 2. If only curves A, B, C or A, C: (y0-y1) = (y-y3), y = yield of the bond to be priced;

[0042] 3. If only curves A, B, D or B, D: (y2-y0) = (y4-y), y = yield of the bond to be priced;

[0043] 4. If none of the above curves can be obtained or only AB / A / B is obtained, the pricing result cannot be obtained and a prompt will be given.

[0044] Furthermore, for scenario 3:

[0045] Step 3.1: Determine the reference sample coupons

[0046] Screening of qualified sample bonds: All outstanding bonds with the same terms and conditions of the same issuer are screened according to the annuity investment policy guidelines to select sample bonds that meet the requirements;

[0047] Default recommended bond rule: the bond with the same ChinaBond implicit rating and the closest remaining term to the bond to be priced; if no bond with the same ChinaBond implicit rating is available, the bond with the closest remaining term will be directly selected;

[0048] Step 3.2: Determine the curve

[0049] Self-selected curve range: Select from China Bond Curve;

[0050] After selecting the curve type, the specific two curves are determined:

[0051] High yield: Curve B, whose yield y2 is closest to the transaction yield y0 of the reference sample bond, among the curves with the same maturity as the reference sample bond, whose yield y2 is higher than the transaction yield y0 of the reference sample bond;

[0052] Low yield: Curve A whose yield y1 is closest to the reference sample bond transaction yield y0 among the curves with the same term as the reference sample bond, and whose yield y1 is lower than the reference sample bond transaction yield y0;

[0053] Step 3.3: Calculate the rate of return

[0054] The corresponding yields of the remaining term of the bond to be priced on curves A and B are set to y3 and y4 respectively;

[0055] 1. If both curves A and B are obtained: the yield of the bond to be priced, (y2-y0) / (y0-y1)=(y4-y) / (y-y3), y = the yield of the bond to be priced;

[0056] 2. If only curve A is obtained: the yield of the bond to be priced, (y0-y1)=(y-y3), where y=the yield of the bond to be priced;

[0057] 3. If you only get curve B: the yield of the bond to be priced, you need (y2-y0)=(y4-y), where y=the yield of the bond to be priced.

[0058] The beneficial effects of the present invention are:

[0059] The credit bond pricing method in the present invention is based on the guidance of annuity investment policy. According to the credit bond pricing methods in different scenarios and combined with the relative positions between similar bonds, the pricing bond yield is calculated, and then a reasonable bond pricing result is given by excluding the impact of large fluctuations in sentiment. BRIEF DESCRIPTION OF THE DRAWINGS

[0060] Figure 1 This is a schematic diagram of the mapping of the same clause curve of the present invention;

[0061] Figure 2 It is a schematic diagram of curves A and B in scenario 1 of the present invention;

[0062] Figure 3 It is a schematic diagram of curve A in scenario 1 of the present invention;

[0063] Figure 4 It is a schematic diagram of curve B in scenario 1 of the present invention;

[0064] Figure 5 It is a schematic diagram of curves A, B, C, and D in scenario 2 of the present invention;

[0065] Figure 6 It is a curve A, B, C or a schematic diagram of A and C in scenario 2 of the present invention;

[0066] Figure 7 It is a schematic diagram of curves A, B, D or B, D in scenario 2 of the present invention;

[0067] Figure 8 It is a schematic diagram of curves A and B in scenario 3 of the present invention;

[0068] Fig. 9 It is a schematic diagram of curve A in scenario 3 of the present invention;

[0069] Fig.10 This is a schematic diagram of curve B in scenario 3 of the present invention. DETAILED DESCRIPTION

[0070] The present invention is described in detail below in conjunction with the accompanying drawings and specific embodiments. This embodiment is implemented based on the technical solution of the present invention, and provides a detailed implementation method and specific operation process, but the protection scope of the present invention is not limited to the following embodiments.

[0071] A credit bond pricing method based on annuity investment, using the secondary market pricing-relative position method, is specifically implemented as follows:

[0072] First confirm the scenario. The default scenario rules are as follows:

[0073] ① The bonds to be priced have existing bonds with the same subject and terms (same public and private placements, same whether they are subordinated, and same whether they are perpetual), and have the same terms curve (see the mapping relationship between various bonds and curves). Figure 1 "Same-Term Curve Mapping Table")--Scenario 1;

[0074] ② The bonds to be priced have outstanding bonds of the same issuer but no outstanding bonds with the same terms, and both the bonds to be priced and the outstanding bonds of the same issuer have the same terms curve - Scenario 2;

[0075] ③ The bonds to be priced have existing bonds with the same subject and terms (same public and private placements, same subordinated status, same perpetual status), but no same term curve - Scenario 3;

[0076] For scenario 1:

[0077] Step 1.1: Determine the reference sample coupon

[0078] Screening of qualified sample bonds: among all outstanding bonds of the same issuer and with the same terms, screen out sample bonds that meet the requirements according to the annuity investment policy guidelines.

[0079] Default recommended bond rules: the bond with the same ChinaBond implied rating and the closest remaining term to the bond to be priced; if no bond with the same ChinaBond implied rating is available, the bond with the closest remaining term will be directly selected.

[0080] Step 1.2: Determine the curve

[0081] Recommended curve rules: Same as the current curve type with the same terms (see the mapping relationship between various bonds and curves for details) Figure 1 "Same-Term Curve Mapping Table")

[0082] Self-selected curve range: see "Bond curve list for relative position pricing";

[0083] After selecting the curve type, the specific two curves are determined:

[0084] ① High yield (low rating): Curve B with the same maturity as the reference sample bond, among the curves whose curve yield y2 is higher than the reference sample bond transaction yield y0, and whose curve yield y2 is closest to the reference sample bond transaction yield y0;

[0085] ② Low yield (high rating): Curve A whose curve yield y1 is closest to the reference sample bond transaction yield y0 among the curves with the same term as the reference sample bond, and whose curve yield y1 is lower than the reference sample bond transaction yield y0;

[0086] Step 1.3: Calculate the rate of return

[0087] The corresponding yields of the remaining term of the bond to be priced on curves A and B are set to y3 and y4 respectively;

[0088] 1. If both curves A and B are obtained: the yield of the bond to be priced, (y2-y0) / (y0-y1)=(y4-y) / (y-y3) is required, and y is the yield of the bond to be priced. Figure 2 ;

[0089] 2. If you only get curve A: the yield of the bond to be priced, you need (y0-y1) = (y-y3), where y = the yield of the bond to be priced, such as Figure 3 ;

[0090] 3. If only curve B is obtained: the yield of the bond to be priced, (y2-y0)=(y4-y), where y = the yield of the bond to be priced, such as Figure 4 .

[0091] For scenario 2:

[0092] Step 2.1: Determine the reference sample coupons

[0093] Screening of qualified sample bonds: all outstanding bonds of the same issuer with the same terms and curves (see the “Same Terms and Curve Mapping Table” for the mapping relationship between various bonds and curves), and screening of sample bonds that meet the requirements according to the annuity investment policy guidelines.

[0094] Default recommended bond rules: the bond with the same ChinaBond implied rating and the closest remaining term to the bond to be priced; if no bond with the same ChinaBond implied rating is available, the bond with the closest remaining term will be directly selected.

[0095] Step 2.2: Determine the curve

[0096] Recommended curve rules: The bonds to be priced and the reference sample bonds have the same terms curve type (see the mapping relationship between various bonds and curves for details). Figure 1 "Same-Term Curve Mapping Table")

[0097] Self-selected curve range: See "List of Bond Curves in Relative Position Pricing"

[0098] After selecting the curve type, refer to the two specific curves of the sample coupon to determine:

[0099] ① High yield (low rating): Curve B with the same maturity as the reference sample bond, among the curves whose curve yield y2 is higher than the reference sample bond transaction yield y0, and whose curve yield y2 is closest to the reference sample bond transaction yield y0;

[0100] ② Low yield (high rating): Curve A whose curve yield y1 is closest to the reference sample bond transaction yield y0 among the curves with the same term as the reference sample bond, and whose curve yield y1 is lower than the reference sample bond transaction yield y0;

[0101] The specific two curves corresponding to the bonds to be priced are determined: curves C and D with the same rating as A and B in the selected curve type.

[0102] Step 2.3: Calculate the rate of return

[0103] The corresponding yields of the remaining term of the bond to be priced on curves C and D are set to y3 and y4 respectively;

[0104] 1. If curves A, B, C, and D are all obtained: (y2-y0) / (y0-y1)=(y4-y) / (y-y3), y = the yield of the bond to be priced, such as Figure 5 ;

[0105] 2. If only curves A, B, C or A, C are used: (y0-y1)=(y-y3), where y = the yield of the bond to be priced. Figure 6 ;

[0106] 3. If only curves A, B, D or B, D are used: (y2-y0) = (y4-y), where y = the yield of the bond to be priced. Figure 7 ;

[0107] 4. If none of the above curves can be obtained or only AB / A / B is obtained, the pricing result cannot be obtained and a prompt will be given.

[0108] For scenario 3:

[0109] Step 3.1: Determine the reference sample coupons

[0110] Screening of qualified sample bonds: For all outstanding bonds with the same terms and conditions of the same issuer, sample bonds meeting the requirements shall be screened according to the annuity investment policy guidelines.

[0111] Default recommended bond rules: the bond with the same ChinaBond implied rating and the closest remaining term to the bond to be priced; if no bond with the same ChinaBond implied rating is available, the bond with the closest remaining term will be directly selected.

[0112] Step 3.2: Determine the curve

[0113] Self-selected curve range: See "List of Bond Curves in Relative Position Pricing"

[0114] After selecting the curve type, the specific two curves are determined:

[0115] ① High yield (low rating): Curve B with the same maturity as the reference sample bond, among the curves whose curve yield y2 is higher than the reference sample bond transaction yield y0, and whose curve yield y2 is closest to the reference sample bond transaction yield y0;

[0116] ② Low yield (high rating): Curve A whose curve yield y1 is closest to the reference sample bond transaction yield y0 among the curves with the same term as the reference sample bond, and whose curve yield y1 is lower than the reference sample bond transaction yield y0;

[0117] Step 3.3: Calculate the rate of return

[0118] The corresponding yields of the remaining term of the bond to be priced on curves A and B are set to y3 and y4 respectively;

[0119] 1. If both curves A and B are obtained: the yield of the bond to be priced, (y2-y0) / (y0-y1)=(y4-y) / (y-y3) is required, and y is the yield of the bond to be priced. Figure 8 ;

[0120] 2. If you only get curve A: the yield of the bond to be priced, you need (y0-y1) = (y-y3), where y = the yield of the bond to be priced, such as Fig. 9 ;

[0121] 3. If only curve B is obtained: the yield of the bond to be priced, (y2-y0)=(y4-y), where y = the yield of the bond to be priced, such as Fig.10 .

[0122] Reduce volatility:

[0123] Take the 20-day moving average of the yield in each scenario to reduce the pricing deviation caused by large trading fluctuations on individual dates, as shown in Table 1.

[0124] Table 1. List of bond curves in relative position pricing

[0125]

[0126]

[0127]

[0128]

[0129] The above-mentioned embodiment only expresses one implementation mode of the present invention, and its description is relatively specific and detailed, but it cannot be understood as limiting the scope of the invention patent. It should be pointed out that for ordinary technicians in this field, several modifications and improvements can be made without departing from the concept of the present invention, which all belong to the protection scope of the present invention. Therefore, the protection scope of the patent of the present invention shall be based on the attached claims.

Claims

1. A credit bond pricing method based on annuity investment, characterized in that: Using the secondary market pricing-relative position method, it is achieved as follows: First confirm the scenario. The default scenario rules are as follows: Scenario 1: The bonds to be priced have outstanding bonds with the same principal and terms, and the same terms curve; Scenario 2: The bonds to be priced have outstanding bonds of the same issuer but no outstanding bonds with the same terms, and both the bonds to be priced and the outstanding bonds of the same issuer have the same terms curve; Scenario 3: The bonds to be priced have outstanding bonds with the same principal and terms, but no same term curve; Then determine the reference sample bonds: screen qualified sample bonds: among all outstanding bonds with the same terms and conditions of the same subject, screen sample bonds that meet the requirements according to the annuity investment policy guidelines; determine the curve: after selecting the curve type, determine the high yield and low yield curves; calculate the yield: according to the yield curve, calculate the pricing result; Finally, reduce volatility: take the 20-day moving average of the yield in each scenario to reduce pricing deviations caused by large trading fluctuations on individual dates.

2. The credit bond pricing method based on annuity investment according to claim 1, characterized in that: For scenario 1: Step 1.1: Determine the reference sample coupon Screening of qualified sample bonds: among all outstanding bonds of the same issuer and with the same terms, sample bonds that meet the requirements are screened according to the annuity investment policy guidelines; Default recommended bond rule: the bond with the same ChinaBond implicit rating and the closest remaining term to the bond to be priced; if no bond with the same ChinaBond implicit rating is available, the bond with the closest remaining term will be directly selected; Step 1.2: Determine the curve Recommended curve rules: Same as the current curve type Self-selected curve range: Select from China Bond Curve; After selecting the curve type, the specific two curves are determined: High yield: Curve B, whose yield y2 is closest to the transaction yield y0 of the reference sample bond, among the curves with the same maturity as the reference sample bond, whose yield y2 is higher than the transaction yield y0 of the reference sample bond; Low yield: For the same term as the reference sample bond, among the curves whose yield is lower than the transaction yield y0 of the reference sample bond, the curve A whose yield y1 is closest to the transaction yield y0 of the reference sample bond; Step 1.3, calculate the yield The corresponding yields of the remaining term of the bond to be priced on curves A and B are set to y3 and y4 respectively; If both curves A and B are obtained: the yield of the bond to be priced, (y2-y0) / (y0-y1)=(y4-y) / (y-y3), y = the yield of the bond to be priced; If you only get curve A: the yield of the bond to be priced, you need (y0-y1)=(y-y3), where y = the yield of the bond to be priced; If you only get curve B: the yield of the bonds to be priced, you need (y2-y0)=(y4-y), where y=the yield of the bonds to be priced.

3. The credit bond pricing method based on annuity investment according to claim 1, characterized in that: For scenario 2: Step 2.1: Determine the reference sample coupons Screening of qualified sample bonds: All outstanding bonds with the same term curve of the same issuer are screened out according to the annuity investment policy guidelines to select sample bonds that meet the requirements; Default recommended bond rule: the bond with the same ChinaBond implicit rating and the closest remaining term to the bond to be priced; if no bond with the same ChinaBond implicit rating is available, the bond with the closest remaining term will be directly selected; Step 2.2: Determine the curve Recommended curve rules: The unpriced bonds and reference sample bonds have the same terms curve type; Self-selected curve range: Select from China Bond Curve; After selecting the curve type, refer to the two specific curves of the sample coupon to determine: High yield: Curve B, whose yield y2 is closest to the transaction yield y0 of the reference sample bond, among the curves with the same maturity as the reference sample bond, whose yield y2 is higher than the transaction yield y0 of the reference sample bond; Low yield: Curve A whose yield y1 is closest to the reference sample bond transaction yield y0 among the curves with the same term as the reference sample bond, and whose yield y1 is lower than the reference sample bond transaction yield y0; The specific two curves corresponding to the coupons to be priced are determined: curves C and D with the same rating as A and B in the selected curve type; Step 2.3: Calculate the rate of return The corresponding yields of the remaining term of the bond to be priced on curves C and D are set to y3 and y4 respectively; If curves A, B, C, and D are all obtained: (y2-y0) / (y0-y1)=(y4-y) / (y-y3), y = yield of the bond to be priced; If only curves A, B, C or A, C: (y0-y1) = (y-y3), y = yield of the bond to be priced; If only curves A, B, D or B, D: (y2-y0) = (y4-y), y = yield of the bond to be priced; If none of the above curves are available or only AB / A / B are available, it will be impossible to obtain a pricing result and a prompt will be given.

4. The credit bond pricing method based on annuity investment according to claim 1, characterized in that: For scenario 3: Step 3.1: Determine the reference sample coupons Screening of qualified sample bonds: All outstanding bonds with the same terms and conditions of the same issuer are screened according to the annuity investment policy guidelines to select sample bonds that meet the requirements; Default recommended bond rule: the bond with the same ChinaBond implicit rating and the closest remaining term to the bond to be priced; if no bond with the same ChinaBond implicit rating is available, the bond with the closest remaining term will be directly selected; Step 3.2: Determine the curve Self-selected curve range: Select from China Bond Curve; After selecting the curve type, the specific two curves are determined: High yield: Curve B, whose yield y2 is closest to the transaction yield y0 of the reference sample bond, among the curves with the same maturity as the reference sample bond, whose yield y2 is higher than the transaction yield y0 of the reference sample bond; Low yield: Curve A whose yield y1 is closest to the reference sample bond transaction yield y0 among the curves with the same term as the reference sample bond, and whose yield y1 is lower than the reference sample bond transaction yield y0; Step 3.3: Calculate the rate of return The corresponding yields of the remaining term of the bond to be priced on curves A and B are set to y3 and y4 respectively; If both curves A and B are obtained: the yield of the bond to be priced, (y2-y0) / (y0-y1)=(y4-y) / (y-y3), y = the yield of the bond to be priced; If you only get curve A: the yield of the bond to be priced, you need (y0-y1)=(y-y3), where y = the yield of the bond to be priced; If you only get curve B: the yield of the bonds to be priced, you need (y2-y0)=(y4-y), where y=the yield of the bonds to be priced.

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