Value estimation method and system for authorized bond

Abstract

The invention discloses a valuation method and system for an authorized bond. The method comprises the following steps: acquiring an instant yield curve corresponding to a bond type; generating a time sequence of the interest rate binary tree according to the bond starting date, the bond expiration date, the bond payment frequency and the step length of the interest rate binary tree; calculating a long-term return rate between two adjacent nodes of the interest rate binary tree according to the instant return rate curve of the bond and the time sequence of the interest rate binary tree; calculating a long-term volatility between two adjacent nodes of the interest rate binary tree according to a long-term yield between two adjacent nodes of the interest rate binary tree and a historical day number of the historical volatility sample; constructing an interest rate binary tree according to the long-term fluctuation ratio between two adjacent nodes of the interest rate binary tree, and calculating the instant return rate and bond value of each node of the interest rate binary tree; and adjusting the bond value of each node of the interest rate binary tree according to the bond right type, and calculating the value of the bond on an estimation day according to the instant return rate of each node and the adjusted bond value of each node.

Description

Technical Field

[0001] The present invention relates to the technical field of financial data processing, and in particular to a valuation method and system for equity-containing bonds. Background Art

[0002] Option-containing bonds refer to bonds with options in the bond terms, including but not limited to bonds with investor put options, bonds with issuer redemption options, bonds with coupon rate adjustment options, bonds with deferred payment options, bonds with investor exchange options, and bonds with directional transfer options. With the rapid development of financial market businesses of financial institutions and the increasing variety of financial products, the valuation of financial derivatives is crucial to the management of market risk, credit risk, and liquidity risk. By accurately assessing the value of financial derivatives, financial institutions can better assess and control related risks, thereby formulating more effective risk management strategies.

[0003] Prior to this, the China Bond Valuation Center released the "Valuation Method for Interest-bearing Fixed-rate Bonds with Investor's Put Right and Issuer's Option to Adjust Coupon Rate" in December 2020, which detailed the China Bond Valuation Method for bonds with embedded "put right + coupon rate adjustment" clauses. This method mainly judges the possibility of exercising the right by the trend of forward interest rates. The specific process of the method is to first calculate the expected equilibrium coupon rate, then compare the expected equilibrium coupon rate with the agreed coupon rate adjustment range to determine whether to exercise the right and recommend long-term or short-term valuation, and finally perform valuation according to the recommended direction using the cash flow discount model.

[0004] The method of discounted cash flow according to the recommended direction adopted by China Bond Valuation Center has the following disadvantages:

[0005] 1. Except for option bonds with investors’ put options and issuers’ options to adjust the coupon rate, other types of option bonds cannot be valued, which cannot meet the market participants’ requirements for the refined valuation of option bonds.

[0006] 2. The valuation model does not include input parameters for interest rate volatility. Therefore, in risk management, when measuring the impact of different risk factors on valuation, the impact of volatility on valuation cannot be separated for separate analysis.

[0007] 3. It cannot meet the measurement of Vega capital in the market risk capital measurement of commercial banks. Summary of the invention

[0008] In view of the deficiencies in the prior art, the present invention provides a valuation method and system for equity-linked bonds, which introduces historical volatility when constructing an interest rate binary tree, effectively improving the accuracy of value calculation of equity-linked bonds.

[0009] The first object of the present invention is to provide a valuation method for equity-containing bonds, comprising:

[0010] Get the spot yield curve corresponding to the bond type;

[0011] Generate a time series of interest rate binary tree based on the bond interest value date, maturity date, bond interest payment frequency, and interest rate binary tree step size;

[0012] According to the spot yield curve of the bond and the time series of the interest rate binary tree, the forward yield between two adjacent nodes of the interest rate binary tree is calculated;

[0013] Calculate the forward volatility between two adjacent nodes of the interest rate binary tree based on the forward yield between two adjacent nodes and the historical days of the historical volatility samples;

[0014] Construct an interest rate binary tree based on the forward volatility between two adjacent nodes of the interest rate binary tree, and calculate the spot yield and bond value of each node of the interest rate binary tree;

[0015] The bond value of each node in the interest rate binary tree is adjusted according to the bond's right type, and the value of the bond on the valuation date is calculated based on the spot yield of each node and the adjusted bond value of each node.

[0016] As a further improvement of the present invention, the time series of generating the interest rate binary tree includes:

[0017] Generate the bond interest payment sequence D1 based on the value date, maturity date, and bond interest payment frequency;

[0018] Generate the time series D2 of the interest rate binary tree according to the interest value date, maturity date and interest rate binary tree step size;

[0019] The time series of the interest rate binary tree is D0=D1∪D2.

[0020] As a further improvement of the present invention, the forward rate of return between two adjacent nodes of the interest rate binary tree is calculated as follows:

[0021]

[0022] Among them, Node i-1 Node i are two adjacent nodes on the interest rate binary tree, each node represents a time point; df(t,Node i ) is the discount factor from time point Nodei to valuation date t; discount2rate() is the function of converting discount factor into forward rate of return.

[0023] As a further improvement of the present invention, the method of calculating the forward volatility between two adjacent nodes of the interest rate binary tree includes:

[0024] Calculate the logarithmic change of the forward yield between two adjacent days and two adjacent nodes in each historical day The calculation formula is:

[0025]

[0026] Among them, r t (Node i-1 ,Node i ) is the forward rate of return between two adjacent nodes on the tth day in the historical volatility sample;

[0027] According to the logarithmic change of the forward yield between two adjacent nodes and the historical days of the historical volatility sample, the forward volatility between two adjacent nodes of the interest rate binary tree is calculated by the square root rule. The calculation formula is:

[0028]

[0029]

[0030]

[0031] Where n is the number of historical days of the historical volatility sample, is the mean of the logarithmic change of the forward yield between two adjacent nodes on the tth day in the historical volatility sample, is the daily volatility between two adjacent nodes, is the forward volatility between two adjacent nodes of the interest rate binary tree.

[0032] As a further improvement of the present invention, the spot yield of each node of the interest rate binary tree is calculated according to the forward volatility between two adjacent nodes of the interest rate binary tree, and according to the random walk characteristics of the interest rate changes of each node of the interest rate binary tree and the no-arbitrage principle.

[0033] As a further improvement of the present invention, the step of calculating the spot yield of each node of the interest rate binary tree includes:

[0034] Define two adjacent time nodes t of the interest rate binary tree i-1 With t i The spot rate of return under each path is r u(i-k),d(k) , and the corresponding discount rate d u(i-k),d(k) , we get the relationship between the spot rate of return and the discount rate:

[0035]

[0036] Among them, u() is the upward change of interest rate between two time nodes, d() is the downward change of interest rate between two time nodes, and ik represents the interest rate at time node ti The number of upward changes at time t, k represents the interest rate at time node t i The number of downward changes at the position, k is an integer not less than 0, TF(t i-1 ,t i ) are two adjacent time nodes t i-1 With t i The annualized time interval between

[0037] According to the forward volatility between two adjacent nodes of the interest rate binary tree and the random walk characteristics of interest rate changes at each node of the interest rate binary tree, the relationship between the rising interest rate and the falling interest rate at each node of the interest rate binary tree is obtained:

[0038]

[0039] Among them, TF (Node i-1 ,Node i ) is the step length of the interest rate binary tree, in years; n is an arbitrary integer not greater than ik, and the value of n for the upper and lower adjacent nodes is 1;

[0040] According to the no-arbitrage principle, the relationship between the discount factors of two adjacent nodes in the interest rate binary tree is obtained:

[0041]

[0042] Among them, p is the probability of each node path of the interest rate binary tree;

[0043] The above three relationships are combined to solve the spot yield of each node in the interest rate binary tree.

[0044] As a further improvement of the present invention, the step of adjusting the bond value of each node of the interest rate binary tree according to the right type of the right-containing bond includes:

[0045] Treat the callable bond as a regular bond plus a call option, and adjust the bond value at any node of the interest rate binary tree on the exercise date according to the exercise price of the call option;

[0046] The putable bond is considered as an ordinary bond plus a put option, and the bond value at any node of the interest rate binary tree on the exercise date is adjusted according to the exercise price of the put option.

[0047] As a further improvement of the present invention, the valuation method further includes:

[0048] After calculating the value of the bond on the valuation date, the calculated bond value is calibrated based on the market price to calculate the bond's true credit spread.

[0049] As a further improvement of the present invention, the step of calibrating the calculated bond value according to the market price comprises:

[0050] Adjust the spot yield curve used to construct the interest rate binary tree to construct a new interest rate binary tree, and calculate the spot yield of each node of the new interest rate binary tree;

[0051] The bond value of each node of the new interest rate binary tree is adjusted according to the right type of the bond with rights, and the value of the bond on the valuation date is calculated based on the spot yield of each node of the new interest rate binary tree and the bond value of each node after adjustment of the new interest rate binary tree;

[0052] Repeat the above steps until the absolute value of the difference between the bond value on the valuation date calculated by the interest rate binary tree and the market price is less than or equal to the preset value.

[0053] The second object of the present invention is to provide a valuation system for equity-containing bonds, which is used to implement the above valuation method, including:

[0054] An information acquisition module, used to obtain a spot yield curve corresponding to a bond type;

[0055] The data calculation module is used to generate the time series of the interest rate binary tree according to the bond interest value date, maturity date, bond interest payment frequency, and interest rate binary tree step size; calculate the forward yield between two adjacent nodes of the interest rate binary tree according to the bond spot yield curve and the time series of the interest rate binary tree; calculate the forward volatility between two adjacent nodes of the interest rate binary tree according to the forward yield between two adjacent nodes of the interest rate binary tree and the historical days of the historical volatility sample;

[0056] The interest rate binary tree construction module is used to construct the interest rate binary tree according to the forward volatility between two adjacent nodes of the interest rate binary tree, and calculate the spot yield and bond value of each node of the interest rate binary tree;

[0057] The bond value calculation module is used to adjust the bond value of each node of the interest rate binary tree according to the right type of the right-containing bond, and calculate the value of the bond on the valuation date based on the spot yield of each node and the adjusted bond value of each node.

[0058] Compared with the prior art, the present invention has the following beneficial effects:

[0059] The historical volatility is introduced when constructing the interest rate binary tree. Compared with the constant volatility, it can better capture the changes in interest rates and more accurately capture the uncertainty of market interest rates, thereby effectively improving the accuracy and reliability of the value calculation of the bond with rights. When calculating the bond value, it is also adjusted according to the bond rights type to further improve the accuracy and reliability of the value calculation of the bond with rights.

[0060] After calculating the value of the equity-linked bonds by constructing an interest rate binary tree, the calculated bond value is also calibrated according to the market price to reflect the deviation between the theoretical valuation and the actual market price, further improving the accuracy and reliability of the calculation.

[0061] The valuation method provided by the present invention has good scalability and can be further extended to the valuation and pricing of other equity derivatives. BRIEF DESCRIPTION OF THE DRAWINGS

[0062] Figure 1 A flowchart of the valuation method;

[0063] Figure 2 This is a schematic diagram of the structure of the standard interest rate binary tree;

[0064] Figure 3 This is a structural diagram of the valuation system. DETAILED DESCRIPTION

[0065] In order to make the purpose, technical solution and advantages of the embodiments of the present invention clearer, the technical solution in the embodiments of the present invention will be clearly and completely described below in conjunction with the drawings in the embodiments of the present invention. Obviously, the described embodiments are part of the embodiments of the present invention, not all of the embodiments. Based on the embodiments of the present invention, all other embodiments obtained by ordinary technicians in this field without creative work are within the scope of protection of the present invention.

[0066] The present invention is further described in detail below in conjunction with the accompanying drawings:

[0067] See also Figure 1 This embodiment provides a valuation method for equity-bearing bonds, including:

[0068] Get the spot yield curve corresponding to the bond type;

[0069] Generate a time series of interest rate binary tree based on the bond interest value date, maturity date, bond interest payment frequency, and interest rate binary tree step size;

[0070] According to the spot yield curve of the bond and the time series of the interest rate binary tree, the forward yield between two adjacent nodes of the interest rate binary tree is calculated;

[0071] Calculate the forward volatility between two adjacent nodes of the interest rate binary tree based on the forward yield between two adjacent nodes and the historical days of the historical volatility samples;

[0072] Construct an interest rate binary tree based on the forward volatility between two adjacent nodes of the interest rate binary tree, and calculate the spot yield and bond value of each node of the interest rate binary tree;

[0073] The bond value of each node in the interest rate binary tree is adjusted according to the bond's right type, and the value of the bond on the valuation date is calculated based on the spot yield of each node and the adjusted bond value of each node.

[0074] The valuation method for the bond with rights provided in this embodiment introduces historical volatility when constructing the interest rate binary tree. Compared with the constant volatility used in the prior art, it can better capture the interest rate changes and more accurately capture the uncertainty of the market interest rate, thereby effectively improving the accuracy and reliability of the value calculation of the bond with rights. When calculating the bond value, adjustments are also made according to the bond rights type to further improve the accuracy and reliability of the value calculation of the bond with rights.

[0075] The specific steps of the valuation method provided in this embodiment are:

[0076] S1. Select the corresponding spot yield curve according to the bond business type, issuer credit rating, and industry category to obtain the spot yield r(t,t i ) and obtain the discount factor df(t,t i ), the calculation formula for the discount factor required for bond pricing is:

[0077]

[0078] Among them, t is the valuation date, ti is the corresponding term date, TF(t,t i ,DC) is the period from t to t calculated based on the interest-bearing benchmark DC i The annualized time interval between .

[0079] S2, generate the bond interest payment sequence D1 according to the value date, maturity date and bond interest payment frequency;

[0080] Generate the time series D2 of the interest rate binary tree according to the interest value date, maturity date and interest rate binary tree step size;

[0081] The time series of the interest rate binary tree is D0=D1∪D2.

[0082] S3. Calculate the forward rate of return between two adjacent nodes of the interest rate binary tree. The calculation formula is:

[0083]

[0084] Among them, Node i-1 、Node i are two adjacent nodes on the interest rate binary tree, each node represents a time point; df(t,Node i ) is the time point Node iThe discount factor as of valuation date t; discount2rate() is the function of converting the discount factor into forward rate of return.

[0085] S4. Calculate the forward volatility between two adjacent nodes of the interest rate binary tree:

[0086] Calculate the logarithmic change of the forward yield between two adjacent days and two adjacent nodes in each historical day The calculation formula is:

[0087]

[0088] Among them, r t (Node i-1 ,Node i ) is the forward rate of return between two adjacent nodes on the tth day in the historical volatility sample;

[0089] According to the logarithmic change of the forward yield between two adjacent nodes and the historical number of days n of the historical volatility sample, the mean and variance of the logarithmic change of the forward yield between two adjacent nodes on the tth day in the historical volatility sample are calculated. The calculation formula is:

[0090]

[0091]

[0092] in, is the mean of the logarithmic change of the forward yield between two adjacent nodes on the tth day in the historical volatility sample; is the daily volatility between two adjacent nodes, which is converted into the forward volatility (i.e. annualized volatility) between two adjacent nodes of the interest rate binary tree by the square root rule. The calculation formula is:

[0093]

[0094] in, is the forward volatility between two adjacent nodes of the interest rate binary tree.

[0095] S5. Construct an interest rate binary tree and calculate the spot yield and bond value of each node in the interest rate binary tree:

[0096] The interest rate binomial tree is a discrete interest rate change model. It assumes that the one-year interest rate is a random walk process that obeys the log-normal distribution. At the next moment of any node, there are two possibilities of upward and downward changes, and the probability of upward and downward changes is 50%, and there is no arbitrage opportunity in the market.

[0097] The upward change of interest rate between two time points is recorded as u, and the downward change is recorded as d. ik represents the interest rate at time point t i The number of upward changes at time t, k represents the interest rate at time node t i The number of downward changes at the interest rate, k is an integer not less than 0, which can be used to calculate the relationship between two adjacent time nodes t on the interest rate binary tree. i-1 With t i The spot rate of return under each path is written as r u(i-k),d(k) , and define r u(i-k),d(k) The corresponding discount rate d u(i-k),d(k) , we get the relationship between the spot rate of return and the discount rate:

[0098]

[0099] Among them, TF(t i-1 ,t i ) are two adjacent time nodes t i-1 With t i The annual time interval between

[0100] A standard interest rate binary tree is constructed, and its structure is as follows: Figure 2 shown.

[0101] According to the forward volatility between two adjacent nodes of the interest rate binary tree and the random walk characteristics of interest rate changes at each node of the interest rate binary tree, the relationship between the rising interest rate and the falling interest rate at each node of the interest rate binary tree is obtained:

[0102]

[0103] Among them, TF (Node i-1 ,Node i ) is the step length of the interest rate binary tree, in years; n is an arbitrary integer not greater than ik, and the value of n for upper and lower adjacent nodes is 1.

[0104] According to the no-arbitrage principle, we get the following relationship:

[0105]

[0106] Among them, p is the probability of each node path in the interest rate binary tree.

[0107] Combine the above three relationships to solve the spot rate of return r of each node in the interest rate binary tree u(i-k),d(k) .

[0108] S6. Adjust the bond value of each node of the interest rate binary tree according to the right type of the bond with rights:

[0109] According to the spot rate of return r of each node in the interest rate binary tree u(i-k),d(k), calculate the bond value of each node of the interest rate binary tree If the date corresponding to a node in the interest rate binary tree happens to be the interest payment date of the bond, then the bond value is The sum of the interests corresponding to the current interest node.

[0110] For a callable bond, it is considered as a regular bond plus a call option. The exercise price of the call option is K (usually the face value of the bond, 100 yuan), and the exercise time is t a If the bond value at any point on the bond exercise date is higher than the exercise price, the issuer will exercise this call option and adjust the bond value at that point to K.

[0111] It can be seen that the value of a redeemable bond at any point in the bond exercise date is

[0112] For a putable bond, it is considered as a normal bond plus a put option. The exercise price of the put option is K (usually the face value of the bond, 100 yuan), and the exercise time is t a If the bond value at any point on the bond exercise date is higher than the exercise price, the issuer will exercise this put option and adjust the bond value at that point to K

[0113] It can be seen that the value of a puttable bond at any point in the bond exercise date is

[0114] S7. Calculate the value of the bond on the valuation date based on the adjusted bond value at each node and the spot yield at each node.

[0115] S8. After calculating the value of the bond on the valuation date, based on the market price V market The calculated bond values ​​are calibrated to calculate the bond's true credit spread.

[0116] The calibration method is:

[0117] Adjust the spot yield curve used to construct the interest rate binary tree to construct a new interest rate binary tree, and calculate the spot yield of each node of the new interest rate binary tree;

[0118] The bond value of each node of the new interest rate binary tree is adjusted according to the right type of the bond with rights, and the value of the bond on the valuation date is calculated based on the spot yield of each node of the new interest rate binary tree and the bond value of each node after adjustment of the new interest rate binary tree;

[0119] Repeat the above steps until the absolute value of the difference between the bond value on the valuation date calculated by the interest rate binary tree and the market price is less than or equal to the preset value.

[0120] The specific steps are as follows:

[0121] S801. The original spot yield curve used to construct the interest rate binary tree is known. The spot yield of each point on the curve is r(t,t i ), initial minimum change value Δ low =-1, initial maximum change value Δ high =1;

[0122] S802. Calculate median change value Shift the original spot yield curve upward parallel to Δ mid , we get a new spot yield curve, and the spot yield of each point on the curve is r(t,t i )+Δ mid ;

[0123] S803, when the forward volatility between two adjacent nodes of the interest rate binary tree remains unchanged, construct a new interest rate binary tree and calculate the spot yield of each node on the new interest rate binary tree;

[0124] S804. Adjust the bond value of each node of the new interest rate binary tree and calculate the bond value V on the valuation date. mid ;

[0125] S805. Shift the original spot yield curve upward in parallel by Δ low , we get a new spot yield curve, and the spot yield of each point on the curve is r(t,t i )+Δ low ;

[0126] S806. When the forward volatility between two adjacent nodes of the interest rate binary tree remains unchanged, a new interest rate binary tree is constructed and the spot yield of each node on the new interest rate binary tree is calculated;

[0127] S807. Adjust the bond value of each node of the new interest rate binary tree and calculate the bond value V on the valuation date. low ;

[0128] S808, if (V low -V market )*(V mid -V market )≥0, then Δ low =Δ mid On the contrary, Δ high =Δ mid ;

[0129] S809, repeat steps S802 to S808 until after the i-th adjustment, the i-th adjustment Δ mid and the Δ adjusted for the i-1th time midThe difference is less than or equal to 0.00000001, or the number of adjustments i is greater than or equal to 100, the calibration is completed, and the calibration point difference is the Δ of the i-th adjustment mid .

[0130] Introducing historical volatility when constructing the interest rate binary tree can effectively improve the accuracy and reliability of the value calculation of the bond with rights. When calculating the bond value using the constructed interest rate binary tree, the bond value is also adjusted according to the bond right type, further improving the accuracy and reliability of the value calculation of the bond with rights.

[0131] In order to reflect the deviation between theoretical valuation and actual market price, the calculated bond value is also calibrated according to the market price to further improve the accuracy and reliability of the calculation.

[0132] At the same time, the valuation method of the above-mentioned equity-linked bonds has good scalability and can be further extended to the valuation and pricing of other equity derivatives.

[0133] See also Figure 3 This embodiment provides a valuation system for equity-bearing bonds, which is used to implement the above valuation method, including:

[0134] An information acquisition module, used to obtain a spot yield curve corresponding to a bond type;

[0135] The data calculation module is used to generate the time series of the interest rate binary tree according to the bond interest value date, maturity date, bond interest payment frequency, and interest rate binary tree step size; calculate the forward yield between two adjacent nodes of the interest rate binary tree according to the bond spot yield curve and the time series of the interest rate binary tree; calculate the forward volatility between two adjacent nodes of the interest rate binary tree according to the forward yield between two adjacent nodes of the interest rate binary tree and the historical days of the historical volatility sample;

[0136] The interest rate binary tree construction module is used to construct the interest rate binary tree according to the forward volatility between two adjacent nodes of the interest rate binary tree, and calculate the spot yield and bond value of each node of the interest rate binary tree;

[0137] The bond value calculation module is used to adjust the bond value of each node of the interest rate binary tree according to the right type of the bond with rights, and calculate the value of the bond on the valuation date according to the spot yield of each node and the adjusted bond value of each node;

[0138] The calibration module is used to calibrate the calculated bond value according to the market price after calculating the bond value on the valuation date to calculate the real credit spread of the bond.

[0139] Introducing historical volatility when constructing the interest rate binary tree can effectively improve the accuracy and reliability of the value calculation of the bond with rights. When calculating the bond value using the constructed interest rate binary tree, the bond value is also adjusted according to the bond right type, further improving the accuracy and reliability of the value calculation of the bond with rights.

[0140] In order to reflect the deviation between theoretical valuation and actual market price, the calculated bond value is also calibrated according to the market price to further improve the accuracy and reliability of the calculation.

[0141] The above are only preferred embodiments of the present invention and are not intended to limit the present invention. For those skilled in the art, the present invention may have various modifications and variations. Any modification, equivalent replacement, improvement, etc. made within the spirit and principle of the present invention shall be included in the protection scope of the present invention.

Claims

1. A valuation method for equity-linked bonds, characterized in that: include: Get the spot yield curve corresponding to the bond type; Generate a time series of interest rate binary tree based on the bond interest value date, maturity date, bond interest payment frequency, and interest rate binary tree step size; According to the spot yield curve of the bond and the time series of the interest rate binary tree, the forward yield between two adjacent nodes of the interest rate binary tree is calculated; Calculate the forward volatility between two adjacent nodes of the interest rate binary tree based on the forward yield between two adjacent nodes and the historical days of the historical volatility samples; Construct an interest rate binary tree based on the forward volatility between two adjacent nodes of the interest rate binary tree, and calculate the spot yield and bond value of each node of the interest rate binary tree; The bond value of each node in the interest rate binary tree is adjusted according to the bond's right type, and the value of the bond on the valuation date is calculated based on the spot yield of each node and the adjusted bond value of each node.

2. A valuation method for equity-linked bonds according to claim 1, characterized in that: The time series of generating the interest rate binary tree includes: Generate the bond interest payment sequence D1 based on the value date, maturity date, and bond interest payment frequency; Generate the time series D2 of the interest rate binary tree according to the interest value date, maturity date and interest rate binary tree step size; The time series of the interest rate binary tree is D0=D1∪D2.

3. The valuation method of a bond with equity according to claim 1, characterized in that: The calculation formula of the forward rate of return between two adjacent nodes of the interest rate binary tree is: Among them, Node i-1 、Node i are two adjacent nodes on the interest rate binary tree, each node represents a time point; df(t,Node i ) is the discount factor from time point Nodei to valuation date t; discount2rate() is the function of converting discount factor into forward rate of return.

4. A valuation method for equity-linked bonds according to claim 3, characterized in that: The method of calculating the forward volatility between two adjacent nodes of the interest rate binary tree includes: Calculate the logarithmic change of the forward yield between two adjacent days and two adjacent nodes in each historical day The calculation formula is: Among them, r t (Node i-1 ,Node i ) is the forward rate of return between two adjacent nodes on the tth day in the historical volatility sample; According to the logarithmic change of the forward yield between two adjacent nodes and the historical days of the historical volatility sample, the forward volatility between two adjacent nodes of the interest rate binary tree is calculated by the square root rule. The calculation formula is: Where n is the number of historical days of the historical volatility sample, is the mean of the logarithmic change of the forward yield between two adjacent nodes on the tth day in the historical volatility sample, is the daily volatility between two adjacent nodes, is the forward volatility between two adjacent nodes of the interest rate binary tree.

5. A valuation method for equity-linked bonds according to claim 4, characterized in that: According to the forward volatility between two adjacent nodes of the interest rate binary tree, and according to the random walk characteristics of interest rate changes at each node of the interest rate binary tree and the no-arbitrage principle, the spot yield of each node of the interest rate binary tree is calculated.

6. A valuation method for equity-linked bonds according to claim 5, characterized in that: The calculation of the spot yield of each node of the interest rate binary tree includes: Define two adjacent time nodes t of the interest rate binary tree i-1 With t i The spot rate of return under each path is r u(i-k),d(k) , and the corresponding discount rate d u(i-k),d(k) , we get the relationship between the spot rate of return and the discount rate: Among them, u() is the upward change of interest rate between two time nodes, d() is the downward change of interest rate between two time nodes, and ik represents the interest rate at time node t i The number of upward changes at time t, k represents the interest rate at time node t i The number of downward changes at the position, k is an integer not less than 0, TF(t i-1 ,t i ) are two adjacent time nodes t i-1 With t i The annualized time interval between According to the forward volatility between two adjacent nodes of the interest rate binary tree and the random walk characteristics of interest rate changes at each node of the interest rate binary tree, the relationship between the rising interest rate and the falling interest rate at each node of the interest rate binary tree is obtained: Among them, TF (Node i-1 ,Node i ) is the step length of the interest rate binary tree, in years; n is an arbitrary integer not greater than ik, and the value of n for the upper and lower adjacent nodes is 1; According to the no-arbitrage principle, the relationship between the discount factors of two adjacent nodes in the interest rate binary tree is obtained: Among them, p is the probability of each node path of the interest rate binary tree; The above three relationships are combined to solve the spot yield of each node in the interest rate binary tree.

7. The valuation method of a bond with equity according to claim 1, characterized in that: The step of adjusting the bond value of each node of the interest rate binary tree according to the right type of the bond with rights includes: Treat the callable bond as a regular bond plus a call option, and adjust the bond value at any node of the interest rate binary tree on the exercise date according to the exercise price of the call option; The putable bond is considered as an ordinary bond plus a put option, and the bond value at any node of the interest rate binary tree on the exercise date is adjusted according to the exercise price of the put option.

8. The valuation method of a bond with equity according to claim 1, characterized in that: The valuation method also includes: After calculating the value of the bond on the valuation date, the calculated bond value is calibrated based on the market price to calculate the bond's true credit spread.

9. A valuation method for equity-linked bonds according to claim 8, characterized in that: The calculated bond value is calibrated according to the market price, including: Adjust the spot yield curve used to construct the interest rate binary tree to construct a new interest rate binary tree, and calculate the spot yield of each node of the new interest rate binary tree; The bond value of each node of the new interest rate binary tree is adjusted according to the right type of the bond with rights, and the value of the bond on the valuation date is calculated based on the spot yield of each node of the new interest rate binary tree and the bond value of each node after adjustment of the new interest rate binary tree; Repeat the above steps until the absolute value of the difference between the bond value on the valuation date calculated by the interest rate binary tree and the market price is less than or equal to the preset value.

10. A valuation system for equity-containing bonds, used to implement the valuation method according to any one of claims 1 to 9, characterized in that: include: An information acquisition module, used to obtain a spot yield curve corresponding to a bond type; The data calculation module is used to generate the time series of the interest rate binary tree according to the bond interest value date, maturity date, bond interest payment frequency, and interest rate binary tree step size; calculate the forward yield between two adjacent nodes of the interest rate binary tree according to the bond spot yield curve and the time series of the interest rate binary tree; calculate the forward volatility between two adjacent nodes of the interest rate binary tree according to the forward yield between two adjacent nodes of the interest rate binary tree and the historical days of the historical volatility sample; The interest rate binary tree construction module is used to construct the interest rate binary tree according to the forward volatility between two adjacent nodes of the interest rate binary tree, and calculate the spot yield and bond value of each node of the interest rate binary tree; The bond value calculation module is used to adjust the bond value of each node of the interest rate binary tree according to the right type of the right-containing bond, and calculate the value of the bond on the valuation date based on the spot yield of each node and the adjusted bond value of each node.

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