Resource transaction event interest rate evaluation method and apparatus, and electronic device

Abstract

The invention discloses a resource transaction event interest rate evaluation method and device and electronic equipment, and relates to the field of financial science and technology, and the method comprises the steps: obtaining first resource transaction data corresponding to a first resource transaction event set and second resource transaction data corresponding to a second resource transaction event set, the resource transaction duration of the first resource transaction event set is greater than a preset threshold, and the resource transaction duration of the second resource transaction event set is less than or equal to the preset threshold; performing first zero interest rate calculation on the first resource transaction data to obtain first zero interest rate data corresponding to the first resource transaction data, and performing second zero interest rate calculation on the second resource transaction data to obtain second zero interest rate data corresponding to the second resource transaction data; and according to the first zero interest rate data and the second zero interest rate data, constructing a target zero interest rate curve. According to the invention, the technical problem of low accuracy of interest rate evaluation of resource transaction events in the prior art is solved.

Description

Technical Field

[0001] The present invention relates to the field of financial technology or other related fields, and in particular to a method and device for evaluating the interest rate of a resource transaction event, and an electronic device. Background Art

[0002] In the resource transaction evaluation of the financial market, especially those involving complex financial derivatives, traditional interest rate evaluation methods are time-consuming, labor-intensive, and error-prone when faced with large amounts of dispersed transaction data. Moreover, the interest rate curve constructed based on the data determined by manual processing is difficult to evaluate, which directly affects the accuracy of resource transaction evaluation.

[0003] Therefore, in the related art, there exists a technical problem that the accuracy of interest rate assessment of resource transaction events is low. Summary of the Invention

[0004] The embodiments of the present invention provide a method and device for evaluating the interest rate of a resource transaction event, and an electronic device, so as to at least solve the technical problem of low accuracy in evaluating the interest rate of a resource transaction event in the related art.

[0005] In order to achieve the above-mentioned purpose, according to one aspect of the present application, a method for evaluating the interest rate of resource transaction events is provided, including: obtaining first resource transaction data corresponding to a first resource transaction event set, and second resource transaction data corresponding to a second resource transaction event set, wherein the resource transaction duration of the first resource transaction event set is greater than a preset threshold, and the resource transaction duration of the second resource transaction event set is less than or equal to the preset threshold; performing a first zero-interest rate calculation on the first resource transaction data to obtain first zero-interest rate data corresponding to the first resource transaction data, and performing a second zero-interest rate calculation on the second resource transaction data to obtain second zero-interest rate data corresponding to the second resource transaction data; constructing a target zero-interest rate curve based on the first zero-interest rate data and the second zero-interest rate data, wherein the target zero-interest rate curve is used to perform interest rate evaluation on resource transaction events.

[0006] According to another aspect of an embodiment of the present invention, an interest rate evaluation device for resource transaction events is also provided, including: an acquisition unit, used to obtain first resource transaction data corresponding to a first resource transaction event set, and second resource transaction data corresponding to a second resource transaction event set, wherein the resource transaction duration of the first resource transaction event set is greater than a preset threshold, and the resource transaction duration of the second resource transaction event set is less than or equal to the preset threshold; a calculation unit, used to perform a first zero-interest rate calculation on the first resource transaction data to obtain the first zero-interest rate data corresponding to the first resource transaction data, and to perform a second zero-interest rate calculation on the second resource transaction data to obtain the second zero-interest rate data corresponding to the second resource transaction data; an evaluation unit, used to construct a target zero-interest rate curve based on the first zero-interest rate data and the second zero-interest rate data, wherein the target zero-interest rate curve is used to perform interest rate evaluation on resource transaction events.

[0007] According to another aspect of an embodiment of the present invention, an electronic device is also provided, comprising one or more processors and a memory, wherein the memory is used to store one or more programs, wherein when the one or more programs are executed by one or more processors, the one or more processors implement any of the above-mentioned interest rate evaluation methods for resource transaction events.

[0008] According to another aspect of an embodiment of the present invention, a computer program product is provided, including a computer program, which implements any of the steps of the above-mentioned method for evaluating the interest rate of a resource transaction event when executed by a processor.

[0009] Through the embodiment provided by the present application, by calculating the zero-interest rate for the first resource transaction data (long-duration transaction data) and the second resource transaction data (short-duration transaction data), a target zero-interest rate curve that is more in line with the duration characteristics of market resource transaction events is successfully constructed, so that when evaluating the interest rate of resource transaction events, it can be based on more detailed and complete market interest rate information. Whether it is a long-term or short-term resource transaction, a more accurate interest rate assessment can be obtained, thereby optimizing the overall transaction strategy and risk management. By adopting a unified processing flow for resource transaction data of different transaction durations, this embodiment ensures the consistency of interest rate assessment, makes it possible to compare interest rates between different transactions, and further enhances the support for financial decision-making.

[0010] In summary, by integrating and automating the processing of long-term transaction data and short-term transaction data, a comprehensive and accurate target zero-interest rate curve is constructed, which solves the shortcomings of traditional methods in data processing and interest rate assessment, achieves the technical effect of improving the accuracy of interest rate assessment of resource trading events, and solves the technical problem of poor accuracy of interest rate assessment of resource trading events existing in related technologies. BRIEF DESCRIPTION OF THE DRAWINGS

[0011] The drawings described herein are used to provide a further understanding of the present invention and constitute a part of this application. The exemplary embodiments of the present invention and their descriptions are used to explain the present invention and do not constitute an improper limitation of the present invention. In the drawings:

[0012] Figure 1 A hardware structure block diagram of a computer terminal (or mobile device) for implementing a method for evaluating interest rates of resource transaction events is shown;

[0013] Figure 2 is a flow chart of an optional interest rate evaluation method for resource transaction events according to an embodiment of the present invention;

[0014] Figure 3 is a schematic diagram of a method for constructing a swap spot yield curve according to an embodiment of the present invention;

[0015] Figure 4 is a schematic diagram of an optional interest rate evaluation device for resource transaction events according to an embodiment of the present invention;

[0016] Figure 5 This is a structural block diagram of an electronic device according to an embodiment of the present application. DETAILED DESCRIPTION

[0017] In order to enable those skilled in the art to better understand the solutions of the present invention, the technical solutions 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 embodiments described are only part of the embodiments of the present invention, not all of the embodiments. Based on the embodiments of the present invention, all other embodiments obtained by ordinary technicians in this field without making creative efforts should fall within the scope of protection of the present invention.

[0018] It should be noted that the terms "first", "second", etc. in the description and claims of the present invention and the above-mentioned drawings are used to distinguish similar objects and are not necessarily used to describe a specific order or sequence. It should be understood that the numbers used in this way can be interchanged where appropriate, so that the embodiments of the present invention described herein can be implemented in an order other than those illustrated or described herein. In addition, the terms "including" and "having" and any variations thereof are intended to cover non-exclusive inclusions. For example, a process, method, system, product or device that includes a series of steps or units is not necessarily limited to those steps or units clearly listed, but may include other steps or units that are not clearly listed or inherent to these processes, methods, products or devices.

[0019] To facilitate those skilled in the art to understand the present invention, some of the terms or nouns involved in the embodiments of the present invention are explained below:

[0020] Swap spot yield curve: The spot yield is obtained by bootstrapping through the quotes of swap products in the market. The curve is then iteratively adjusted until the zero-coupon interest rates of each term satisfy the par swap equation, resulting in a swap spot yield curve that meets the axis convention.

[0021] Zero-coupon interest rate: also known as the spot interest rate, refers to the interest rate from the current point in time to a certain point in the future, sometimes also called the zero-coupon bond yield.

[0022] Discount factor: also known as the discount coefficient, which represents the value of 1 unit of future cash discounted to the present at the market interest rate.

[0023] Interest Payment Frequency: How often interest is paid.

[0024] Valuation Date: The date on which the valuation is conducted, which in this case refers to the date on which the curve is constructed.

[0025] Maturity Date: The time when a financial product matures.

[0026] Spot Settlement Date: Due to different settlement date conventions, the spot settlement date is usually a few days after the valuation date.

[0027] Settlement date convention: how many days after the valuation date the settlement is made.

[0028] Date calculation convention: The rules used to calculate the number of days between the sight date and the maturity date.

[0029] Weekday adjustment conventions: Rules for determining whether and how to make adjustments when weekends occur.

[0030] It should be noted that the interest rate assessment method and device for resource trading events in the present disclosure can be used in the field of financial technology, and can also be used in any field other than the field of financial technology. The present disclosure does not limit the application field of the interest rate assessment method and device for resource trading events.

[0031] It should be noted that the information (including but not limited to user device information, user personal information, etc.) and data (including but not limited to data used for analysis, stored data, displayed data, etc.) collected by this disclosure are information and data authorized by the user or fully authorized by all parties, and the collection, storage, use, processing, transmission, provision, disclosure and application of relevant data comply with the relevant laws, regulations and standards of the relevant regions, take necessary confidentiality measures, do not violate public order and good morals, and provide corresponding operation portals for users to choose to authorize or refuse. For example, an interface is set up between this system and relevant users or institutions. Before obtaining relevant information, it is necessary to send an acquisition request to the aforementioned user or institution through the interface, and obtain relevant information after receiving the consent information fed back by the aforementioned user or institution.

[0032] It should be noted that in this disclosure, when collecting and analyzing customer information, the corresponding operation entrance is provided for users to choose to agree or reject the automated decision-making results; if the user chooses to reject, the expert decision-making process will be entered.

[0033] The present invention will be described in detail below with reference to various embodiments.

[0034] Example 1

[0035] According to an embodiment of the present invention, an embodiment of a method for evaluating interest rates of resource trading events is provided. It should be noted that the steps shown in the flowchart of the accompanying drawings can be executed in a computer system such as a set of computer-executable instructions, and although a logical order is shown in the flowchart, in some cases, the steps shown or described can be executed in an order different from that shown here.

[0036] The interest rate evaluation method embodiment of a resource transaction event provided in the first embodiment of the present application can be executed in a mobile terminal, a computer terminal or a similar computing device. Figure 1 The hardware structure block diagram of a computer terminal (or mobile device) for implementing a method for evaluating the interest rate of a resource transaction event is shown. Figure 1 As shown, the computer terminal 10 (or mobile device) may include one or more ( Figure 1The computer system includes a processor 102 (shown as 102a, 102b, ..., 102n) (the processor 102 may include but is not limited to a microcontroller unit (MCU) or a programmable logic device (FPGA)), a memory 104 for storing data, and a transmission device 106 for communication functions. In addition, the computer system may also include: a display, an input / output interface (I / O interface), a universal serial bus (USB) port (which may be included as one of the ports of the BUS), a network interface, a power supply, and / or a camera. It will be understood by those skilled in the art that Figure 1 The structure shown is only for illustration and does not limit the structure of the above electronic device. Figure 1 More or fewer components than shown, or with Figure 1 Different configurations shown.

[0037] It should be noted that the one or more processors 102 and / or other data processing circuits described above may generally be referred to herein as "data processing circuitry". The data processing circuitry may be embodied in whole or in part as software, hardware, firmware, or any other combination thereof. In addition, the data processing circuitry may be a single independent processing module, or may be incorporated in whole or in part into any of the other components of the computer terminal 10 (or mobile device). As described in the embodiments of the present application, the data processing circuitry serves as a processor control (e.g., selection of a variable resistor terminal path connected to an interface).

[0038] The memory 104 can be used to store software programs and modules of application software, such as the program instructions / data storage device corresponding to the interest rate assessment method for resource transaction events in the embodiment of the present application. The processor 102 executes various functional applications and data processing by running the software programs and modules stored in the memory 104, that is, implementing the above-mentioned interest rate assessment method for resource transaction events. The memory 104 may include a high-speed random access memory and may also include a non-volatile memory, such as one or more magnetic storage devices, flash memory, or other non-volatile solid-state memory. In some examples, the memory 104 may further include a memory remotely located relative to the processor 102, and these remote memories may be connected to the computer terminal 10 via a network. Examples of the above-mentioned network include, but are not limited to, the Internet, an intranet, a local area network, a mobile communication network, and combinations thereof.

[0039] The transmission device 106 is configured to receive or transmit data via a network. A specific example of the aforementioned network may include a wireless network provided by the communications provider of the computer terminal 10. In one embodiment, the transmission device 106 includes a network interface controller (NIC), which can be connected to other network devices via a base station to enable communication with the Internet. In another embodiment, the transmission device 106 may be a radio frequency (RF) module, which is configured to communicate with the Internet wirelessly.

[0040] The display may be, for example, a touch screen liquid crystal display (LCD), which enables a user to interact with a user interface of the computer terminal 10 (or mobile device).

[0041] Under the above operating environment, this application provides Figure 2 The interest rate evaluation method for resource transaction events is shown. Figure 2 is a flow chart of an optional method for evaluating the interest rate of a resource transaction event according to an embodiment of the present invention. Figure 2 As shown, the method includes the following steps:

[0042] S201, obtaining first resource transaction data corresponding to a first resource transaction event set, and second resource transaction data corresponding to a second resource transaction event set, wherein the resource transaction duration of the first resource transaction event set is greater than a preset threshold, and the resource transaction duration of the second resource transaction event set is less than or equal to the preset threshold;

[0043] S202, performing a first zero-interest rate calculation on the first resource transaction data to obtain first zero-interest rate data corresponding to the first resource transaction data, and performing a second zero-interest rate calculation on the second resource transaction data to obtain second zero-interest rate data corresponding to the second resource transaction data;

[0044] S203: Construct a target zero-interest rate curve based on the first zero-interest rate data and the second zero-interest rate data, wherein the target zero-interest rate curve is used to perform interest rate evaluation on resource transaction events.

[0045] Optionally, in this embodiment, resource transaction events may refer to, but are not limited to, various financial transaction activities occurring in the financial market, including but not limited to bond transactions, interest rate swaps, etc. These transaction activities have their own transaction data and corresponding term lengths.

[0046] Optionally, in this embodiment, the first resource transaction data and the second resource transaction data are two types of data divided by transaction duration. The first resource transaction data refers to transactions with a duration exceeding a preset threshold. This type of data typically originates from the swap market and represents the expected costs and benefits of long-term capital flows. The second resource transaction data, on the other hand, covers transactions with a duration below or equal to the preset threshold. This type of data is commonly found in short-term funding markets, such as overnight lending.

[0047] Optionally, in this embodiment, the zero-coupon rate refers to the pure time value from the current time to a certain point in the future, without considering any interest payments during that time. It is the basis for constructing the yield curve and can intuitively reflect the market's expectations of future interest rates.

[0048] Optionally, in this embodiment, the zero-coupon interest rate curve, also known as the spot yield curve, is a curve that depicts zero-coupon interest rates at different maturities. It not only reveals the term structure of market interest rates but also serves as an important tool for interest rate risk management and financial product pricing.

[0049] Optionally, in this embodiment, the method of this embodiment begins by acquiring two types of resource transaction data from the market: first resource transaction data and second resource transaction data. For example, assuming a preset threshold of three months, the first resource transaction data would include all transactions with a term exceeding three months, such as one-year interest rate swaps; while the second resource transaction data would include all transactions with a term of three months or less, such as overnight lending or one-month Treasury bond repos.

[0050] For example, for transactions with maturities longer than three months, you might be interested in a series of interest rate swap quotes, which have different interest rates at different maturities, such as 1-year, 5-year, and 10-year contracts. For transactions with maturities less than or equal to three months, you might be interested in short-term lending rates or bond repurchase rates, such as overnight (ON), one-week (1W), one-month (1M), and three-month (3M).

[0051] Optionally, in this embodiment, zero-coupon interest rates are calculated for the collected resource transaction data. For the first resource transaction data, a series of zero-coupon interest rates can be calculated using, but is not limited to, a coupon stripping method based on swap quotes. This process takes into account factors such as interest payment frequency and trading practices. For the second resource transaction data, the corresponding zero-coupon interest rate is directly or indirectly converted based on short-term lending or repo rates.

[0052] For example, for a one-year interest rate swap, assume its par rate is 3%, while the market's nine-month zero coupon rate has been calculated to be 2.5%. Using this information, we will iteratively calculate the one-year zero coupon rate, ensuring it matches the market quote while maintaining a smooth transition curve. For secondary source transaction data, such as a one-month Treasury bond repo rate of 1%, we can convert it to a one-month zero coupon rate through simple calculations, such as using a simple interest formula.

[0053] Optionally, in this embodiment, the calculated first and second zero-coupon rate data are combined to construct a target zero-coupon rate curve. This curve will cover all maturities, from short-term to long-term, providing a complete picture of market expected interest rates. When constructing the curve, special attention is paid to its smoothness and continuity to ensure that it reflects the market state under arbitrage-free conditions.

[0054] For example, after completing all calculations, we have a series of zero-coupon rate data starting from overnight (ON) and extending to 30 years. To construct the curve, we can use, but are not limited to, spline interpolation, the Nelson-Seager model, or other mathematical tools to ensure that the curve is smooth and continuous across the entire range of maturities.

[0055] Optionally, in this embodiment, the constructed target zero-coupon interest rate curve can be directly applied to interest rate assessments for resource trading events. For example, commercial banks can use this curve to forecast future interest expenses or income during position valuation or risk management. Furthermore, to ensure the validity and accuracy of the curve, the system's performance is verified by comparing it with manual calculation results to verify that the relative error is sufficiently small.

[0056] As can be appreciated, in this embodiment, transaction information of varying maturities is acquired and processed through automated means, zero-coupon rates are calculated using mathematical algorithms, and these zero-coupon rate data are then integrated into a comprehensive target zero-coupon rate curve. This approach not only significantly improves the efficiency of interest rate calculations but also ensures the quality of the curve, making it a powerful tool for financial institutions to conduct precise interest rate assessments and risk management.

[0057] Through the embodiment provided by the present application, by calculating the zero-interest rate for the first resource transaction data (long-duration transaction data) and the second resource transaction data (short-duration transaction data), a target zero-interest rate curve that is more in line with the duration characteristics of the market resource transaction event is successfully constructed, so that when the interest rate evaluation of the resource transaction event is performed, it can be based on more detailed and complete market interest rate information. Whether it is a long-term or short-term resource transaction, a more accurate interest rate evaluation can be obtained, thereby optimizing the overall transaction strategy and risk management. By adopting a unified processing flow for resource transaction data of different transaction durations, this embodiment ensures the consistency of interest rate evaluation, makes it possible to compare interest rates between different transactions, and further enhances the support for financial decision-making. By integrating and automating the processing of long-term transaction data and short-term transaction data, a comprehensive and accurate target zero-interest rate curve is constructed, which solves the shortcomings of traditional methods in data processing and interest rate evaluation, and achieves the technical effect of improving the accuracy of interest rate evaluation of resource transaction events.

[0058] As an optional solution, performing a first zero-interest rate calculation on the first resource transaction data to obtain first zero-interest rate data corresponding to the first resource transaction data includes:

[0059] Calculating a zero interest rate for a standard term point in the first resource transaction data to obtain an initial zero interest rate for the standard term point;

[0060] Performing a first interpolation operation based on the initial zero interest rate at the standard term point to obtain a first zero interest rate at the non-standard term point in the first resource transaction data;

[0061] Based on the first zero interest rate at the non-standard term point, the initial zero interest rate at the standard term point is smoothly adjusted to obtain the second zero interest rate at the standard term point;

[0062] The second zero interest rate at the standard term point and the first zero interest rate at the non-standard term point are determined as the first zero interest rate data.

[0063] Optionally, in this embodiment, standard term points are typically term points with clear market quotes, such as 1 year, 5 years, and 10 years. They form the basic framework of the yield curve and serve as a reference for interest rate calculations. Non-standard term points refer to term points other than standard term points. These points may fall between two standard term points or represent less-traded terms, such as 1.5 years and 8.25 years. Their interest rate information needs to be estimated through mathematical methods such as interpolation.

[0064] Optionally, in this embodiment, smoothing adjustment refers to mathematically optimizing the zero-coupon interest rate curve to make it smoother at standard maturity points and reduce fluctuations while ensuring the accuracy of the curve and market consistency.

[0065] Optionally, in this embodiment, all transaction information for standard term points is identified from the first resource transaction data. This information includes market quotes and relevant terms. Using sophisticated algorithms such as bootstrapping, the initial zero coupon rate for the standard term points is calculated. This is the first step in constructing the yield curve.

[0066] Next, we use interpolation methods (such as linear interpolation and spline interpolation) to estimate the zero coupon rates for non-standard maturity points in the First Resource transaction data based on the initial zero coupon rates for standard maturity points. This operation can fill in the gaps between the yield curves and make them more complete.

[0067] After obtaining the zero-coupon rate for non-standard term points, in order to ensure the smoothness and continuity of the yield curve at the standard term points and avoid unnatural fluctuations, the zero-coupon rate for non-standard term points is calculated again, this time based on the preliminary constructed yield curve. Then, using these new data as feedback, the initial zero-coupon rate for the standard term points is fine-tuned through mathematical methods such as cyclic iteration until the established smoothness standards are met.

[0068] Finally, the fine-tuned second zero-coupon rate of the standard term point and the first zero-coupon rate of the non-standard term point are combined to form the first zero-coupon rate data set, which can be used for interest rate assessment and risk management of various financial activities.

[0069] As can be appreciated, in this embodiment, by classifying resource transaction data into standard and non-standard maturity points, targeted calculations and interpolation operations can be performed. This not only leverages direct market price information but also compensates for data discontinuities, ensuring the comprehensiveness and accuracy of the yield curve. The smoothness of the yield curve is crucial for financial analysis, ensuring that the curve aligns with market expectations, avoiding abnormal fluctuations, and improving the reliability of subsequent interest rate assessments and the effectiveness of risk management.

[0070] The embodiments provided herein provide an accurate, efficient, and market-consistent method for calculating and adjusting the zero coupon rate, thereby constructing a high-quality yield curve. This method not only simplifies complex financial calculations but also addresses the incompleteness and uncertainty of market data, ensuring high-quality decision-making and risk control capabilities in various interest-sensitive businesses.

[0071] As an optional solution, the initial zero interest rate at the standard term point is smoothly adjusted based on the first zero interest rate at the non-standard term point to obtain the second zero interest rate at the standard term point, including:

[0072] Perform discount factor conversion on the first zero coupon rate of the non-standard term point to obtain the first discount factor of the non-standard term point;

[0073] Performing a second difference operation based on the first discount factor at the non-standard maturity point to obtain the second discount factor at the standard maturity point;

[0074] The second discount factor of the standard term point is converted into a zero-interest rate to obtain the second zero-interest rate of the standard term point.

[0075] Optionally, in this embodiment, the discount factor reflects the value ratio of future cash flows at the current point in time and is a key parameter for calculating the zero-coupon rate. The first discount factor is calculated based on the first zero-coupon rate at the non-standard term point, while the second discount factor is obtained by interpolation and adjustment at the standard term point. Both reflect the understanding and calculation of the discount factor at different processing stages.

[0076] Optionally, in this embodiment, interpolation involves inserting reasonable values ​​between data points to construct a continuous function curve. The first interpolation operation is used to calculate the zero coupon rate for the non-standard term point, while the second interpolation operation is used to adjust the discount factor for the standard term point based on the zero coupon rate for the non-standard term point, thereby smoothing the yield curve.

[0077] Optionally, in this embodiment, the non-standard term points in the first resource transaction data are processed by converting the first zero-coupon rate into a first discount factor. This is because there is a direct mathematical relationship between the zero-coupon rate and the discount factor, and the conversion process, based on the principle of compound interest, ensures the numerical equivalence of the two. This step lays the data foundation for subsequent smoothing adjustments.

[0078] Next, a second interpolation operation is performed using the first discount factor at the non-standard term point to estimate the discount factor at the standard term point, i.e., the second discount factor. This operation typically employs mathematical methods such as spline interpolation to ensure that the rate of change of the discount factor between adjacent standard term points is continuous and smooth, avoiding any abrupt changes in the market interest rate curve.

[0079] For example, if there is already a first discount factor for a 9-month term, as well as standard term point discount factors for 1-year and 6-month terms, then through the second interpolation operation, the second discount factors for each standard term point between 9 months and 1 year (such as 10 months, 11 months, etc.) can be estimated.

[0080] Finally, the second discount factor obtained in the above steps is reverse-converted into the second zero-coupon rate at the standard term point. This process again utilizes the mathematical relationship between the discount factor and the zero-coupon rate. This results in a smoothed zero-coupon rate that better reflects market conditions and is more suitable for constructing a smoothed yield curve.

[0081] Optionally, in this embodiment, the discount factor serves as a bridge between the zero-coupon rate and the yield curve. Its accurate calculation is crucial for smoothing the yield curve. This cyclical process, from the zero-coupon rate to the discount factor and then back to the zero-coupon rate, allows for a more refined curve construction.

[0082] By interpolating zero coupon rates for non-standard maturity points, we can fill data gaps in the yield curve, especially for maturity points without direct market quotes. This not only enriches the yield curve's information content but also enhances its application value in financial analysis.

[0083] Through the above steps, a secondary estimate of the zero-coupon rate at the standard term point (i.e., the second zero-coupon rate) is obtained. This adjusted data set is more in line with market reality, can significantly improve the accuracy and reliability of the yield curve, and is the key to achieving interest rate-sensitive business decision support.

[0084] The embodiments provided herein effectively address the smoothing problem of the standard term point zero coupon rate through discount factor conversion and precise interpolation, providing financial institutions with a more accurate and reliable interest rate assessment tool. By combining automated processing with mathematical optimization, the efficiency of yield curve construction is improved while ensuring its quality, making it an indispensable component of financial risk management.

[0085] As an optional solution, before calculating the zero interest rate for the standard term point in the first resource transaction data to obtain the initial zero interest rate for the standard term point, the method further includes:

[0086] Obtaining each term point in the first resource transaction data;

[0087] Determine the term point with the quotation information date among the term points as the standard term point;

[0088] Among the various term points, other term points except the standard term points are determined as non-standard term points.

[0089] Optionally, in this embodiment, term points refer to different maturity time points involved in financial transactions, which are basic elements for constructing a yield curve and are used to indicate market interest rate information of different terms.

[0090] Optionally, in this embodiment, the quote information date refers to the date on which a clear quote exists in the market. For term points, if a direct market quote exists for that point, that date is considered the quote information date for that term point. This information is crucial for constructing the yield curve because it directly reflects market participants' expectations of interest rates for specific terms.

[0091] Optionally, in this embodiment, standard term points refer to those term points with clear quote information dates, which are generally the most actively traded terms in the market, such as 1-year, 5-year, and 10-year terms. Non-standard term points refer to term points other than standard term points, which may not have direct market quotes due to low liquidity or other reasons.

[0092] Optionally, in this embodiment, before calculating the zero-coupon rate, it is necessary to first extract all relevant term points from the first resource transaction data. This step is the basis for constructing the yield curve and ensures that subsequent calculations are based on a complete term sequence.

[0093] Next, based on the quote information for term points, they are classified into standard and non-standard term points. This classification process is a prerequisite for constructing the yield curve. It determines which term points’ interest rates can be used directly as input for calculations and which require mathematical estimation such as interpolation.

[0094] Once the standard term point is determined, the zero coupon rate can be calculated directly using market quotes and information on related financial instruments through algorithms such as bootstrapping to obtain the initial zero coupon rate for the standard term point. This calculation process is the core of yield curve construction, directly utilizing market data to maximize the reflection of the true market interest rate situation.

[0095] The embodiments provided in this application not only ensure the accuracy of yield curve construction but also effectively process zero-coupon rate data for non-standard term points through interpolation and adjustment based on standard term points, ultimately forming a complete yield curve that reflects the market interest rate term structure. This curve is of great value for risk management, product pricing, and investment decision-making in the financial market. Based on real market feedback, it provides financial institutions with a more scientific and reliable interest rate assessment tool.

[0096] As an optional solution, performing a second zero-interest rate calculation on the second resource transaction data to obtain second zero-interest rate data corresponding to the second resource transaction data includes:

[0097] Calculating a discount factor for the term point in the second resource transaction data to obtain a third discount factor for the term point;

[0098] Perform zero-coupon interest rate conversion based on the third discount factor at the term point to obtain the third zero-coupon interest rate at the term point;

[0099] The third zero interest rate at the term point is determined as the second zero interest rate data.

[0100] Optionally, in this embodiment, a discount factor is calculated for each term point in the second resource transaction data. This step is performed based on the market interest rate and corresponding interest calculation rules. By discounting the future cash flow to its present value at the current point in time, a sequence of discount factors reflecting the term structure of the market interest rate can be obtained.

[0101] Next, the calculated third discount factor is converted to a zero-coupon rate to obtain the third zero-coupon rate. This conversion process is necessary because the zero-coupon rate can more intuitively represent the market's expectations of future interest rates and is an important component of constructing the yield curve.

[0102] After completing the above calculations, the third zero coupon rate at the term point is determined as the second zero coupon rate data. This data set contains the zero coupon rate information for all short-term transactions and is very important for constructing the short end of the yield curve.

[0103] The embodiments provided in this application provide a solid foundation for constructing a full-term yield curve through the processing of short-term financial transaction data. This not only improves the efficiency and accuracy of data processing, but also ensures the comprehensiveness and practicality of the yield curve, providing strong support for interest rate risk management, product pricing, and investment decision-making in the financial market.

[0104] As an optional solution, after constructing the target zero interest rate curve based on the first zero interest rate data and the second zero interest rate data, the method further includes:

[0105] In response to a rate evaluation request triggered on a target resource, obtaining an output axis convention corresponding to the target resource;

[0106] According to the output axis convention, the target zero-coupon interest rate curve is subjected to a curve convention conversion process to obtain an adaptive zero-coupon interest rate curve, wherein the zero-coupon interest rate of each term point on the adaptive zero-coupon interest rate curve conforms to the output axis convention;

[0107] Use the adaptive zero-coupon interest rate curve to evaluate the interest rate of the target resource.

[0108] Optionally, in this embodiment, the target resource refers to any financial asset or liability that requires interest rate assessment, such as loans, bonds, deposits, etc. Interest rate assessment of target resources is a core component of financial risk management and is directly related to a financial institution's asset quality, funding costs, and risk management strategies.

[0109] Optionally, in this embodiment, the output axis convention refers to the conventions such as date calculation, working day adjustment, and interest payment frequency based on the target zero-coupon interest rate curve. These conventions need to match the characteristics of the target resource to ensure the accuracy of interest rate assessment and market consistency.

[0110] Optionally, in this embodiment, the target zero-coupon rate curve is constructed based on the first and second zero-coupon rate data. It comprehensively reflects information on short-term and long-term market interest rates and serves as the basis for interest rate assessment. The adaptive zero-coupon rate curve is derived by adjusting the target zero-coupon rate curve under the guidance of the output axis convention. The zero-coupon rate at each term point on this curve conforms to the specific convention of the target resource, ensuring the accuracy and applicability of interest rate assessment.

[0111] Optionally, in this embodiment, it is necessary to identify the target resource and obtain its corresponding output axis convention from the system. This is the first step to ensure that the subsequent evaluation process meets the actual transaction conditions of the target resource.

[0112] For example, suppose a financial institution needs to evaluate the interest rate of a three-year corporate bond it holds. The system will first respond to this request and then extract the output axis convention information related to the three-year corporate bond, such as its interest payment frequency (possibly once a year), date calculation convention (such as the 30 / 360 rule), etc.

[0113] After obtaining the output axis convention, the target zero-coupon rate curve is converted to its original convention to construct an adaptive zero-coupon rate curve. This process involves adjusting the zero-coupon rate at each term point on the curve to conform to the convention of the target resource, ensuring the accuracy of the assessment.

[0114] For example, continuing with the three-year corporate bond mentioned above, let's assume the three-year zero-coupon rate on the target zero-coupon rate curve is 2.83%, but the convention on this curve is quarterly interest payments (a frequency of 4). Since the convention for corporate bonds may be annual interest payments (a frequency of 1), the zero-coupon rate on the target zero-coupon rate curve needs to be adjusted to conform to the annual convention. This conversion process involves reversing the compound interest formula to ensure that the adjusted zero-coupon rate is numerically equivalent to the original zero-coupon rate while meeting the convention conditions of the target resource.

[0115] Finally, an adaptive zero-coupon rate curve is used to assess the interest rate of the target resource. The zero-coupon rate on this curve accurately reflects the market pricing and risk characteristics of the target resource. It can be used to calculate the present value of the target resource and the discounted value of future cash flows, making it a powerful tool in financial risk management.

[0116] For example, after completing the above curve convention conversion, an adaptive zero-coupon rate curve is obtained that conforms to the convention for a three-year corporate bond. Next, the zero-coupon rate on this curve can be used to calculate the present value of the bond and assess its market value and potential risk. For example, if the bond has a face value of 1 million yuan and a coupon rate of 3%, the adaptive zero-coupon rate curve can be used to calculate the bond's cash inflow at maturity, discounted to the present value, to obtain the bond's present value and conduct risk and value assessments.

[0117] The embodiments provided herein ensure market consistency in interest rate assessments and alignment with the characteristics of the target resource, significantly improving the accuracy and practicality of assessments. In particular, through curve convention conversion processing, the zero-coupon rate on the adaptive zero-coupon rate curve not only reflects the term structure of market interest rates but also conforms to the trading practices of the target resource, providing strong support for interest rate risk management by financial institutions.

[0118] As an optional solution, according to the output axis convention, the target zero-coupon rate curve is subjected to a curve convention conversion process to obtain an adaptive zero-coupon rate curve, including:

[0119] According to the spot date adjustment convention and the interest calculation frequency convention indicated by the output axis convention, the discount factor of each term point on the target zero interest rate curve is adjusted to obtain an adjusted adaptive discount factor;

[0120] Perform zero-coupon conversion on the adaptive discount factor to obtain the adaptive zero-coupon rate at each term point;

[0121] An adaptive zero coupon rate curve is determined based on the adaptive zero coupon rate at each term point.

[0122] Optionally, in this embodiment, the spot date adjustment convention is typically used to address the relationship between the valuation date and the spot settlement date in financial transactions, ensuring that the calculation of the discount factor and zero coupon rate aligns with actual transaction conditions. For example, conventions such as T+0 and T+1 indicate the relative relationship between the spot settlement date and the valuation date. The interest frequency convention refers to the frequency of interest payments on financial instruments in interest rate calculations, such as annually or quarterly. This directly impacts the calculation of the discount factor and the conversion process for the zero coupon rate.

[0123] Optionally, in this embodiment, the discount factor for each term point on the target zero-coupon rate curve is adjusted based on the output axis conventions of the target resource, particularly the spot date adjustment convention and interest accrual frequency convention. This adjustment ensures that the discount factor accurately reflects the market pricing and risk characteristics of the target resource while meeting standard practices in the financial market.

[0124] Next, the adjusted adaptive discount factor is converted to a zero-coupon rate to obtain the adaptive zero-coupon rate for each term point. This conversion process utilizes the mathematical relationship between the discount factor and the zero-coupon rate, ensuring that the calculation of the adaptive zero-coupon rate is both consistent with market practices and accurately reflects the interest rate characteristics of the target resource.

[0125] Finally, the adaptive zero-coupon rates at each maturity point are aggregated to construct an adaptive zero-coupon rate curve. This curve not only integrates short-term and long-term interest rate information in the market but also undergoes custom adjustments based on the output axis convention, ensuring its accurate and reliable use for interest rate assessment and risk management of the target resource.

[0126] Through the embodiments provided in the present application, the target zero-coupon interest rate curve is adjusted according to the output axis convention to obtain the process of the adaptive zero-coupon interest rate curve. First, according to the spot date adjustment convention and the interest calculation frequency convention, the discount factor of each term point on the target zero-coupon interest rate curve is adjusted to ensure that it conforms to the transaction characteristics of the target resource. Secondly, through the zero-coupon interest rate conversion, the adaptive zero-coupon interest rate for each term point is calculated. This conversion process ensures that the data on the adaptive zero-coupon interest rate curve reflects the market interest rate term structure and complies with the specific conventions of the target resource. Finally, based on these adjusted zero-coupon interest rates, an adaptive zero-coupon interest rate curve is constructed. This curve is more in line with the actual situation of the target resource and can provide more accurate interest rate assessment and risk analysis.

[0127] The following describes in detail another optional specific implementation.

[0128] The present invention provides a method for constructing a swap spot yield curve based on the above-mentioned interest rate assessment method for resource trading events. The swap curve construction consists of a cash side and a swap side. The spot yield is converted by exploiting the market quotes of financial instruments, and the curve is smoothed to obtain the swap curve. The method used in the model used to construct the swap spot yield curve is a method generally accepted in the market risk management industry. This model is processed according to the market quotes and related trading rules of cash interest rates and swap products. It assumes that there is no arbitrage space at the initial pricing of the interest rate swap product. Given the market quote, the spot yield curve is valued as 0, and the spot yield values ​​at different maturity points are then derived.

[0129] This embodiment aims to construct a swap spot yield curve through automated system implementation based on the swap curve construction methodology. The swap curve construction process can be summarized into four steps: input market data processing, coupon-stripping spot yields, curve smoothing, and outputting a standardized point rate. Because the swap curve consists of two parts, the cash side and the swap side, each needs to be processed separately during the curve construction process.

[0130] The workflow diagram of this embodiment is as follows Figure 3 As shown, the following steps are included:

[0131] Step 1: Input market data processing

[0132] Calculate the spot settlement date and maturity date for each term point. The input market data is presented as a sequence of term points and maturity dates. Process it according to market data conventions to obtain the spot settlement date and maturity date for each financial instrument (i.e., each term point).

[0133] Spot Settlement Date: Due to settlement date conventions, the spot settlement date for financial instruments is usually a few days after the valuation date. If a business day convention is in effect and there is a non-business day between the valuation date and the spot settlement date, the spot settlement date will be adjusted as follows:

[0134]

[0135] Specifically, the settlement date convention in the example is T+0 on the cash side, and the spot settlement date is the valuation date 2022 / 6 / 30. The swap side is T+1, and the spot settlement date is 2022 / 7 / 1.

[0136] Maturity Date: Based on the spot settlement date and term of each financial instrument, the maturity date is obtained. This maturity date also needs to follow the business day convention and follows the following formula:

[0137]

[0138] After calculating based on the above dates, we can get the term Termi and spot settlement date corresponding to each financial product. Expiration Date Par Rate i sequence, that is:

[0139]

[0140] Step 2: Market Quotation Exploitation (i.e. Switching to Zero Interest Rate)

[0141] Considering that the minimum maturity point of the swap curve in market data may not meet the density of the short-term maturity points of the curve, the output curve needs to be spliced ​​by cash interest rates and swap financial instruments. During the curve construction process, the daily cash flow series is still mainly composed of swap-end financial instruments, while the cash interest rate instrument provides the yield data of the short-term maturity points.

[0142] Cash side (short side) processing:

[0143] Calculate the discount factor. Using simple interest, the discount factor is calculated as follows:

[0144]

[0145] in, is the discount factor, R i is the yield to maturity at term point i, Δ(T spot ,T n ) is the annualized time factor, following the cash-end date calculation convention.

[0146] Calculate Zero Rate i After obtaining the maturity date and discount factor in each cash flow table, convert them into axis convention and calculate the corresponding zero interest rate through discrete compounding method.

[0147]

[0148] Among them, Δ(T spot ,T n ) is the annualized time factor, and m is the axis interest payment frequency, both following the axis convention.

[0149] Swap side (long side) processing:

[0150] Curve stripping requires stripping out the interest included in the quote for a financial instrument. Therefore, the swap side must generate a cash flow time series based on the instrument's interest payment frequency. This distinguishes between standard and non-standard term points.

[0151] Standard term point: a term point for which a financial instrument already contains quote information;

[0152] Non-standard maturity points: the remaining cash flow dates on the cash flow table.

[0153] Generate non-standard points and corresponding coupon rates.

[0154] Daily cash flow statement: generated based on the interest payment frequency, business day adjustment, and month-end adjustment conventions of the swap side financial instruments:

[0155] T i =maturity date-(ni)*period(+EOM)(+BDC)

[0156] for i=1…n-1

[0157] The number of cash flow days is n-1, excluding the maturity date T n The term period is determined based on the interest accrual frequency of the financial instrument, which is 12 months / frequency.

[0158] Coupon rate. Standard term point: This refers to the quoted standard term point (parity rate). Non-standard term point: If the non-standard term point is less than the minimum standard term point on the swap side, it should be interpolated on the cash side. Other non-standard term points are supplemented by interpolation using the coupon rate of the standard term point.

[0159] Calculating SpotDay i To Maturity Day i The discount factor.

[0160] The maturity point at which the first interest payment is made. For yields to maturity with a maturity less than or equal to the first interest payment, the discount factor is calculated using discrete compounding, following the interest payment frequency of the financial instrument, as follows:

[0161]

[0162] in, It is t spot and t n The discount factor between i is the yield to maturity at term point i; Δ(t spot ,t n ) is the annualized time factor, and n is the interest payment frequency, both of which follow the conventions of financial instruments.

[0163] For example, if the interest payment frequency is 4 and the first interest payment is at the 3M time point, then discrete compound interest must be used for all term points less than or equal to 3M.

[0164] The maturity point is greater than the first coupon payment. For the long end of the yield-to-maturity curve (greater than the first coupon payment), the discount factor for the maturity date and cash flow date is calculated using the curve stripping method and the par swap equation.

[0165] The discount factor for each cash flow date follows the convention for calculating the frequency and number of days of interest payments for financial instruments. The calculation formula (except for the last cash flow date) is:

[0166]

[0167] in, is the n-term point, R i is the observable coupon (par) interest rate, and n is the interest payment frequency of the financial instrument.

[0168] Calculate Zero Rate i After obtaining the maturity date and discount factor of each cash flow table, convert them into axis convention and calculate SpotDay by discrete compounding method. i To Maturity Day i The corresponding zero interest rate.

[0169]

[0170] Among them, Δ(T spot ,T n ) is the annualized time factor, and n is the interest payment frequency, both of which follow the conventions of swap financial instruments.

[0171] Step 3: Curve smoothing (iterative loop)

[0172] For the swap side (long side), the zero coupon rate calculated in the second step is The cycle is iterated until the zero-coupon interest rates of each term satisfy the parity swap equation. The specific process is as follows:

[0173] Record the zero interest rate corresponding to the standard term point in each cash flow daily table in the "Zero Interest Rate Temporary Table"

[0174] Calculate the zero interest rate for non-standard term points in each cash flow daily table by interpolating the "zero interest rate temporary table" in step 1).

[0175] Recalculate the discount factor for each cash flow date in the cash flow table using the following formula, following the axis configuration convention:

[0176]

[0177] in, is the zero interest rate corresponding to each non-standard term point calculated in the above steps, and m is the interest payment frequency configured on the axis.

[0178] Use the following formula to calculate the discount factor for each standard term point in the cash flow schedule:

[0179]

[0180] in, is the zero interest rate corresponding to each non-standard term point calculated in the above steps, and m is the interest payment frequency configured on the axis.

[0181] Based on the new discount factor, recalculate the zero interest rate at each term point in each cash flow daily table:

[0182]

[0183] Among them, Δ(T spot ,T n ) is the annualized time factor, and m is the interest payment frequency, both following the axis instrument convention.

[0184] Use the zero-coupon rate obtained above to update the zero-coupon rate for each standard term point in the "Zero-coupon Rate Temporary Table". Repeat the above steps until the absolute value of the calculated zero-coupon rate difference is less than the set threshold (for example, 0.000001). Based on this, the zero-coupon rate curve in the "Zero-coupon Rate Temporary Table" meets the characteristics of the interpolation function and satisfies the par swap equation, which can be recorded as:

[0185]

[0186] Step 4: Curve Convention Conversion

[0187] When the instrument delivery convention differs from the axis delivery convention, the calculated zero coupon rate must be converted to the output axis configuration convention. Since the output axis spot adjustment is uniformly set to 0 days, the zero coupon rate start date must be adjusted to the valuation date.

[0188] calculate Using the smoothed zero-coupon interest rate curve, calculate a discount factor for each term point Following the corresponding axis frequency convention:

[0189]

[0190] in, is the t corresponding to each term point calculated in the above steps spot to t n Zero interest rate; m is the axis configuration frequency.

[0191] calculate Through the zero coupon rate of overnight ON term point r on , using discrete compound interest to calculate the period from valuation date t0 to spot settlement date t spot The discount factor follows the corresponding axis convention:

[0192]

[0193] in, is the zero interest rate corresponding to each non-standard maturity point calculated in the above steps, and m is the axis configuration frequency;

[0194] Calculate the period from the valuation date t0 to the maturity date t n The new discount factor (without recalculating overnight) is as follows:

[0195]

[0196] Calculate the period from the valuation date t0 to the maturity date t n The zero interest rate, through the pre-configured axis convention, will be discounted by the factor Convert to new zero interest rate Follow the output axis convention:

[0197]

[0198] Where m is the frequency of the axis conventional configuration.

[0199] Step 5: Output the zero-coupon rate curve

[0200] The system sets 16 standard output maturity points: ON, 1W, 1M, 3M, 6M, 1Y, 2Y, 3Y, 4Y, 5Y, 7Y, 10Y, 12Y, 15Y, 20Y, and 30Y. The maturity date calculation refers to the input market data and follows the output axis convention to obtain the maturity date corresponding to the output standard point. Based on the maturity date, the zero coupon rate curve calculated in the above process is interpolated to obtain the zero coupon rate curve corresponding to the 16 standard maturity points, which is the output bond zero coupon rate curve.

[0201] Step 6: Output result verification

[0202] The comparison between the output of the system's automated swap curve construction and the manual calculation results is shown below. It can be concluded that the system of the present invention can automatically implement the business recognition methodology and meet the actual needs of financial institutions.

[0203] Deadline Manual calculation results System output results Relative error (%) ON 1.988920％ 1.988920％ 0.000％ 1W 2.259730％ 2.259730％ 0.000％ 1M 2.316408％ 2.316408％ 0.000％ 3M 2.455743％ 2.455743％ 0.000％ 6M 2.342519％ 2.342519％ 0.000％ 1Y 2.418507％ 2.418507％ 0.000％ 2Y 2.636386％ 2.636386％ 0.000％ 3Y 2.831235％ 2.831235％ 0.000％ 4Y 2.997738％ 2.997738％ 0.000％ 5Y 3.130656％ 3.130656％ 0.000％ 7Y 3.297583％ 3.297583％ 0.000％ 10Y 3.452662％ 3.452662％ 0.000％ 12Y 3.453367％ 3.453367％ 0.000％ 15Y 3.453367％ 3.453367％ 0.000％ 20Y 3.453367％ 3.453367％ 0.000％ 30Y 3.453367％ 3.453367％ 0.000％

[0204] Through the embodiments provided in this application, batch tasks can be automatically executed, saving a lot of manual operation time and energy; it can process large amounts of data and perform precise calculations during the calculation process, which is more accurate than manual calculations; it can be used repeatedly when needed, and previous calculation results can be easily repeated; it can be expanded as needed to process larger data sets and more complex calculation tasks; it can be customized according to user needs, providing functions and interfaces that are more suitable for user needs; the process and results of each calculation can be recorded, making it convenient for users to trace and review.

[0205] Example 2

[0206] The interest rate assessment device for a resource transaction event provided in this embodiment includes multiple implementation units, each implementation unit corresponds to each implementation step in the above-mentioned embodiment 1. Its specific implementation method and beneficial effects can refer to the above-mentioned method embodiment and will not be repeated here.

[0207] Figure 4 is a schematic diagram of an optional interest rate evaluation device for resource transaction events according to an embodiment of the present invention, such as Figure 4 As shown, the interest rate evaluation device of the resource transaction event may include:

[0208] An acquisition unit 41 is configured to acquire first resource transaction data corresponding to a first resource transaction event set and second resource transaction data corresponding to a second resource transaction event set, wherein the resource transaction duration of the first resource transaction event set is greater than a preset threshold, and the resource transaction duration of the second resource transaction event set is less than or equal to the preset threshold;

[0209] a calculation unit 42 configured to perform a first zero-interest rate calculation on the first resource transaction data to obtain first zero-interest rate data corresponding to the first resource transaction data, and to perform a second zero-interest rate calculation on the second resource transaction data to obtain second zero-interest rate data corresponding to the second resource transaction data;

[0210] The evaluation unit 43 is configured to construct a target zero interest rate curve based on the first zero interest rate data and the second zero interest rate data, wherein the target zero interest rate curve is used to perform interest rate evaluation on resource transaction events.

[0211] As an optional solution, the calculation unit 42 includes:

[0212] A first calculation module is configured to calculate a zero interest rate for a standard term point in the first resource transaction data to obtain an initial zero interest rate for the standard term point;

[0213] an interpolation module, configured to perform a first interpolation operation based on an initial zero interest rate at a standard term point to obtain a first zero interest rate at a non-standard term point in the first resource transaction data;

[0214] A smoothing adjustment module, configured to smoothly adjust the initial zero interest rate of the standard term point according to the first zero interest rate of the non-standard term point to obtain a second zero interest rate of the standard term point;

[0215] The first determining module is used to determine the second zero interest rate of the standard term point and the first zero interest rate of the non-standard term point as the first zero interest rate data.

[0216] As an optional solution, the smooth adjustment module includes:

[0217] A first conversion submodule is configured to convert the first zero-coupon interest rate of the non-standard term point into a discount factor to obtain a first discount factor of the non-standard term point;

[0218] an interpolation submodule, configured to perform a second difference operation based on the first discount factor of the non-standard term point to obtain a second discount factor of the standard term point;

[0219] The conversion submodule is used to convert the second discount factor of the standard term point into a zero-interest rate to obtain the second zero-interest rate of the standard term point.

[0220] As an optional solution, the device further includes:

[0221] A first acquisition module is configured to acquire each term point in the first resource transaction data before calculating a zero interest rate for the standard term point in the first resource transaction data to obtain an initial zero interest rate for the standard term point;

[0222] a second determining module configured to determine, before calculating the zero interest rate for the standard term points in the first resource transaction data to obtain the initial zero interest rate for the standard term points, the term points with the quotation information date among the term points as the standard term points;

[0223] The third determination module is used to determine other term points among the term points except the standard term points as non-standard term points before calculating the zero interest rate for the standard term points in the first resource transaction data to obtain the initial zero interest rate of the standard term points.

[0224] As an optional solution, the calculation unit 42 includes:

[0225] A second calculation module is used to calculate a discount factor for the term point in the second resource transaction data to obtain a third discount factor for the term point;

[0226] A first conversion module is configured to convert the zero-interest rate according to the third discount factor at the term point to obtain a third zero-interest rate at the term point;

[0227] The fourth determination module is used to determine the third zero interest rate at the term point as the second zero interest rate data.

[0228] As an optional solution, the device further includes:

[0229] a second acquisition module configured to, after constructing a target zero interest rate curve based on the first zero interest rate data and the second zero interest rate data, acquire an output axis convention corresponding to the target resource in response to an interest rate evaluation request triggered on the target resource;

[0230] a second conversion module configured to, after constructing a target zero interest rate curve based on the first zero interest rate data and the second zero interest rate data, perform a curve convention conversion process on the target zero interest rate curve according to the output axis convention to obtain an adaptive zero interest rate curve, wherein the zero interest rate at each term point on the adaptive zero interest rate curve conforms to the output axis convention;

[0231] The evaluation module is used to use the adaptive zero-interest rate curve to perform interest rate evaluation on the target resource after constructing the target zero-interest rate curve based on the first zero-interest rate data and the second zero-interest rate data.

[0232] As an optional solution, the second conversion module includes:

[0233] an adjustment submodule, configured to adjust the discount factor of each term point on the target zero interest rate curve according to the spot date adjustment convention and the interest calculation frequency convention indicated by the output axis convention, to obtain an adjusted adaptive discount factor;

[0234] The second conversion submodule is used to convert the adaptive discount factor into a zero-interest rate to obtain an adaptive zero-interest rate at each term point;

[0235] The determination submodule is used to determine an adaptive zero coupon rate curve according to the adaptive zero coupon rate at each term point.

[0236] The interest rate evaluation device for the above-mentioned resource transaction event may also include a processor and a memory. The above-mentioned acquisition unit 41, calculation unit 42, evaluation unit 43, etc. are all stored in the memory as program units, and the processor executes the above-mentioned program units stored in the memory to realize the corresponding functions.

[0237] The processor includes a kernel, which retrieves the corresponding program unit from the memory. One or more kernels can be configured to implement interest rate assessment of resource transaction events by adjusting kernel parameters.

[0238] The above-mentioned memory may include non-permanent memory in a computer-readable medium, random access memory (RAM) and / or non-volatile memory, such as read-only memory (ROM) or flash RAM, and the memory includes at least one memory chip.

[0239] Example 3

[0240] An embodiment of the present application may provide an electronic device, Figure 5 This is a structural block diagram of an electronic device for executing a method for evaluating the interest rate of a resource transaction event according to an embodiment of the present application. Figure 5 As shown, the electronic device may include: one or more ( Figure 5 Only one is shown) processor 502, memory 504, storage controller, and peripheral interface, wherein the peripheral interface is connected to the radio frequency module, audio module and display.

[0241] Among them, the memory can be used to store software programs and modules, such as the program instructions / modules corresponding to the interest rate assessment method and device for resource transaction events in the embodiments of the present application. The processor executes various functional applications and data processing by running the software programs and modules stored in the memory, that is, realizing the above-mentioned interest rate assessment method for resource transaction events. The memory may include a high-speed random access memory, and may also include a non-volatile memory, such as one or more magnetic storage devices, flash memory, or other non-volatile solid-state memory. In some instances, the memory may further include a memory remotely located relative to the processor, and these remote memories can be connected to the terminal via a network. Examples of the above-mentioned network include, but are not limited to, the Internet, an intranet, a local area network, a mobile communication network, and combinations thereof.

[0242] The processor can call the information and application stored in the memory through the transmission device to perform the following steps: obtain first resource transaction data corresponding to the first resource transaction event set, and second resource transaction data corresponding to the second resource transaction event set, wherein the resource transaction duration of the first resource transaction event set is greater than the preset threshold, and the resource transaction duration of the second resource transaction event set is less than or equal to the preset threshold; perform a first zero-interest rate calculation on the first resource transaction data to obtain the first zero-interest rate data corresponding to the first resource transaction data, and perform a second zero-interest rate calculation on the second resource transaction data to obtain the second zero-interest rate data corresponding to the second resource transaction data; construct a target zero-interest rate curve based on the first zero-interest rate data and the second zero-interest rate data, wherein the target zero-interest rate curve is used to perform interest rate evaluation on resource transaction events.

[0243] It can be understood by those skilled in the art that Figure 5 The structure shown is for illustration only, and the electronic device may also be a smart phone, a tablet computer, a PDA, a mobile Internet device (MID), a PAD or other terminal device. Figure 5 It does not limit the structure of the above electronic device. For example, the electronic device may also include Figure 5 More or fewer components (such as network interfaces, display devices, etc.) shown in, or with Figure 5 Different configurations shown.

[0244] Those skilled in the art will understand that all or part of the steps in the interest rate assessment method for various resource transaction events in the above-mentioned embodiment can be completed by instructing the hardware related to the terminal device through a program, and the program can be stored in a computer-readable storage medium, which may include: a flash drive, a read-only memory (ROM), a random access memory (RAM), a magnetic disk or an optical disk, etc.

[0245] Example 4

[0246] The embodiment of the present application further provides a storage medium. Optionally, in this embodiment, the storage medium can be used to store the program code executed by the interest rate evaluation method for resource transaction events provided in the first embodiment.

[0247] According to another aspect of an embodiment of the present invention, a computer-readable storage medium is also provided, which includes a stored computer program, wherein when the computer program is running, the device where the computer-readable storage medium is located is controlled to execute the interest rate evaluation method for resource transaction events of any one of the above-mentioned embodiments.

[0248] Optionally, in this embodiment, the storage medium may be located in any computer terminal in a computer terminal group in a computer network, or in any mobile terminal in a mobile terminal group.

[0249] The present application also provides a computer program product, including a computer program, which, when executed by a processor, implements the steps of the interest rate evaluation method for resource transaction events in each embodiment of the present application.

[0250] The present application also provides a computer program product, including a non-volatile computer-readable storage medium, which stores a computer program. When the computer program is executed by a processor, it implements the steps of the interest rate evaluation method for resource transaction events in each embodiment of the present application.

[0251] The serial numbers of the above embodiments of the present invention are for description only and do not represent the advantages or disadvantages of the embodiments.

[0252] In the above embodiments of the present invention, the description of each embodiment has its own focus. For parts that are not described in detail in a certain embodiment, reference can be made to the relevant descriptions of other embodiments.

[0253] In the several embodiments provided in this application, it should be understood that the disclosed technical content can be implemented in other ways. Among them, the device embodiments described above are only exemplary. For example, the division of units can be a logical function division. In actual implementation, there may be other division methods, such as multiple units or components can be combined or integrated into another system, or some features can be ignored or not executed. Another point is that the mutual coupling or direct coupling or communication connection shown or discussed can be through some interfaces, indirect coupling or communication connection of units or modules, which can be electrical or other forms.

[0254] Units described as separate components may or may not be physically separate, and components shown as units may or may not be physical units, that is, they may be located in one place or distributed across multiple units. Some or all of the units may be selected to achieve the purpose of the present embodiment according to actual needs.

[0255] In addition, the functional units in the various embodiments of the present invention may be integrated into a single processing unit, each unit may exist physically separately, or two or more units may be integrated into a single unit. The aforementioned integrated units may be implemented in the form of hardware or software functional units.

[0256] If the integrated unit is implemented in the form of a software functional unit and sold or used as an independent product, it can be stored in a computer-readable storage medium. Based on this understanding, the technical solution of the present invention, or the part that contributes to the prior art, or all or part of the technical solution can be embodied in the form of a software product. The computer software product is stored in a storage medium and includes several instructions for enabling a computer device (which can be a personal computer, server or network device, etc.) to execute all or part of the steps of the methods of each embodiment of the present invention. The aforementioned storage medium includes: U disk, read-only memory (ROM, Read-Only Memory), random access memory (RAM, Random Access Memory), mobile hard disk, magnetic disk or optical disk, etc. Various media that can store program codes.

[0257] The above are only preferred embodiments of the present invention. It should be pointed out that for ordinary technicians in this technical field, several improvements and modifications can be made without departing from the principles of the present invention. These improvements and modifications should also be regarded as the scope of protection of the present invention.

Claims

1. A method for evaluating the interest rate of a resource transaction event, characterized in that: include: Obtaining first resource transaction data corresponding to a first resource transaction event set and second resource transaction data corresponding to a second resource transaction event set, wherein the resource transaction duration of the first resource transaction event set is greater than a preset threshold, and the resource transaction duration of the second resource transaction event set is less than or equal to the preset threshold; Performing a first zero-interest rate calculation on the first resource transaction data to obtain first zero-interest rate data corresponding to the first resource transaction data, and performing a second zero-interest rate calculation on the second resource transaction data to obtain second zero-interest rate data corresponding to the second resource transaction data; A target zero-interest rate curve is constructed based on the first zero-interest rate data and the second zero-interest rate data, wherein the target zero-interest rate curve is used to perform interest rate evaluation on resource transaction events.

2. The method according to claim 1, characterized in that The performing a first zero-interest rate calculation on the first resource transaction data to obtain first zero-interest rate data corresponding to the first resource transaction data includes: Calculating a zero interest rate for a standard term point in the first resource transaction data to obtain an initial zero interest rate for the standard term point; performing a first interpolation operation based on the initial zero-interest rate at the standard term point to obtain a first zero-interest rate at the non-standard term point in the first resource transaction data; Smoothing the initial zero interest rate at the standard term point based on the first zero interest rate at the non-standard term point to obtain a second zero interest rate at the standard term point; The second zero-interest rate at the standard term point and the first zero-interest rate at the non-standard term point are determined as the first zero-interest rate data.

3. The method according to claim 2, characterized in that The step of smoothly adjusting the initial zero interest rate at the standard term point based on the first zero interest rate at the non-standard term point to obtain the second zero interest rate at the standard term point includes: Performing a discount factor conversion on the first zero-coupon interest rate at the non-standard term point to obtain a first discount factor at the non-standard term point; performing a second difference operation based on the first discount factor of the non-standard term point to obtain a second discount factor of the standard term point; The second discount factor at the standard term point is converted into a zero-interest rate to obtain the second zero-interest rate at the standard term point.

4. The method according to claim 2, characterized in that Before calculating the zero interest rate for the standard term point in the first resource transaction data to obtain the initial zero interest rate for the standard term point, the method further includes: Obtaining each term point in the first resource transaction data; Determining the term point with the quotation information date among the term points as the standard term point; Among the various deadlines, other deadlines except the standard deadlines are determined as the non-standard deadlines.

5. The method according to claim 1, wherein The performing a second zero-interest rate calculation on the second resource transaction data to obtain second zero-interest rate data corresponding to the second resource transaction data includes: Calculating a discount factor for the term point in the second resource transaction data to obtain a third discount factor for the term point; performing a zero-interest rate conversion based on the third discount factor at the term point to obtain a third zero-interest rate at the term point; The third zero interest rate at the maturity point is determined as the second zero interest rate data.

6. The method according to claim 1, characterized in that After constructing a target zero interest rate curve based on the first zero interest rate data and the second zero interest rate data, the method further includes: In response to a rate evaluation request triggered on a target resource, obtaining an output axis convention corresponding to the target resource; performing a curve convention conversion process on the target zero-coupon interest rate curve according to the output axis convention to obtain an adaptive zero-coupon interest rate curve, wherein the zero-coupon interest rate at each term point on the adaptive zero-coupon interest rate curve conforms to the output axis convention; The adaptive zero-interest rate curve is used to evaluate the interest rate of the target resource.

7. The method according to claim 6, characterized in that The step of performing a curve convention conversion process on the target zero-coupon interest rate curve according to the output axis convention to obtain an adaptive zero-coupon interest rate curve includes: adjusting the discount factor for each term point on the target zero interest rate curve according to the spot date adjustment convention and the interest accrual frequency convention indicated by the output axis convention to obtain an adjusted adaptive discount factor; Performing zero-interest rate conversion on the adaptive discount factor to obtain the adaptive zero-interest rate at each term point; The adaptive zero-coupon rate curve is determined according to the adaptive zero-coupon rate at each term point.

8. An interest rate evaluation device for resource transaction events, characterized in that: include: an acquiring unit, configured to acquire first resource transaction data corresponding to a first resource transaction event set, and second resource transaction data corresponding to a second resource transaction event set, wherein the resource transaction duration of the first resource transaction event set is greater than a preset threshold, and the resource transaction duration of the second resource transaction event set is less than or equal to the preset threshold; a calculation unit, configured to perform a first zero-interest rate calculation on the first resource transaction data to obtain first zero-interest rate data corresponding to the first resource transaction data, and to perform a second zero-interest rate calculation on the second resource transaction data to obtain second zero-interest rate data corresponding to the second resource transaction data; An evaluation unit is used to construct a target zero interest rate curve based on the first zero interest rate data and the second zero interest rate data, wherein the target zero interest rate curve is used to perform interest rate evaluation on resource transaction events.

9. An electronic device, characterized in that: It includes one or more processors and a memory, wherein the memory is used to store one or more programs, wherein when the one or more programs are executed by the one or more processors, the one or more processors implement the interest rate evaluation method for resource transaction events as described in any one of claims 1 to 7.

10. A computer program product comprising a computer program, characterized in that When the computer program is executed by a processor, the steps of the method for evaluating the interest rate of a resource transaction event according to any one of claims 1 to 7 are implemented.

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