Investment portfolio risk degree adjustment method and device, electronic equipment and storage medium

Abstract

The invention relates to an investment portfolio risk degree adjusting method and device, electronic equipment and a storage medium. The portfolio risk degree adjustment method comprises the following steps: obtaining a position account input in a user interface, a to-be-headed option contract variety and a target index value of a risk index; obtaining the actual index value of the risk index of the current position under the position account; for each contract belonging to the option contract variety to be hedged under the position account, based on a difference value between a target index value and an actual index value and an index value of the contract, obtaining an initial suggested transaction direction and an initial suggested transaction number of the contract, and displaying the initial suggested transaction direction and the initial suggested transaction number; determining a planned transaction direction and a planned transaction quantity of the selected contract; according to the actual index value and the planned transaction direction and the planned transaction number of the selected contract, obtaining a total position index value, and displaying the total position index value; and receiving a transaction instruction to enable the server to perform a transaction. According to the technical scheme, the efficiency of adjusting the risk degree of the investment portfolio can be improved, and the market opportunity is prevented from being missed.

Description

Technical Field

[0001] The present invention relates to the technical field of investment risk control, and in particular to a method, device, electronic equipment and storage medium for adjusting the risk level of an investment portfolio. Background Art

[0002] In related technologies, with the prosperity of financial markets, the use of financial derivatives for hedging and controlling the risk level of investors' investment portfolios has played a more important role. Using risk indicator values, such as Greek values, for hedging is a very critical method.

[0003] Hedging a portfolio using Greek values ​​is a common financial strategy that aims to reduce the risk of a portfolio and its sensitivity to market fluctuations. The effectiveness of hedging based on Greek values ​​has been recognized by the academic community, especially the strategy of hedging based on Delta and Gamma values ​​has been widely used in option trading to reduce risk exposure.

[0004] However, in the related art, the existing methods or tools for implementing Greek value hedging are not convenient enough. They are mainly based on manually observing the size of the Greek values ​​and then manually placing orders. The hedging method is relatively backward and has the following problems: users manually calculate the contracts that need to be hedged, the costs that need to be hedged, and the size of the Greek values ​​after hedging. The manual calculation is large, which is not only inefficient, prone to errors and difficult to adjust, but also has a certain threshold for users' relevant professional knowledge, and the hedging effect of the investment portfolio is greatly reduced. Summary of the invention

[0005] The purpose of the present application is to provide a method, device, electronic device and storage medium for adjusting the risk of an investment portfolio, which can improve the efficiency and accuracy of adjusting the risk of an investment portfolio, facilitate adjustment, and reduce the requirements for relevant professional knowledge of users.

[0006] According to a first aspect of an embodiment of the present application, a method for adjusting the risk level of an investment portfolio is provided, which is applied to a client, and the method comprises:

[0007] Obtain the position account, the option contract type to be hedged and the target indicator value of at least one risk indicator entered in the user interface;

[0008] Obtaining an actual indicator value of the at least one risk indicator of the current position under the position account;

[0009] For each contract of all contracts of the option contract to be hedged under the position account, based on the difference between the target index value and the actual index value of each risk index and the index value of the contract, an initial recommended transaction direction and an initial recommended transaction quantity of the contract are obtained, and displayed on the user interface for user reference; wherein the contract includes an option contract and an underlying contract;

[0010] Determine the intended transaction direction and intended transaction quantity of the contract selected from all contracts;

[0011] According to the actual index value, the intended transaction direction and the intended transaction amount of the selected contract, the total position index value is obtained and displayed on the user interface so that the user can judge whether the difference between the target index value and the total position index value is within the interval expected by the user; the total position index value is the sum of the actual index value and the virtual index value, and the virtual index value is the index value of the total risk index of the virtual positions constituted by all the selected contracts;

[0012] Receive transaction instructions so that the server can trade according to the intended transaction direction and quantity of the selected contract.

[0013] In one embodiment, the risk indicator includes at least one of Greek values ​​and cash Greek values.

[0014] In one embodiment, when the risk indicators include Greek values, at least one risk indicator includes any one or any combination of Delta, Gamma, Theta, Rho, and Vega;

[0015] When the risk indicators include Cash Greek values, at least one risk indicator includes any one or any combination of Cash Delta, Cash Gamma, Cash Theta, Cash Rho, and Cash Vega.

[0016] In one embodiment,

[0017] Before obtaining the actual indicator value of the at least one risk indicator of the current position in the position account, the method further includes:

[0018] Get the target option pricing model selected on the user interface;

[0019] The obtaining of the actual indicator value of the at least one risk indicator of the current position under the position account includes:

[0020] Obtaining market information of all contracts of the option contract type to be hedged under the position account;

[0021] The actual indicator value of the at least one risk indicator of the current position is obtained according to the target option pricing model and the market information.

[0022] In one embodiment,

[0023] The at least one risk indicator includes only one risk indicator; the determining of the intended transaction direction and intended transaction amount of the contract selected from all contracts includes:

[0024] For each contract among all the contracts, after the contract is selected, obtaining the total position index value of the risk index before the contract is selected;

[0025] According to the difference between the target index value and the total position index value and the index value of the currently selected contract, a new suggested transaction direction and a new suggested transaction quantity of the currently selected contract are obtained, and displayed on the user interface for user reference;

[0026] The proposed transaction direction and the proposed transaction quantity of the currently selected contract are determined according to the transaction direction information and the transaction quantity information input by the user.

[0027] In one embodiment, the at least one risk indicator includes a first risk indicator and a second risk indicator; and the determining of the intended transaction direction and the intended transaction amount of the contract selected from all contracts includes:

[0028] Get a selection instruction for selecting a priority of risk indicators;

[0029] Determine a risk indicator with a higher priority from the first risk indicator and the second risk indicator according to the selection instruction;

[0030] For each contract among all the contracts, after the contract is selected, obtaining the total position index value of the risk index with a high priority before the contract is selected;

[0031] For the risk indicator with a high priority, according to the difference between the target indicator value and the total position indicator value and the indicator value of the currently selected contract, obtain the new suggested transaction direction and the new suggested transaction quantity of the currently selected contract;

[0032] After obtaining the new suggested transaction directions and new suggested transaction quantities for all contracts, for each contract, obtain the total position index value of the risk indicator with the lowest priority for the contract under the new suggested transaction direction and the new suggested transaction quantity;

[0033] Determine the target contract whose total position index value of the low-priority risk index is closest to the target index value of the low-priority risk index from all contracts, and display the new suggested transaction direction and new suggested transaction amount of the target contract on the user interface for user reference; wherein the new suggested transaction amounts of the remaining contracts except the target contract are set to zero;

[0034] The intended transaction direction and intended transaction quantity of the target right contract are determined according to the transaction direction information and transaction quantity information input by the user.

[0035] In one embodiment, before receiving the transaction instruction so that the server can trade according to the intended transaction direction and intended transaction amount of the selected contract, the process further includes:

[0036] For each contract of all contracts of the option contract variety to be hedged under the position account, the hedging cost is obtained and displayed on the user interface for user reference.

[0037] In one embodiment,

[0038] Before receiving the transaction instruction so that the server can trade according to the intended transaction direction and intended transaction quantity of the selected contract, the process further includes:

[0039] Obtain the order parameters selected by the user on the user interface.

[0040] According to a second aspect of an embodiment of the present application, there is provided a device for adjusting the risk level of an investment portfolio, comprising:

[0041] A first acquisition module is configured to acquire the position account, the option contract type to be hedged and the target indicator value of at least one risk indicator input in the user interface;

[0042] A second acquisition module is configured to obtain an actual indicator value of the at least one risk indicator of the current position under the position account;

[0043] A third acquisition module is configured to acquire, for each contract of all contracts belonging to the option contract type to be hedged under the position account, an initial recommended transaction direction and an initial recommended transaction quantity of the contract based on the difference between the target indicator value and the actual indicator value of each risk indicator and the indicator value of the contract; wherein the contract includes an option contract and an underlying contract;

[0044] A display module, configured to display the initial suggested transaction direction and initial suggested transaction amount of the option contract on the user interface for user reference;

[0045] A determination module, configured to determine a proposed transaction direction and a proposed transaction amount of a contract selected from all contracts;

[0046] A fourth acquisition module is configured to acquire a total position index value according to the actual index value, the intended transaction direction and the intended transaction amount of the selected contract; the total position index value is the sum of the actual index value and the virtual index value, and the virtual index value is the index value of the total risk index of the virtual positions constituted by all the selected contracts;

[0047] The display module is further configured to display the total position index value on the user interface so that the user can judge whether the difference between the target index value and the total position index value is within the range expected by the user;

[0048] The receiving module is configured to receive a transaction instruction so that the server can trade according to the intended transaction direction and intended transaction quantity of the selected option contract.

[0049] According to a third aspect of an embodiment of the present application, an electronic device is provided, comprising a memory and a processor, wherein the memory is used to store a computer program executable by the processor; and the processor is used to execute the computer program in the memory to implement the above method.

[0050] According to a fourth aspect of an embodiment of the present application, a computer-readable storage medium is provided, on which a computer program is stored, characterized in that when the executable computer program in the storage medium is executed by a processor, the above method can be implemented.

[0051] Compared with the prior art, the beneficial effect of the present application is that by obtaining the position account, the option contract type to be hedged and the target indicator value of at least one risk indicator input in the user interface, the actual indicator value of at least one risk indicator of the current position under the position account can be obtained, and for each contract of all contracts belonging to the option contract type to be hedged under the position account, based on the difference between the target indicator value and the actual indicator value of each risk indicator and the indicator value of the contract, the initial recommended transaction direction and initial recommended transaction quantity of the contract can be obtained, and displayed in the user interface for user reference. Among them, all the above-mentioned contracts include option contracts and underlying contracts. Then, the intended transaction direction and intended transaction quantity of the contract selected from all contracts can be determined, and the total position index value can be obtained according to the actual index value, the intended transaction direction and intended transaction quantity of the selected contract, and displayed on the user interface for the user to judge whether the difference between the target index value and the total position index value is within the range expected by the user. When it is within the expected range, the user can enter a trading instruction. When it is not within the expected range, the user can adjust the selected contract and its intended transaction direction and intended transaction quantity until the difference between the target index value and the total position index value is within the range expected by the user. Among them, the total position index value is the sum of the actual index value and the virtual index value, and the virtual index value is the index value of the total risk index of the virtual position composed of all the selected contracts. Finally, a trading instruction can be received so that the server can trade according to the intended transaction direction and intended transaction quantity of the selected contract.

[0052] The technical solution provided by this application can automatically calculate the contracts that need to be hedged and provide the initial recommended transaction direction and the initial recommended transaction quantity for user reference, without the need for manual calculation by the user, with high efficiency, high accuracy and no error proneness. The user can adjust the selected contract and its intended transaction direction and intended transaction quantity through the client, which is convenient to adjust and reduces the requirements for the user's relevant professional knowledge. Displaying the total position index value and the target index value of the risk index through the client's user interface can not only reflect market risks, but also help users reduce the risk of their investment portfolios and improve the hedging effect of their investment portfolios.

[0053] The technical solution provided by this application solves the problem that users want to hedge Greek values ​​but suffer from insufficient programming capabilities or complex calculation formulas and difficulties in operation. It helps users quickly build hedging strategies while having the advantage of interactive visualization. BRIEF DESCRIPTION OF THE DRAWINGS

[0054] Figure 1 The present invention is a flow chart of a method for adjusting the risk level of an investment portfolio according to an exemplary embodiment.

[0055] Figure 2It is a schematic diagram of a user interface according to an exemplary embodiment.

[0056] Figure 3 The present invention is a flow chart of a method for adjusting the risk level of an investment portfolio according to another exemplary embodiment.

[0057] Figure 4 is a schematic diagram of another user interface according to an exemplary embodiment.

[0058] Figure 5 The present invention is a flow chart of a method for adjusting the risk level of an investment portfolio according to another exemplary embodiment.

[0059] Figure 6 The present invention is a flow chart of a method for adjusting the risk level of an investment portfolio according to another exemplary embodiment.

[0060] Figure 7 The present invention is a flow chart of a method for adjusting the risk level of an investment portfolio according to another exemplary embodiment.

[0061] Figure 8 The present invention is a flow chart of a method for adjusting the risk level of an investment portfolio according to another exemplary embodiment.

[0062] Fig. 9 The present invention is a flow chart of a method for adjusting the risk level of an investment portfolio according to another exemplary embodiment.

[0063] Fig.10 The present invention is a block diagram of a device for adjusting the risk level of an investment portfolio according to an exemplary embodiment.

[0064] Fig.11 It is a block diagram of an electronic device according to an exemplary embodiment. DETAILED DESCRIPTION

[0065] Unless otherwise defined, the technical terms or scientific terms used in this specification and claims shall have the usual meanings understood by persons with ordinary skills in the technical field to which the invention belongs. The specific embodiments of the present invention will be described below in conjunction with the accompanying drawings. It should be noted that in the specific description of these embodiments, in order to provide a concise description, it is impossible for this specification to provide a detailed description of all the features of the actual embodiments. Without departing from the spirit and scope of the present invention, those skilled in the art may modify and replace the embodiments of the present invention, and the resulting embodiments are also within the scope of protection of the present invention.

[0066] In the related technology, hedging using Greek values ​​is a very critical method. Greek values ​​are indicators that measure the sensitivity of options. Their values ​​will change according to market factors (including but not limited to price, time, interest rate, price volatility), including Delta, Gamma, Theta, Rho and Vega. Cash Greeks are the cashization of Greek values. For example, the Delta amount (Dollar Delta or Cash Delta) represents the cashization of Delta's risk exposure at the underlying price.

[0067] Hedging a portfolio using Greek values ​​is a common financial strategy that aims to reduce the risk of a portfolio and its sensitivity to market fluctuations. The effectiveness of hedging based on Greek values ​​has been recognized, especially the strategy of hedging based on Delta and Gamma values ​​has been widely used in option trading to reduce risk exposure.

[0068] However, in the related art, the existing methods or tools for implementing Greek value hedging are not convenient enough. They mainly rely on manually observing the size of Greek values ​​and then placing orders manually. The hedging method is relatively backward and has the following problems:

[0069] 1. Lack of efficiency and poor accuracy. Intraday data changes quickly. After extracting the data, the Greek values ​​are calculated before placing an order, and then static hedging is performed. The Greek values ​​have changed with the changes in market factors.

[0070] 2. Missing market opportunities. Due to the limitation of manual order placement, users can only use Excel and other tools to analyze models and determine strategies before placing batch orders. Although there are methods for placing batch orders for option contracts in the market, which support placing orders for multiple option contracts at the same time, the time required to select contracts one by one before placing an order also fluctuates with market conditions, which may result in missing the best price and market opportunities.

[0071] 3. The manual calculation is large and difficult to adjust. Users manually calculate the contracts that need to be hedged, the costs that need to be hedged, and the size of the Greek values ​​after hedging. This is not only prone to errors and difficult to adjust, but also requires a certain threshold of relevant professional knowledge from users, and cannot reflect market risks, which greatly reduces the hedging effect of the investment portfolio.

[0072] 4. It is not intuitive, and the data cannot show the effect of hedging in real time. Currently, there is no visualization method or tool that can hedge multiple contracts at the same time to realize hedging orders and display the real-time hedging effect.

[0073] In order to solve the above technical problems, the present application proposes a method, device, electronic device and storage medium for adjusting the risk of an investment portfolio, which can improve the efficiency of adjusting the risk of an investment portfolio, avoid missing market opportunities, and improve accuracy, and is less prone to errors; the adjustment is convenient, and the requirements for relevant professional knowledge of users can be reduced; it can reflect market risks, and can also help users reduce the risk of their investment portfolios and improve the hedging effect of their investment portfolios; and the hedging effect can be intuitively displayed.

[0074] Figure 1 The present invention is a flow chart of a method for adjusting the risk level of an investment portfolio according to an exemplary embodiment. Figure 2 This is a user interface of a client for a method for adjusting the risk level of an investment portfolio according to an exemplary embodiment. The client can be installed on electronic devices such as mobile phones, tablet computers, and computers. Figure 1 , the method for adjusting the risk of the investment portfolio may include the following steps:

[0075] Step 101, obtain the position account, the option contract type to be hedged and the target indicator value of at least one risk indicator input in the user interface.

[0076] In one embodiment, the user interface of the client may include at least a first user interface and a second user interface. The first user interface is used to receive the position account, the option contract type to be hedged, and the target indicator value of at least one risk indicator input by the user. The second user interface is used to provide an option pricing model for the user to select.

[0077] like Figure 2 As shown, the user can enter the position account in the account input area 21 of the first user interface 20, enter the option contract type to be hedged in the option contract type area 22, and enter the target indicator value of at least one risk indicator in the risk indicator target area 23. Figure 2 In the example, only a case where a target indicator value of a risk indicator (Delta) is input in the target area 23 of the risk indicator is illustrated. In other embodiments, the target indicator values ​​of two or more risk indicators can be input in the target area 23 of the risk indicator, and the interface for inputting the target indicator values ​​of two or more risk indicators is not limited to Figure 2 The situation shown in .

[0078] In one embodiment, the position account includes an option position account and an underlying position account. The option position account is the position account of the option, and the underlying position account is the position account of the option underlying contract. These two accounts are different for stock options and are the same for commodity options.

[0079] In one embodiment, the option contract type to be hedged may be the SSE 50 ETF option contract of the Shanghai Stock Exchange.

[0080] In one embodiment, the contracts belonging to the option contract variety to be hedged may include the underlying contract and option contract of the variety. For example, cotton options, this variety includes cotton options at all strike prices in all months, and different strike prices in different months will result in different option contracts. And these options have different underlying contracts in different months. For ETF options, such as the 50ETF option contract, different strike prices in different months will result in different option contracts, but the underlying contract for each month is the same, which is 50ETF.

[0081] For another example, the contract of the option contract type to be hedged can be the silver option expiring in September of the Shanghai Futures Exchange (SHFE) and its underlying contract - ag2309, where ag (silver) is the type of option contract and ag2309 is the underlying contract, specifically the underlying contract of the silver option expiring in September. The client can treat all option contracts of the option contract type to be hedged and the underlying contract ag2309 under the open account as a risk group.

[0082] In one embodiment, the risk indicator may be a Greek value. The at least one risk indicator may include any one or any combination of Delta, Gamma, Theta, Rho, and Vega. Figure 2 In the embodiment shown, the risk indicator is Delta, Figure 2 In the illustrated user interface, only the target indicator value of Delta can be input in the target area 23 of the risk indicator. For another example, the at least one risk indicator mentioned above may include Delta and Gamma, or Gamma and Theta, or Delta, Gamma, Theta, Rho and Vega, but is not limited thereto.

[0083] In another embodiment, the risk indicator may also be a cash Greek value. The at least one risk indicator mentioned above includes any one or any combination of Cash Delta, Cash Gamma, Cash Theta, Cash Rho, and Cash Vega. For example, the risk indicator is Cash Delta, or Cash Gamma, or the at least one risk indicator mentioned above includes Cash Delta and Cash Gamma, or the at least one risk indicator mentioned above includes Cash Delta, Cash Gamma, Cash Theta, Cash Rho, and Cash Vega, but is not limited thereto.

[0084] In another embodiment, the at least one risk indicator may include Greek values ​​and cash Greek values. For example, the at least one risk indicator may include Delta, Cash Delta, or Gamma and Cash Gamma, or Delta, Gamma, Cash Delta and Cash Gamma, but is not limited thereto.

[0085] In one embodiment, the target indicator value of the risk indicator is the indicator value of the risk indicator that the user expects to achieve. The user can set the target indicator value of the risk indicator according to their own needs. For example, when the risk indicator is Delta, the target indicator value of Delta can be 0, but is not limited thereto.

[0086] In one embodiment, the client can also obtain the target option pricing model selected on the second user interface. The second user interface is used to display the T-type quotation of the option and provide a target option pricing model for the user to select. The option pricing model may include option pricing models such as the Black-Scholes option pricing model (BSM for short) and the binary tree model, but is not limited thereto. The client can obtain the target option pricing model selected by the user by receiving the model selection information input by the user.

[0087] Step 102, obtaining the actual indicator value of at least one risk indicator of the current position in the position account.

[0088] In one embodiment, for each risk indicator, the client obtains the actual indicator value of the risk indicator of the current position under the position account according to the position account input by the user.

[0089] In one embodiment, Figure 3 As shown, step 102 may include the following steps:

[0090] Step 301, obtain the market information of all contracts of the option contract types to be hedged under the position account.

[0091] Step 302, obtaining the actual indicator value of at least one risk indicator of the current position according to the target option pricing model and market information.

[0092] In one embodiment, after receiving the position account, the option contract type to be hedged, the target indicator value of at least one risk indicator and the target option pricing model selected on the second user interface inputted in the user interface, the client can obtain the market information of all contracts of the option contract type to be hedged under the position account and the position information and profit and loss information of the position account from the server through the interface (API), and display them in the current account actual situation display area 24 of the first user interface 20.

[0093] After obtaining the market information of all contracts of the option contract varieties to be hedged under the position account, the client obtains the actual indicator value of at least one risk indicator of the current position based on the target option pricing model and market information selected by the user.

[0094] The following example uses the silver option to be hedged, which expires in September, the underlying contract is ag2309, the risk indicator is Delta, and the target option pricing model is the BS pricing model to illustrate how to obtain the actual indicator value of the Delta of the current position based on the target option pricing model selected by the user and the market information.

[0095] The BS pricing model is as follows:

[0096] call price = SN (d1) - Ke -rT N(d2) (1)

[0097] put price = Ke -rT N(-d2)-SN(-d1) (2)

[0098]

[0099]

[0100] Where callprice is the price of a call option, putprice is the price of a put option, S is the underlying price, r is the risk-free interest rate, T is the remaining time until the option expires, σ is the volatility, K is the exercise price of the option contract, N(·) is the cumulative probability distribution function of the standard normal distribution variable, and q is the dividend rate.

[0101] The BS pricing model is used for option pricing, but the implied volatility σ can also be obtained by knowing the market price. In this embodiment, the market prices of all options in the risk group are respectively brought into the pricing model to obtain the implied volatility σ, and then the index value of Delta is obtained through the implied volatility:

[0102] Delta call =e -qt N(d1) (5)

[0103] Delta put =e -qt [N(d1)-1] (6)

[0104] Among them, Delta call Indicates the Delta index value of the call option, Delta put The index value of Delta for a put option. According to the definition of Delta:

[0105]

[0106] Delta is the derivative of the portfolio value π with respect to the underlying price S. Therefore, it can be deduced that the Delta index values ​​of different contracts with the same underlying can be added together. For the Delta index value of the underlying contract:

[0107]

[0108] Among them, Delta 标的 The Delta index value of the unit underlying contract.

[0109] Therefore, the actual indicator value of Delta of the risk group position (the current position under the position account) can be written as:

[0110]

[0111] Among them, Delta 实际 The actual index value of Delta of the risk group position (the current position under the position account), Delta i is the index value of Delta of the i-th option contract in the risk group, Position i The position of the i-th option contract in the risk group, Position 标的 is the position of the underlying asset, and Multiple Ratio is the ratio when the multipliers of the underlying asset and option contract are different.

[0112] The calculation formula of Multiple Ratio is as follows:

[0113]

[0114] Among them, Multiple 标的 is the contract multiplier of the underlying contract, Multiple 期权 The contract multiplier for the option contract.

[0115] In one embodiment, when the risk indicator is Delta, the value of cash Delta is also obtained and displayed in the current account actual situation display area 24 of the user interface 20 for user reference.

[0116] Step 103, for each contract of all the option contract varieties to be hedged under the position account, based on the difference between the target indicator value of each risk indicator and the actual indicator value of the risk indicator of the current position and the indicator value of the option contract, obtain the initial recommended transaction direction and initial recommended transaction quantity of the contract, and display them on the user interface for user reference, wherein all the above-mentioned contracts include option contracts and underlying contracts.

[0117] In one embodiment, the client obtains the initial recommended trading direction and initial recommended trading quantity of the contract for each risk indicator of all contracts of the option contract types to be hedged under the position account, that is, for each option contract and underlying contract in the risk group, based on the difference between the target indicator value of the risk indicator and the actual indicator value of the risk indicator of the current position and the indicator value of the contract.

[0118] Among them, the initial recommended trading direction includes buying contracts and selling contracts. The initial recommended trading quantity, also known as the initial recommended hedging quantity, refers to the quantity of the contract that needs to be traded if the difference between the target value of the risk indicator and the actual value of the risk indicator of the current position is 0. The order quantity is an integer multiple of the minimum order quantity.

[0119] Below, we still take the option contract type to be hedged as the silver option expiring in September, the underlying asset as ag2309, and the risk indicator as Delta as an example to introduce how to obtain the initial recommended trading direction and initial recommended trading quantity of the contract. The calculation formula is as follows:

[0120] Delta Gap=Delta 目标 -Delta 实际 (11)

[0121]

[0122] Delta Gap is the difference between the target value of Delta and the actual value of Delta of the current position in the position account. 目标 Delta is the target indicator value of Delta, which is a user-defined parameter. 实际 It is the actual indicator value of Delta of the current position in the position account. i is the index value of Delta of the ith contract in the risk group. n is the initially calculated transaction direction and transaction quantity. The transaction direction is determined by the sign of n. A positive sign indicates buying a contract, and a negative sign indicates selling a contract. Then, this number needs to be processed into an integer multiple of the minimum order quantity through the code to obtain the initial recommended transaction quantity num. The initial recommended transaction direction is determined by the sign of n. A positive sign indicates buying a contract, and a negative sign indicates selling a contract. Among them, since the Delta of a call option is positive and the Delta of a put option is negative, the calculated value is positive for buying the contract, and negative for selling the contract.

[0123] like Figure 2 As shown, the client displays the initial suggested transaction direction and the initial suggested transaction quantity of the contract in the suggestion area 25 of the order quantity and order direction of the first user interface 20 for user reference.

[0124] In one embodiment, the client can also obtain the hedging cost for each contract of all the options contracts to be hedged under the open account, and display it in the hedging cost display area 26 of the first user interface 20 for user reference. The hedging cost refers to the cost required to select the contract and the initial recommended transaction quantity.

[0125] Step 104, determining the intended transaction direction and intended transaction quantity of the contract selected from all contracts.

[0126] In one embodiment, Figure 4 As shown, the user can refer to the initial suggested trading direction and initial suggested trading quantity of the contract displayed in the suggestion area 25 for order quantity and order direction and the hedging cost displayed in the hedging cost display area 26, select the corresponding contract through the option button 271 in the order area 27, and adjust the trading direction and trading quantity of the contract to obtain the intended trading direction and intended trading quantity of the selected contract.

[0127] In one embodiment, during the process of the user selecting a contract, the contract list (the list formed by all the above contracts) displayed in the first user interface 20 will generate a new suggested transaction direction and a new suggested transaction quantity based on the position and the hedging situation of the selected contract. Specifically, after the contract is selected, the user can adjust the transaction direction and transaction quantity of the contract according to the new suggested transaction direction and the new suggested transaction quantity and their own needs to obtain the proposed transaction direction and the proposed transaction quantity. After the user makes the adjustment, the transaction direction and transaction quantity of the selected contract change, so the new suggested transaction directions and new suggested transaction quantities of the remaining contracts in the contract list change accordingly.

[0128] In one embodiment, the user selects only one risk indicator. In this embodiment, the step of determining the intended transaction direction and intended transaction amount of the contract selected from all contracts is as follows: Figure 5 As shown, the following steps may be included:

[0129] Step 501, for each contract among all contracts, after the contract is selected, obtain the total position index value of the risk index before the contract is selected.

[0130] Step 502, based on the difference between the target index value and the total position index value and the index value of the currently selected contract, obtain the new suggested transaction direction and the new suggested transaction quantity of the currently selected contract, and display them on the user interface for user reference.

[0131] Step 503, determining the intended transaction direction and intended transaction quantity of the currently selected contract according to the transaction direction information and transaction quantity information input by the user.

[0132] Below, we will still take the example of the option contract to be hedged, which is the silver option expiring in September, the underlying contract is ag2309, and the risk indicator is Delta.

[0133] In one embodiment, for each of all the above contracts, after the contract is selected, the client obtains the total position index value of Delta before the contract is selected.

[0134] Except for the first selected contract in the risk group, after each contract in the remaining selected contracts is selected, the total position index value of Delta before the contract is selected is obtained. The total position index value of Delta is the sum of the actual index value and the virtual index value. The virtual index value is the index value of the total risk index of the virtual positions composed of all selected but untraded contracts.

[0135] Delta 总持仓 =Delta 虚拟 +Delta 实际 (13)

[0136] Among them, Delta 总持仓 Delta is the total position index value of Delta. 虚拟 It is the virtual indicator value of Delta.

[0137] Among them, the calculation formula of Delta's virtual indicator value is as follows:

[0138]

[0139] Among them, j is the jth contract selected, Delta j is the index value of Delta of the selected j-th contract, Position j is the position of the selected j-th contract, where long positions are positive numbers and short positions are negative numbers.

[0140] like Figure 4 As shown in the figure, the user chose to sell 120 lots of ag2309C5500 (Delta index value is 0.6475) and buy 39 lots of ag2309C5800 (Delta index value is 0.2042), then

[0141] Delta 虚拟 =-120*0.6475+39*0.2042=-69.7362 (15)

[0142] Among them, Delta 实际 is 69.7089, which is displayed in the current account actual situation display area 24 of the first user interface 20. 总持仓Displayed in the total position index value display area 28 of the first user interface 20.

[0143] Then, according to the difference between Delta's target index value and Delta's total position index value and the index value of the currently selected contract, the new suggested transaction direction and new suggested transaction quantity of the currently selected contract are obtained and displayed in the user interface for user reference. In this way, the suggested transaction direction and suggested transaction quantity of the contract are more valuable for reference.

[0144] Then, the user can adjust the contract's trading direction and trading quantity by referring to the contract's new suggested trading direction and new suggested trading quantity. The client determines the proposed trading direction and proposed trading quantity of the currently selected contract based on the trading direction information and trading quantity information input by the user.

[0145] In one embodiment, a user may select multiple risk indicators. The priorities of multiple risk indicators are different. The priorities of multiple risk indicators may be determined based on the user's selection. When a user selects multiple risk indicators, the steps for determining the intended transaction direction and intended transaction quantity of a contract selected from all contracts are different from when the user selects one risk indicator. When a user selects 3 or more risk indicators, the steps for determining the intended transaction direction and intended transaction quantity of a contract selected from all contracts are similar to when the user selects two risk indicators. The following is an example of the steps for determining the intended transaction direction and intended transaction quantity of a contract selected from all contracts when the user selects two risk indicators.

[0146] For example, the risk indicator selected by the user includes a first risk indicator and a second risk indicator. The first risk indicator may be Delta, and the second risk indicator may be Gamma. Figure 6 As shown, the step of determining the intended transaction direction and intended transaction amount of the contract selected from all contracts may include the following steps:

[0147] Step 601: Obtain a selection instruction for selecting a priority of a risk indicator.

[0148] In one embodiment, the client may receive a selection instruction input by a user for selecting a priority of a risk indicator. In this embodiment, the selection instruction is used to indicate that the priority of the first risk indicator is higher than the priority of the second risk indicator.

[0149] Step 602: Determine a risk indicator with a higher priority from the first risk indicator and the second risk indicator according to the selection instruction.

[0150] Continuing with the above embodiment, the client may determine a high-priority risk indicator and a low-priority risk indicator from the first risk indicator and the second risk indicator according to the selection instruction.

[0151] Step 603, for each contract among all contracts, after the contract is selected, obtain the total position index value of the risk index with a high priority before the contract is selected.

[0152] Step 604, for the high-priority risk indicator, according to the difference between the target indicator value and the total position indicator value and the indicator value of the currently selected contract, obtain the new recommended transaction direction and the new recommended transaction quantity of the currently selected contract.

[0153] Steps 603 to 604 are similar to the above-mentioned steps 501 to 502 and will not be described in detail herein.

[0154] Step 605, after obtaining the new suggested transaction direction and the new suggested transaction quantity for all contracts, for each contract, obtain the total position index value of the risk indicator with low priority for the contract under the new suggested transaction direction and the new suggested transaction quantity.

[0155] Continuing with the above embodiment, after obtaining the new suggested transaction direction and the new suggested transaction quantity for all contracts, for each contract, the client obtains the total position index value of Gamma of the contract under the new suggested transaction direction and the new suggested transaction quantity.

[0156]

[0157] Gamma Calculate = x i *Gamma i (17)

[0158] Among them, x i is the new recommended trading direction and new recommended trading quantity of the i-th contract in the risk group, Gamma i is the index value of Gamma of the i-th contract in the risk group, and Gamma Calculate is the total position index value of Gamma of the i-th contract in the risk group under the new recommended trading direction and the new recommended trading quantity.

[0159] Step 606, determine the target contract whose total position index value of the low-priority risk index is closest to the target index value of the low-priority risk index from all contracts, and display the new suggested transaction direction and new suggested transaction quantity of the target contract on the user interface for user reference; wherein, the new suggested transaction quantities of the remaining contracts except the target contract are set to zero.

[0160] Continuing with the above embodiment, the target contract whose total position index value of Gamma is closest to the target index value of Gamma is determined from all contracts, and the new suggested transaction direction and new suggested transaction quantity of the target contract are displayed on the user interface for user reference. The target contract can be one contract or more than two contracts.

[0161] Step 607, determining the intended transaction direction and intended transaction quantity of the target right contract according to the transaction direction information and transaction quantity information input by the user.

[0162] Step 607 is similar to the above-mentioned step 503 and will not be described again.

[0163] Step 105, according to the actual index value of the risk index of the current position under the position account, the intended transaction direction and the intended transaction quantity of the selected contract, the total position index value is obtained, and displayed on the user interface so that the user can judge whether the difference between the target index value and the total position index value is within the range expected by the user; the total position index value is the sum of the actual index value and the virtual index value, and the virtual index value is the index value of the total risk index of the virtual position composed of all the selected contracts.

[0164] In one embodiment, the user selects a risk indicator. The client obtains the total position indicator value based on the actual indicator value of the risk indicator of the current position under the position account, the intended transaction direction and the intended transaction amount of the selected contract, and displays it on the user interface for the user to judge whether the difference between the target indicator value and the total position indicator value is within the range expected by the user. For example, the client obtains the total position indicator value of Delta based on the actual indicator value of the current position Delta under the position account, the intended transaction direction and the intended transaction amount of the selected contract, and displays it in the total position indicator value display area 28 of the first user interface 20 for the user to judge whether the difference between the target indicator value of Delta and the total position indicator value of Delta is within the range expected by the user.

[0165] Users can independently determine whether the difference between Delta's target index value and Delta's total position index value is within their expected range, for example Figure 4 The total position index value of Delta displayed in the total position index value display area 28 is -0.03, that is, the difference between the target index value of Delta and the total position index value of Delta is 0.03. If the user's psychological expectation is to hedge Delta to the range of -0.05 to 0.05, then step 106 can be executed to place an order. If the user wants to hedge Delta to the range of -0.01 to 0.01, the user can return to step 103 to reselect the contract until the difference between the target index value of Delta and the total position index value of Delta is within the range expected by the user and then place an order.

[0166] In addition, the calculation results of the situation after the Greek value hedging will be displayed in the Greek value hedging result display area 29, which can intuitively display the effect after hedging for user reference. The technical solution provided by this application can intuitively display the effect after hedging in real time.

[0167] Step 106, receiving a transaction instruction so that the server can trade according to the intended transaction direction and intended transaction quantity of the selected contract.

[0168] In one embodiment, the client receives a transaction instruction input by the user to trade according to the intended transaction direction and intended transaction amount of the selected contract. After receiving the transaction instruction from the client, the server performs the transaction according to the intended transaction direction and intended transaction amount of the selected contract.

[0169] In one embodiment, before step 106, the following steps are also included: obtaining the order parameters selected by the user on the user interface. The order parameters may include price parameters and order issuance methods. The price parameter is one of the latest price, the opponent's price and the queue price. The order issuance method is one of GFD (Good for Day, valid order for the day), FAK (Fill and Kill, partial success, partial withdrawal) and FOK (Fill or Kill, all success, all withdrawal).

[0170] Among them, GFD is the default GFD instruction for entrustment. FAK means that part of the order is executed, and the unexecuted part is immediately cancelled. FAK order cancellation is not included in the exchange's abnormal order cancellation statistics (but the information volume is still calculated). The Shanghai Stock Exchange and Shenzhen Stock Exchange do not support FAK instructions. FOK means that all the orders are either executed or all orders are cancelled immediately if all orders cannot be executed. FOK order cancellation is not included in the exchange's abnormal order cancellation statistics (but the information volume is still calculated). Zhengzhou Commodity Exchange does not support FOK instructions.

[0171] In this embodiment, by obtaining the target index value of the position account, the option contract type to be hedged and at least one risk index input in the user interface, the actual index value of at least one risk index of the current position under the position account can be obtained, and for each contract of all contracts belonging to the option contract type to be hedged under the position account, based on the difference between the target index value and the actual index value of each risk index and the index value of the contract, the initial recommended transaction direction and the initial recommended transaction quantity of the contract can be obtained, and displayed on the user interface for user reference. Among them, all the above-mentioned contracts include option contracts and underlying contracts. Then, the intended transaction direction and the intended transaction quantity of the contract selected from all the contracts can be determined, and the total position index value can be obtained according to the actual index value, the intended transaction direction and the intended transaction quantity of the selected contract, and displayed on the user interface for the user to judge whether the difference between the target index value and the total position index value is within the range expected by the user. When it is within the expected range, the user can enter a transaction instruction. When it is not within the expected range, the user can adjust the selected contract and its intended transaction direction and intended transaction quantity until the difference between the target index value and the total position index value is within the range expected by the user. Among them, the total position index value is the sum of the actual index value and the virtual index value, and the virtual index value is the index value of the total risk index of the virtual position composed of all selected contracts. Finally, a trading instruction can be received so that the server can trade according to the intended trading direction and intended trading quantity of the selected contract.

[0172] The technical solution provided by this application can automatically calculate the contracts that need to be hedged and provide the initial recommended transaction direction and the initial recommended transaction quantity for user reference, without the need for manual calculation by the user, with high efficiency, high accuracy and no error proneness. The user can adjust the selected contract and its intended transaction direction and intended transaction quantity through the client, which is convenient to adjust and reduces the requirements for the user's relevant professional knowledge. Displaying the total position index value and the target index value of the risk index through the client's user interface can not only reflect market risks, but also help users reduce the risk of their investment portfolios and improve the hedging effect of their investment portfolios.

[0173] The technical solution provided by this application solves the problem that users want to hedge Greek values ​​but suffer from insufficient programming capabilities or complex calculation formulas and difficulties in operation. It helps users quickly build hedging strategies while having the advantage of interactive visualization.

[0174] Figure 7 is a flow chart of a method for adjusting the risk of an investment portfolio according to another exemplary embodiment. The method for adjusting the risk of an investment portfolio is applied to a system consisting of a client and a server. An exchange counter is installed on the server. Figure 7 , the method for adjusting the risk of the investment portfolio may include the following steps:

[0175] Step 701, the client obtains the position account, the option contract type to be hedged, the target indicator value of at least one risk indicator, and the selected target option pricing model input in the user interface.

[0176] This step is similar to the above-mentioned step 101 and will not be described again here.

[0177] Step 702: The server obtains the market information of all options contracts to be hedged under the position account.

[0178] This step is similar to the above-mentioned step 301 and will not be described again here.

[0179] Step 703: The client obtains the actual indicator value of at least one risk indicator of the current position based on the target option pricing model and market information.

[0180] This step is similar to the above-mentioned step 302 and will not be described again here.

[0181] In step 704, the client obtains the initial recommended trading direction and initial recommended trading quantity of each contract among all the option contract varieties to be hedged under the position account based on the difference between the target indicator value and the actual indicator value of each risk indicator and the indicator value of the contract, and displays them on the user interface for user reference.

[0182] This step is similar to the above-mentioned step 103 and will not be described again here.

[0183] Step 705 , the client determines the intended transaction direction and intended transaction amount of the contract selected from all contracts.

[0184] This step is similar to the above-mentioned step 104 and will not be described again here.

[0185] Step 706, the client calculates a virtual index value according to the intended transaction direction and intended transaction quantity of the selected contract, where the virtual index value is the index value of the total risk index of the virtual positions constituted by all the selected contracts.

[0186] The content of calculating the virtual indicator value according to the intended trading direction and intended trading quantity of the selected option contract in this step has been introduced above and will not be repeated here.

[0187] Step 707: The client obtains the total position index value based on the actual index value and the virtual index value, and displays it on the user interface so that the user can determine whether the difference between the target index value and the total position index value is within the range expected by the user; the total position index value is the sum of the actual index value and the virtual index value.

[0188] This step is similar to the above-mentioned step 105 and will not be described again here.

[0189] Step 708: The client receives the transaction instruction.

[0190] This step is similar to the above-mentioned step 106 and will not be described again here.

[0191] Step 709: The client sends a transaction instruction to the server.

[0192] In this step, after receiving the transaction instruction, the client sends the transaction instruction to the server. The transaction instruction carries the intended transaction direction and intended transaction amount of the selected contract.

[0193] Step 710: The server performs the transaction according to the transaction instruction.

[0194] In this step, the server responds to the trading instruction sent by the client and conducts the transaction according to the intended trading direction and intended trading quantity of the option contract selected by the user carried in the trading instruction.

[0195] Figure 8 is a flow chart of a method for adjusting the risk of an investment portfolio according to another exemplary embodiment. In this embodiment, the risk indicator is Delta. Figure 8 The portfolio risk adjustment method, when applied to a client, may include the following steps:

[0196] Step 801, obtain the position account, the option contract type to be hedged and the target index value of Delta entered in the user interface.

[0197] This step is similar to the above-mentioned step 101 and will not be described again here.

[0198] Step 802, obtain the actual index value of Delta of the current position in the position account.

[0199] This step is similar to the above-mentioned step 102 and will not be described again here.

[0200] Step 803, for each contract of all the option contract varieties to be hedged under the position account, based on the difference between the target index value of Delta and the actual index value of Delta of the current position and the index value of the contract, obtain the initial recommended transaction direction and initial recommended transaction quantity of the contract, and display them on the user interface for user reference.

[0201] This step is similar to the above-mentioned step 103 and will not be described again here.

[0202] Step 804, determining the intended transaction direction and intended transaction quantity of the contract selected from all contracts.

[0203] This step is similar to the above-mentioned step 104 and will not be described again here.

[0204] Step 805, based on the actual index value of the Delta of the current position, the intended transaction direction and the intended transaction quantity of the selected contract, the total position index value is obtained and displayed on the user interface so that the user can judge whether the difference between the target index value and the total position index value is within the range expected by the user; the total position index value is the sum of the actual index value of the Delta of the current position and the virtual index value, and the virtual index value is the index value of the total risk index of the virtual position composed of all the selected contracts.

[0205] This step is similar to the above-mentioned step 105 and will not be described again here.

[0206] Step 806, receiving a transaction instruction so that the server can trade according to the intended transaction direction and intended transaction quantity of the selected contract.

[0207] This step is similar to the above-mentioned step 106 and will not be described again here.

[0208] In this embodiment, hedging is performed based on a Greek value Delta, which can simplify the adjustment strategy and improve the adjustment efficiency.

[0209] Fig. 9 is a flow chart of a method for adjusting the risk of an investment portfolio according to another exemplary embodiment. In this embodiment, the risk indicators are Delta and Gamma. The priority of Delta is higher than that of Gamma. Fig. 9 The portfolio risk adjustment method, when applied to a client, may include the following steps:

[0210] Step 901, obtain the position account, the option contract type to be hedged, the target index value of Delta, and the target index value of Gamma entered in the user interface.

[0211] This step is similar to the above-mentioned step 101 and will not be described again here.

[0212] Step 902, obtain the actual index value of Delta and the actual index value of Gamma of the current position in the position account.

[0213] In this step, obtaining the actual index value of Delta of the current position under the position account is similar to the above-mentioned step 102, which will not be repeated here.

[0214] In one embodiment, the calculation method of the actual index value of Gamma of the current position under the position account is as follows.

[0215] Among them, the calculation formula of the Gamma index value of the contract is as follows:

[0216]

[0217] Among them, Gamma 合约 is the index value of the Gamma of the contract, S0 is the underlying price, π is the portfolio value, T is the remaining time from the contract expiration date, σ represents the volatility, K represents the strike price of the contract, N(·) represents the cumulative probability distribution function of the standard normal distribution variable, and q represents the dividend rate.

[0218]

[0219] From the definition of Gamma:

[0220]

[0221] It can be seen that the Gamma values ​​of the same underlying contracts can be added, so we can get

[0222]

[0223] Among them, Gamma 实际 Gamma is the actual indicator value of the risk group position (the current position under the position account). i It is the index value of Gamma of the i-th contract in the risk group.

[0224] Step 903, for each of the Delta and Gamma in all the options contracts to be hedged under the position account, based on the difference between the target index value and the actual index value of the current position, the index value of the contract and the optimization conditions, obtain the initial recommended transaction direction and initial recommended transaction quantity of the contract, and display them on the user interface for user reference.

[0225] In this embodiment, based on the difference between the target index value of Delta and the actual index value of Delta of the current position under the position account and the index value of the contract, the initial recommended trading direction and initial recommended trading quantity of the contract are obtained in a similar manner to the above method and will not be repeated here.

[0226] In this embodiment, the target index value of Gamma is compared with the actual index value of Gamma (Gamma 持仓 ) is calculated as follows:

[0227] Gamma Gap=Gamma 目标 -Gamma 持仓 (twenty two)

[0228] Among them, Gamma Gap is the difference between the target index value of Gamma and the actual index value of Gamma in the current position of the position account. 目标 is the target indicator value of Gamma.

[0229] And according to the optimization conditions:

[0230]

[0231] Gamma Calculate = x i *Gamma i (17)

[0232] The Gamma Calculate with the smallest absolute value is taken to give the initial recommended trading direction and initial recommended trading quantity of the contract, which are then displayed in the user interface for user reference.

[0233] Step 904, determining the intended transaction direction and intended transaction quantity of the contract selected from all contracts.

[0234] This step is similar to the above-mentioned step 104 and will not be described again here.

[0235] Step 905, for each of Delta and Gamma, the total position index value is obtained according to the actual index value of the current position, the intended trading direction and the intended trading quantity of the selected contract, and is displayed on the user interface so that the user can judge whether the difference between the target index value and the total position index value is within the user's expected range; the total position index value is the sum of the actual index value and the virtual index value, and the virtual index value is the index value of the total risk index of the virtual position composed of all the selected contracts.

[0236] In this embodiment, the client will obtain the total position index value of Delta based on the actual index value of the current position, the intended trading direction and the intended trading quantity of the selected contract, and will also obtain the total position index value of Gamma based on the actual index value of the current position, the intended trading direction and the intended trading quantity of the selected contract.

[0237] Among them, the calculation formula of Gamma's total position indicator value is as follows:

[0238] Gamma 总持仓 =Gamma 虚拟 +Gamma 实际 (twenty three)

[0239] Among them, Gamma 总持仓 Gamma is the total position indicator value of Gamma. 虚拟 is the virtual indicator value of Gamma.

[0240] Among them, the calculation formula of Gamma's virtual index value is as follows:

[0241]

[0242] Among them, j is the jth contract selected, Gamma j It is the index value of Gamma of the j-th contract selected.

[0243] After the client obtains the total position index value of Delta and the total position index value of Gamma, it is displayed on the user interface so that the user can judge whether the difference between the target index value and the total position index value is within the range expected by the user.

[0244] The user can independently determine whether the difference between Delta's target index value and Delta's total position index value and the difference between Gamma's target index value and Gamma's total position index value are within the expected range. If they are within the expected range, the user can execute step 906 to place an order. If they are not within the expected range, the user can return to step 903 to reselect the contract until the difference between Delta's target index value and Delta's total position index value and the difference between Gamma's target index value and Gamma's total position index value are within the expected range before placing an order.

[0245] Step 906, receiving a transaction instruction so that the server can trade according to the intended transaction direction and intended transaction quantity of the selected contract.

[0246] This step is similar to the above-mentioned step 106 and will not be described again here.

[0247] In this embodiment, hedging based on the two Greek values ​​Delta and Gamma can further reduce the risk of the investment portfolio.

[0248] In summary, this application provides a method and tool that can be visualized and conveniently use financial instruments to adjust the risk of investment portfolios, which can intuitively display and improve the accuracy of Greek value hedging and meet the actual needs of users. The technical solution provided by this application has the following advantages:

[0249] 1. Improve efficiency and accuracy. When market data changes rapidly and the naked eye has certain limitations, it provides a visual and efficient calculation method to save users time, money, and energy to quickly hedge Greek values, hedge investment portfolios, and seize fleeting market opportunities.

[0250] 2. Place orders for multiple contracts at the same time. Select multiple contracts to place orders at the same time and lock in the best price without placing orders for each contract separately.

[0251] 3. Intuitive, real-time, and adjustable. Users can directly see the Greek values ​​and position profits and losses of current actual positions and virtual positions (selected, unordered contracts) in the user interface, and can quickly adjust strategies based on real-time market conditions and real-time changes in Greek values.

[0252] Fig.10 FIG. 1 is a block diagram of a device for adjusting the risk level of an investment portfolio according to an exemplary embodiment. Fig.10 As shown, in this embodiment, the device for adjusting the investment portfolio risk includes:

[0253] The first acquisition module 91 is configured to acquire the position account, the option contract type to be hedged and the target indicator value of at least one risk indicator input in the user interface;

[0254] A second acquisition module 92 is configured to acquire an actual indicator value of the at least one risk indicator of the current position under the position account;

[0255] The third acquisition module 93 is configured to acquire, for each contract of all contracts belonging to the option contract type to be hedged under the position account, an initial recommended transaction direction and an initial recommended transaction quantity of the contract based on the difference between the target indicator value and the actual indicator value of each risk indicator and the indicator value of the contract; wherein the contract includes the option contract and the underlying contract;

[0256] A display module 94, configured to display the initial suggested transaction direction and initial suggested transaction amount of the contract on the user interface for user reference;

[0257] A determination module 95 is configured to determine a proposed transaction direction and a proposed transaction amount of a contract selected from all contracts;

[0258] A fourth acquisition module 96 is configured to acquire a total position index value according to the actual index value, the intended transaction direction and the intended transaction amount of the selected contract; the total position index value is the sum of the actual index value and the virtual index value, and the virtual index value is the index value of the total risk index of the virtual positions constituted by all the selected contracts;

[0259] The display module 94 is further configured to display the total position index value on the user interface so that the user can judge whether the difference between the target index value and the total position index value is within the range expected by the user;

[0260] The receiving module 95 is configured to receive a transaction instruction so that the server can trade according to the intended transaction direction and intended transaction quantity of the selected contract.

[0261] An embodiment of the present application also proposes an electronic device, including a processor and a memory; the memory is used to store a computer program executable by the processor; the processor is used to execute the computer program in the memory to implement the investment portfolio risk adjustment method of any of the above embodiments.

[0262] The embodiments of the present application further provide a computer-readable storage medium. When the executable computer program in the storage medium is executed by a processor, the method for adjusting the investment portfolio risk of any of the above embodiments can be implemented.

[0263] Regarding the device in the above embodiment, the specific manner in which the processor performs the operation has been described in detail in the embodiment of the method, and will not be elaborated here.

[0264] Fig.11 1 is a block diagram of an electronic device according to an exemplary embodiment. For example, the electronic device 1000 may be provided as a server. Fig.11 The device 1000 includes a processing component 1022, which further includes one or more processors, and a memory resource represented by a memory 1032 for storing instructions, such as applications, that can be executed by the processing component 1022. The application stored in the memory 1032 may include one or more modules, each corresponding to a set of instructions. In addition, the processing component 1022 is configured to execute instructions to perform the above-mentioned method for adjusting the risk of a portfolio.

[0265] The device 1000 may also include a power supply component 1026 configured to perform power management of the device 1000, a wired or wireless network interface 1050 configured to connect the device 1000 to a network, and an input / output (I / O) interface 1058. The device 1000 may operate based on an operating system stored in the memory 1032, such as Windows Server™, MacOS X™, Unix™, Linux™, FreeBSD™, or the like.

[0266] In an exemplary embodiment, a non-transitory computer-readable storage medium including instructions is also provided, such as a memory 1032 including instructions, which can be executed by the processing component 1022 of the device 1000 to perform the above method. For example, the non-transitory computer-readable storage medium can be a ROM, a random access memory (RAM), a CD-ROM, a magnetic tape, a floppy disk, an optical data storage device, etc.

[0267] In the present invention, the terms "first" and "second" are used for descriptive purposes only and cannot be understood as indicating or implying relative importance. The term "plurality" refers to two or more than two, unless otherwise clearly defined.

[0268] The above description of the embodiments is to facilitate those of ordinary skill in the art to understand and apply the present application. It is obvious that those familiar with the art can easily make various modifications to these embodiments and apply the general principles described herein to other embodiments without having to pay creative labor. Therefore, the present application is not limited to the embodiments herein, and improvements and modifications made by those skilled in the art based on the contents disclosed in the present application without departing from the scope and spirit of the present application are within the scope of the present application.

Claims

1. A method for adjusting the risk of an investment portfolio, characterized in that: Applied to the client, the method comprises: Obtain the position account, the option contract type to be hedged and the target indicator value of at least one risk indicator entered in the user interface; Obtaining an actual indicator value of the at least one risk indicator of the current position under the position account; For each contract of all contracts of the option contract to be hedged under the position account, based on the difference between the target index value and the actual index value of each risk index and the index value of the contract, an initial recommended transaction direction and an initial recommended transaction quantity of the contract are obtained, and displayed on the user interface for user reference; wherein the contract includes an option contract and an underlying contract; Determine the intended transaction direction and intended transaction quantity of the contract selected from all contracts; According to the actual index value, the intended transaction direction and the intended transaction amount of the selected contract, the total position index value is obtained and displayed on the user interface so that the user can judge whether the difference between the target index value and the total position index value is within the interval expected by the user; the total position index value is the sum of the actual index value and the virtual index value, and the virtual index value is the index value of the total risk index of the virtual positions constituted by all the selected contracts; Receive transaction instructions so that the server can trade according to the intended transaction direction and quantity of the selected contract.

2. The method for adjusting the risk of an investment portfolio according to claim 1, characterized in that: The risk indicator includes at least one of a Greek value and a cash Greek value.

3. The method for adjusting the risk of an investment portfolio according to claim 2, characterized in that: When the risk indicators include Greek values, at least one risk indicator includes any one or any combination of Delta, Gamma, Theta, Rho, and Vega; When the risk indicators include Cash Greeks, at least one risk indicator includes any one or any combination of Cash Delta, Cash Gamma, Cash Theta, Cash Rho, and Cash Vega.

4. The method for adjusting the risk of an investment portfolio according to claim 1, characterized in that: Before obtaining the actual indicator value of the at least one risk indicator of the current position in the position account, the method further includes: Get the target option pricing model selected on the user interface; The obtaining of the actual indicator value of the at least one risk indicator of the current position under the position account includes: Obtaining market information of all contracts of the option contract type to be hedged under the position account; The actual indicator value of the at least one risk indicator of the current position is obtained according to the target option pricing model and the market information.

5. The method for adjusting investment portfolio risk as claimed in claim 1, characterized in that: The at least one risk indicator includes only one risk indicator; the determining of the intended transaction direction and intended transaction amount of the contract selected from all contracts includes: For each contract among all the contracts, after the contract is selected, obtaining the total position index value of the risk index before the contract is selected; According to the difference between the target index value and the total position index value and the index value of the currently selected contract, a new suggested transaction direction and a new suggested transaction quantity of the currently selected contract are obtained, and displayed on the user interface for user reference; The proposed transaction direction and the proposed transaction quantity of the currently selected contract are determined according to the transaction direction information and the transaction quantity information input by the user.

6. The method for adjusting the risk of an investment portfolio as claimed in claim 1, characterized in that: The at least one risk indicator includes a first risk indicator and a second risk indicator; The determining of the intended transaction direction and intended transaction quantity of the contract selected from all contracts includes: Get a selection instruction for selecting a priority of risk indicators; Determine a risk indicator with a higher priority from the first risk indicator and the second risk indicator according to the selection instruction; For each contract among all the contracts, after the contract is selected, obtaining the total position index value of the risk index with a high priority before the contract is selected; For the risk indicator with a high priority, according to the difference between the target indicator value and the total position indicator value and the indicator value of the currently selected contract, obtain the new suggested transaction direction and the new suggested transaction quantity of the currently selected contract; After obtaining the new suggested transaction directions and new suggested transaction quantities for all contracts, for each contract, obtain the total position index value of the risk indicator with the lowest priority for the contract under the new suggested transaction direction and the new suggested transaction quantity; Determine the target contract whose total position index value of the low-priority risk index is closest to the target index value of the low-priority risk index from all contracts, and display the new suggested transaction direction and new suggested transaction amount of the target contract on the user interface for user reference; wherein the new suggested transaction amounts of the remaining contracts except the target contract are set to zero; The intended transaction direction and intended transaction quantity of the target right contract are determined according to the transaction direction information and transaction quantity information input by the user.

7. The method for adjusting the risk of an investment portfolio as claimed in claim 1, characterized in that: Before receiving the transaction instruction so that the server can trade according to the intended transaction direction and intended transaction quantity of the selected contract, the process further includes: For each contract of all contracts of the option contract variety to be hedged under the position account, the hedging cost is obtained and displayed on the user interface for user reference.

8. The method for adjusting investment portfolio risk as claimed in claim 1, characterized in that: Before receiving the transaction instruction so that the server can trade according to the intended transaction direction and intended transaction quantity of the selected contract, the process further includes: Obtain the order parameters selected by the user on the user interface.

9. A device for adjusting the risk level of an investment portfolio, characterized in that: include: A first acquisition module is configured to acquire the position account, the option contract type to be hedged and the target indicator value of at least one risk indicator input in the user interface; A second acquisition module is configured to acquire an actual indicator value of the at least one risk indicator of the current position under the position account; A third acquisition module is configured to acquire, for each contract of all contracts belonging to the option contract type to be hedged under the position account, an initial recommended transaction direction and an initial recommended transaction quantity of the contract based on the difference between the target indicator value and the actual indicator value of each risk indicator and the indicator value of the contract; wherein the contract includes an option contract and an underlying contract; A display module, configured to display the initial suggested transaction direction and initial suggested transaction amount of the contract on the user interface for user reference; A determination module, configured to determine a proposed transaction direction and a proposed transaction amount of a contract selected from all contracts; A fourth acquisition module is configured to acquire a total position index value according to the actual index value, the intended transaction direction and the intended transaction amount of the selected contract; the total position index value is the sum of the actual index value and the virtual index value, and the virtual index value is the index value of the total risk index of the virtual positions constituted by all the selected contracts; The display module is further configured to display the total position index value on the user interface so that the user can judge whether the difference between the target index value and the total position index value is within the range expected by the user; The receiving module is configured to receive a transaction instruction so that the server can trade according to the intended transaction direction and intended transaction quantity of the selected contract.

10. An electronic device, characterized in that: The method comprises a memory and a processor, wherein the memory is used to store a computer program executable by the processor; and the processor is used to execute the computer program in the memory to implement the method according to any one of claims 1 to 8.

11. A computer-readable storage medium having a computer program stored thereon, characterized in that: When the executable computer program in the storage medium is executed by a processor, the method according to any one of claims 1 to 8 can be implemented.

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