JP2002183449A - Dealing system, dealing terminal, and computer readable medium recording dealing program - Google Patents

Abstract

(57) [Summary] [Problem] Through a dealing terminal, a user adjusts the parameters of a theoretical calculation model while freely capturing his or her own market feelings and preferences, and flexibly realizes a theoretical price and a risk index significant to the user in real time. Realizing a dealing system to be provided. SOLUTION: In a dealing terminal, at least actual HV and theoretical HV, actual IV and theoretical IV, actual daily return distribution 314, daily return distribution 315 of normal distribution and theoretical daily return distribution 316, at least. The theory IV is displayed on the same screen 105 by a smile curve 308 for comparison. Then, by referring to the actual HV 310 and the actual daily rate of return distribution 314 displayed on the same screen, the user obtains the parameter values 320 of the model that reproduces both the actual HV and the actual daily rate of return distribution by trial and error. To adjust.

Description

DETAILED DESCRIPTION OF THE INVENTION

[0001]

BACKGROUND OF THE INVENTION 1. Field of the Invention The present invention relates to a dealing system, a dealing terminal, and a computer-readable medium storing a dealing program in the financial field.

[0002]

2. Description of the Related Art In a dealing system that supports the operations of dealers and traders in banks and securities companies, a Black-Scholes model that conventionally assumes that the probability distribution at any future time, such as a stock price, is normal. (Black, F. & M. Sholes, "The Pricin
g of Options and Corporate Liabilities, ”Journalo
f Political Economy, 81 (May-June 1973), pp637-65
9.) Based on general theories such as and models that extend it, calculate the theoretical price of financial products or derivatives (hereinafter referred to as “options”), evaluate risk,
It is common to simulate a position change.

[0003]

However, the conventional method has the following problems. The so-called fat tail problem (eg, Alan Greenspan, “Financial derivative
s, ”March 19,1999, http://www.federalreserve.gov/
boarddocs / speeches / 1999 / 19990319.htm) is serious in the financial field, and the assumption of normality, which is the premise of a model that has been widely used in the past, is to calculate the theoretical price of a financial instrument or option, and to evaluate the risk. position when or to simulate the change, to realize the simple theory deployment and implementation of the computer system of financial engineering. On the other hand, once non-normality closer to real financial market behavior is introduced, such as when there are large price fluctuations or when transactions are not very active, such theoretical development and implementation in computer systems is actually a difficult task. Met.

[0004] In response to such a fat tail problem,
Information such as a significant smile curve and theoretical daily rate of return distribution for dealers and traders is provided to dealers and traders in real time according to the ever-changing market through the display screen of the computer system, and at the same time, interactive In response to requests from them, the necessary data for calculations are automatically taken in, and appropriate model parameter values are automatically derived to provide in-depth information that flexibly follows market conditions in real time, and provide deep analysis. Digging was difficult.

[0005] The present invention has been made to solve the above-mentioned problems, and furthermore, through an interactive screen interface of a computer system, a dealer or a trader can freely acquire his or her own market feeling and taste while creating a theoretical calculation model. It is an object of the present invention to provide a dealing system, a dealing terminal, and a medium recording a dealing program which can adjust parameters and provide a theoretical price and a risk index that are meaningful to dealers and traders flexibly and in real time.

The present invention also enables dealers and traders to arbitrarily create, on a computer, a virtual smile curve reflecting their market feelings and preferences, and automatically calculates the daily rate of return of the underlying assets accordingly. It is an object of the present invention to provide a dealing system, a dealing terminal, and a medium in which a dealing program is recorded, which can support market making by evaluating and displaying.

[0007]

According to a first aspect of the present invention, there is provided a dealing system which periodically fetches market data and obtains historical volatility, actual implied volatility, and daily distribution of normal distribution obtained from market conditions. Market-based computing means for computing the distribution of returns;
Theoretical calculation means for periodically fetching market data and calculating theoretical historical volatility, theoretical implied volatility and theoretical daily rate of return distribution using a theoretical calculation model, and the above-mentioned actual historical volatility and theoretical historical volatility, The above-mentioned actual implied volatility and theoretical implied
Volatility, and the actual daily rate of return distribution and daily distribution of normal distribution and theoretical daily rate of return distribution, at least for the theoretical implied volatility on the same screen of the display device by a smile curve, or a plurality of The display values of the theoretical calculation model for simultaneously displaying and comparing both the actual historical volatility and the actual daily rate of return distribution to the user are displayed on one display device. And a dealing terminal for making adjustments with reference to the actual historical volatility or the actual daily rate of return distribution displayed simultaneously on the same screen or on the screens of a plurality of display devices.

In the dealing system according to the first aspect of the present invention, the actual historical volatility and the theoretical historical volatility, the actual implied volatility and the theoretical implied
Volatility, actual daily rate of return distribution, daily rate distribution of normal distribution and theoretical daily rate of return distribution, or at least theoretical implied volatility with a smile curve on the same screen of the display device or multiple displays The display is simultaneously displayed on the screen of each device. And
The actual historical volatility and actual daily rate of return displayed on the same screen or simultaneously on multiple display screens, with the parameter values of the model that reproduces both the actual historical volatility and the actual daily rate of return distribution with reference to the distribution, it is adjusted to the user by trial and error.

A second aspect of the present invention is the dealing system according to the first aspect, wherein the theoretical calculation means derives a parameter value of the theoretical calculation model in real time in accordance with a changing market situation. The parameter value of the theoretical calculation model is derived in real time so as to meet the changing market situation.

According to a third aspect of the present invention, in the dealing system according to the first aspect, the theoretical calculation means derives a parameter value of the theoretical calculation model in real time so as to meet changing market conditions. And an option price evaluation processing function of performing an option price evaluation using a parameter value derived by the parameter estimation calculation function, and in real time the theoretical price and theoretical risk index automatically following market conditions to the dealing terminal. The feature is to display, and by parallelizing the automatic derivation process of parameter values by the theoretical calculation model and the option price evaluation process using the derived parameter values, the theoretical price and theoretical risk automatically follow the market situation Provide indicators to users in real time.

According to a fourth aspect of the present invention, in the dealing system of the first aspect, the dealing terminal includes operating means for changing a shape of a smile curve displayed on a screen of the dealing terminal, and the theoretical calculation means is provided. The parameter values of the theoretical calculation model are adjusted so as to reproduce the virtual daily rate of return corresponding to the smile curve of the shape changed by the operating means, and the virtual daily rate of return and the actual date are stored in the dealing terminal. And a parameter adjusting means for displaying the return rate in comparison with the next rate of return. The user can use the operating means of the dealing terminal to change the shape of the smile curve to his / her preference so that, for example, the curvature / vertical direction is shifted up and down. If you change according to the market feeling or the market feeling, the virtual daily rate of return corresponding to the result is changed to the parameter according to the user's preference and market feeling. Back calculated under the, to automatically contrast display on the actual dates the following rate of return and dealing terminal screen.

According to a fifth aspect of the present invention, in the dealing system according to the first aspect, the theoretical calculation means is configured to detect a change in a factor that is not required when recalculating the theoretical daily rate of return distribution using the theoretical calculation model. On the other hand, it has a processing function to re-evaluate and display option prices and smile curves.For example, theoretical calculation means such as interest rates, dividend rates, and remaining periods re-calculate the theoretical daily rate of return distribution using a theoretical calculation model. Instantly evaluates and displays option prices and smile curves for fluctuations in factors that are not required for calculation.

According to a sixth aspect of the present invention, in the dealing system according to the first aspect, the dealing terminal captures historical data, which is a source of the actual daily rate of return, for a user by designating an arbitrary period. It is characterized by having an operating means for causing the user to use the operating means,
Historical data, which is the basis of the actual daily rate of return, is arbitrarily taken in according to the user's preference and market feeling.

According to a seventh aspect of the present invention, there is provided the dealing system according to the first aspect, further comprising display control means for switching between semi-log display and normal display of the daily rate of return distribution by the dealing terminal. The semi-log display / normal display of the next rate of return distribution can be freely switched according to the user's preference.

According to an eighth aspect of the present invention, in the dealing system of the first to seventh aspects, the theoretical calculation model is a Boltzmann model, and the theoretical calculation means uses a Monte Carlo method to calculate the theoretical historical volatility and the theoretical implied volatility. And a theoretical daily rate of return distribution, which enables a risk-neutral and unique option price evaluation taking fat tail into account.

According to the ninth aspect of the present invention, there is provided a dealing terminal comprising: actual historical volatility obtained from market conditions; theoretical historical volatility obtained from a theoretical calculation model; and actual implied data obtained from market conditions.
The theoretical implied volatility obtained from the volatility and the theoretical calculation model, the actual daily return distribution obtained from the market situation, the daily return distribution of the normal distribution, and the theoretical daily return distribution obtained from the theoretical calculation model Display means for simultaneously comparing and displaying at least the theoretical implied volatility on the same screen of the display device by the smile curve or on the screen of each of the plurality of display devices, and for the user, the actual historical volatility and the actual result Operating means for adjusting the parameter values of the theoretical calculation model that reproduces both the daily return distribution and the actual historical volatility or the actual daily return distribution displayed on the display means. Things.

In the dealing terminal according to the ninth aspect of the present invention,
At least the theoretical historical volatility and theoretical historical volatility, the actual implied volatility and theoretical implied volatility, and the actual daily return distribution and the normal and normal The theory that pride volatility is displayed on the same screen of a display device by a smile curve or simultaneously on each display screen of multiple display devices, and reproduces both the actual historical volatility and the actual daily rate of return distribution. The user adjusts the parameter values of the calculation model by trial and error while referring to the actual historical volatility and the actual daily rate of return distribution displayed simultaneously on the same screen or on the screens of a plurality of display devices.

A tenth aspect of the present invention is the dealing terminal of the ninth aspect, wherein a theoretical price and a theoretical risk index automatically following the market situation are displayed in real time, and the automatic processing is performed so as to match the changing market situation. The following theoretical price and theoretical risk index are displayed in real time.

According to an eleventh aspect of the present invention, in the dealing terminal of the ninth aspect, the shape of the smile curve displayed on the screen is changed by the operation means, and the virtual daily schedule corresponding to the changed shape of the smile curve is obtained. The rate of return and the actual daily rate of return are displayed in a contrasting manner by a display means, and the user can use the operating means to change the shape of the smile curve to his / her preference, for example, so as to shift the curvature / vertical direction up and down. If it is changed according to the market feeling, the virtual daily rate of return corresponding to the result is automatically displayed in comparison with the actual daily rate of return.

According to a twelfth aspect of the present invention, in the dealing terminal according to the ninth aspect, the daily return rate distribution is displayed by switching between semi-log display and normal display, and the daily return rate distribution is semi-log display. -Switching the normal display according to the user's preference.

The computer-readable medium having recorded thereon the dealing program according to the thirteenth aspect of the present invention reads and executes the dealing program recorded on the computer and periodically acquires the market data. , The process of calculating the actual historical volatility, the actual implied volatility obtained from the market situation, and the daily return distribution of the normal distribution, and periodically taking in market data,
Calculating a theoretical historical volatility, a theoretical implied volatility and a theoretical daily rate of return distribution using a theoretical calculation model;
Volatility and theoretical historical volatility,
The actual implied volatility and theoretical implied volatility, and the actual daily rate of return distribution and the normal and normal daily rate of return and theoretical daily rate of return distributions, at least the smile curve for the theoretical implied volatility On the same screen of the display device,
Or a process of simultaneously displaying on the screen of each of the plurality of display devices, and, for the user, one parameter value of the theoretical calculation model that reproduces both the actual historical volatility and the actual daily rate of return distribution. It is possible to construct a dealing system for performing adjustment with reference to the actual historical volatility or the actual daily rate of return distribution displayed on the same screen of the display device or simultaneously on the screens of a plurality of display devices. .

[0022]

DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENTS Embodiments of the present invention will be described below in detail with reference to the drawings. FIG. 1 shows an overall configuration of a dealing system 100 according to a first embodiment of the present invention. The system 100 communicates with an external market database 101 to fetch market data and calculate the actual historical volatility (actual HV), the actual implied volatility (actual IV), and the normal distribution of the daily rate of return. Actual operation unit 102
Calculates the theoretical daily rate of return distribution, theoretical historical volatility (theoretical HV) using the financial engineering theoretical calculation model (theoretical calculation model) described below, and executes option price evaluation using market data from the market database 101. And a theoretical interface 103 for calculating theoretical implied volatility (theoretical IV), a graphical interface (GU) for displaying necessary information, printing out, and performing data input / selection
It comprises a dealing terminal 105 as I).

The present dealing system incorporates and uses a dealing program for executing the arithmetic processing of the present invention in a high-performance computer system.
Therefore, a large-capacity storage medium such as a hard disk is provided for storing various data, parameter groups, calculation processing results, and the like, and various data described below are stored in this large-capacity storage medium. Is read out as needed. This is the same in all the following embodiments.

FIG. 2 shows the above-described dealing system 10.
It is a flowchart which shows the arithmetic processing function by 0. FIG. 3 shows a specific GUI screen of the dealing terminal 105 of FIG. 1 in the present embodiment. Here, the dealing terminal 105 is one of the display devices.
Although all information is displayed on one screen, the present invention is not limited to this. Each element described later is simultaneously displayed on a single screen in a multi-window format, or each element is displayed on each of a plurality of display devices. They may be displayed individually and simultaneously. In addition, taking in market data and calculating
It is performed at a constant cycle that can be regarded as almost real time, and at any timing as necessary. Further, it is assumed that the user can variably set according to the transaction target product.

The market data loading process S2 in FIG.
The market data 101 taken into the dealing system 100 is the actual HV calculation processing S2
04, "Quot" in the data area 310 of FIG.
e: ”, the actual HV of the target issue displayed in the text box is“ From Date: ”and“ To Da ”.
te: "is calculated for the target period displayed in each text box, and the result is displayed on the actual HV value screen display S205 in the data area 310 of FIG.
V: "text box.

On the other hand, the theoretical HV obtained from the theoretical calculation model executed by the theoretical calculation unit 103 in FIG.
In the Monte Carlo simulation calculation S302, a Boltzmann model is adopted as a theoretical calculation model,
A Monte Carlo simulation is performed for the same target brand and target period as the actual HV to simulate the price transition of the target brand. The Monte Carlo simulation method using the Boltzmann model is disclosed in Japanese Patent Application No. 11-242152 and Japanese Patent Application No. 200 filed by the present inventors.
This is described in detail in Japanese Patent Application No. 0-219655.

The result of this simulation is input to the theoretical HV value calculation processing S304 in FIG. 2, and the calculated result is displayed in the theoretical HV value display S305 in FIG.
The screen is displayed in the text box of "BHV:" of No. 10. The user selects these “HV:” (actual HV) and “BH
V: "(theoretical HV).

Next, the implied volatility (I
The contrast display of V) will be described. 1 calculates the actual IV calculation processing S206 at intervals of n seconds (n can be arbitrarily set and can be changed), and the actual IV plot display S207 in FIG. The result IV is plotted and displayed as a diamond 307 on the smile graph 306 in FIG.

On the other hand, with respect to the theoretical IV value obtained from the theoretical calculation unit 103 in FIG. 1, the price change of the target issue, which is the subject of the Monte Carlo simulation in the theoretical calculation unit 103, here, the option underlying asset, Is used to calculate the theoretical daily rate of return distribution in the theoretical daily rate of return distribution calculation processing S303 in FIG. Using the theoretical daily rate of return distribution, the theoretical value of the option price is evaluated in the theoretical option price calculation S306 of FIG. 2, and then, based on the result and the spot underlying asset price, the theoretical value of the IV is calculated. FIG.
In the theoretical IV value calculation S307. Then, as in the actual IV plot display S207, the result is linearly complementarily displayed on the smile graph 306 in FIG. 3 as the theoretical IV value curve 308 in the smile curve drawing process S308 in FIG. 2, and the user compares these two.

Further, a comparison display area 31 of the rate of return distribution
The third embodiment will be described. In the actual daily rate of return distribution calculation processing S208 in FIG. 2, the rate of return distribution is calculated from the historical data of the target brand / target period captured in the market data capture processing S200, and the result is shown in FIG.
In the actual daily rate-of-return distribution drawing process S209, the “H” histogram 314 is displayed in the distribution graph area 313 of FIG. In FIG. 3, as an example, a histogram display 3
However, the display style of the data may be any other method used in a statistical method such as a scatter diagram display.

Subsequently, regarding the normal distribution daily rate of return,
Actual HV calculated in actual HV calculation processing S204 in FIG.
Using the value as an input value, “N” in the distribution graph area 313 in FIG. 3 is displayed in the normal distribution daily rate of return drawing display S210 in FIG.
Is displayed as a curve 315. Further, as for the theoretical daily rate of return distribution obtained from the Monte Carlo simulation calculation S302 in the theoretical calculation model, the distribution calculated in the theoretical daily rate of return distribution calculation processing S303 in FIG. In distribution drawing processing S309, curve 31 of "B" in distribution graph area 313 in FIG.
Displayed as 6. As a result, for the user, in the distribution graph area 313, the actual daily rate of return 31
4, normal distribution daily rate of return 315, and theoretical daily rate of return distribution 3
Compare 16

As described above, according to the present embodiment,
Theoretical HV obtained from the actual HV and the theoretical calculation model, the theoretical IV obtained from the actual IV and the theoretical calculation model, and the actual daily return distribution, the normal distribution, the daily return distribution and the theoretical daily income obtained from the theoretical calculation model The rate distribution can be simultaneously displayed on the same screen of one display device of the dealing terminal 105 by the so-called smile curve 308 in the display format of the theory IV.

As the dealing terminal 105,
A plurality of display devices are provided, and one display device compares and displays the actual HV and the theoretical HV obtained from the theoretical calculation model, and another display device displays the theoretical IV obtained from the actual IV and the theoretical calculation model.
V, and another display device displays the actual daily rate of return, the normal distribution, the daily rate of return, and the theoretical daily rate of return obtained from the theoretical calculation model. Is also good. Alternatively, a window may be provided for each of these comparisons on one screen on one display device, and the windows may be displayed simultaneously in a multi-window format. In other words, the present invention is not limited to a display mode as long as the display means simultaneously displays these various kinds of information and reflects the recalculation results by adjusting the parameters and the like in a synchronous manner. The same applies to the following embodiments.

Next, a dealing system according to a second embodiment of the present invention will be described. FIGS. 4 and 5 are flowcharts of the arithmetic processing of the dealing system according to the second embodiment of this invention. Even in the dealing system of the second embodiment, the hardware configuration is the same as that of the first embodiment shown in FIG. 1, but the arithmetic processing function is shown in the flowcharts of FIGS. They are different.

In the flowchart of FIG. 4, processing steps common to the flowchart of FIG. 2 will be described using the same step numbers. 6 and 7
Shows a specific GUI screen of the dealing terminal 105 of FIG. 1 for explaining the second embodiment.

The theoretical calculation unit 103 of FIG. 1 adjusted by the user
The parameter values used in the theoretical calculation model, the GUI screen of FIG. 3 described above, "t0:" in the parameter setting section 320, "c0:", "g0:", "NMAX:"
This is the part displayed in the text box. When the user presses a button 330 with an arrow on the right side of this column, each parameter value increases or decreases. In the examples of FIGS. 6 and 7, “t0: 0.00331”, “c0: 4”
7.000 "," g0: 990.00 "," NMAX:
The value of “5000” is increased or decreased to “t0: 0.
00314 "," c0: 54.500 "," g0: 65
0.00 "and" NMAX: 2000 ".

As described above, if the parameter value is changed on the GUI screen 105 shown in FIG.
In the flowcharts of FIG. 4 and FIG.
The process branches to YES in step 11 to correct and save the parameter values of the theoretical calculation model (steps S312 and S310).

Thereafter, on the GUI screen 105 of FIG. 6, "Recalc" of the operation command button group 340 is displayed.
When the button is pressed, “user interruption, Recalc” in step S313 in the flowcharts of FIGS.
The "button press" determination is YES, and the Monte Carlo simulation is re-executed using the parameter group after the change by the theoretical calculation model as a new input (step S314).

By this re-simulation, the theoretical daily rate of return distribution is updated by executing step S303 in FIG. 4, and subsequently, the theoretical HV value display is updated by steps S304 and S305, and steps S306 to S30 are performed.
The drawing process of the smile curve 308 is updated by 8 and the drawing process of the theoretical daily rate of return distribution 316 is updated by step S309.

In the examples shown in FIGS. 6 and 7, the theoretical HV value is changed from "BHV: 0.4019" to "BHV" with respect to the actual HV value "HV: 0.2953" by the operation of increasing or decreasing the parameter value.
HV: 0.2631 ”, and the daily rate of return distribution can be adjusted so that the portion a in the curve 316 in FIG. 6 suppresses the fat tail as the portion c in the curve 316 in FIG. I have. A of this daily rate of return distribution 316
Reflecting the update from the section to the section c, the smile curve 308 in FIG. 6 can be updated to the shape of the smile curve 308 shown in FIG. .

In general, the user operates as shown in FIG.
The adjustment operation of the parameter value of the theoretical calculation model used by the theoretical calculation unit 103 of FIG. 7 is performed by comparing the actual historical volatility “HV:” in the data area 310 of FIG. 6, the adjusted theoretical HV “BHV:”, and the rate of return distribution graph area. This can be performed while comparing the actual return distribution 314 in 313 with the adjusted theoretical daily return distribution 316.

In the present description, the parameter values of the theoretical calculation model are expressed as "t0:", "c0:", "g
0: ”and“ NMAX: ”have been described as examples, but are not limited to this example. In other words, regarding the method of adjusting the parameter group of the theoretical calculation model, all parameters of the theoretical calculation model that can be adjusted while comparing with the actual market conditions are targeted.

As described above, according to the second embodiment, in the theoretical calculation model, the parameter values of the model for reproducing both the actual HV and the actual daily rate of return are displayed on the screen of the dealing terminal 105. The user can make adjustments by trial and error while referring to the actual HV and the actual daily rate of return distribution.

Next, a dealing system according to a third embodiment of the present invention will be described. FIG. 8 and FIG. 9 are flowcharts of the arithmetic processing of the dealing system according to the third embodiment of the present invention. The hardware configuration of the dealing system of the third embodiment is the same as that of the first embodiment shown in FIG. 1, but the arithmetic processing function is shown in the flowcharts of FIGS. They are different. In the flowcharts of FIGS. 8 and 9, processing steps common to the flowchart of FIG. 2 will be described using the same step numbers.

It is assumed that the user first refers to the GUI screen shown in FIG. Here, the theoretical HV of the data area 310 “BH
When the actual HV “HV:” is compared with the actual HV, there are discrepancies at “0.4019” and “0.2953”, respectively. Also, in the rate of return distribution graph display area 313,
A comparison between the normal distribution daily return rate distribution graph (N) 315, the actual daily rate of return distribution histogram (H) 314, and the theoretical daily rate of return distribution graph (B) 316 shows that the theoretical daily rate of return distribution graph The curve 316 has a fat tail with a slightly thicker tail. Therefore, the user determines that it is necessary to correct the model parameter value so as to meet the market situation. This determination may be freely consulted according to the market feeling and taste of each user.

The user who determines that the correction is necessary presses the "fitting" button of the operation command button group 340 on the GUI screen of the dealing terminal 105 shown in FIG. When the button is pressed, “user interrupt generation: Fitt” in step S331 in the flowcharts of FIGS. 8 and 9 is performed.
ing button pressed "is determined as YES, and" Result HV "
And the “actual daily rate of return distribution” as new inputs (steps S320 and S321), automatic parameter value derivation using the Bayesian estimation method is executed (step S332). A method for automatically deriving parameter values using this Bayesian estimation method will be described later.

With this derivation process, the parameter group is updated (step S310), and the Monte Carlo simulation of the theoretical calculation model is executed using the updated parameter group as a new input (step S333).

The result of this execution is reflected in the update of the theoretical daily rate of return distribution (step S303), and the theoretical HV value display processing (steps S304 and S305) is performed in the same manner as in the processing of the second embodiment. All the processes are updated up to the curve drawing process (steps S306 to S308) and the theoretical daily rate of return distribution drawing process (step S309).

In the example of FIG. 6 which is a GUI screen before derivation of parameter values and FIG. 10 which is a GUI screen after derivation of parameter values, on the GUI screen of the dealing terminal 105,
By “user interrupt occurrence: pressing of Fitting button”, the parameter value “t” of FIG.
0: 0.00331 "," c0: 47.0000 ",
“G0: 990.00” is a new parameter value “t0: 0.0033” as shown in the GUI screen of FIG.
2, "c0: 43.465", "g0: 879.9"
8 ".

Since the Monte Carlo simulation is executed with the updated new parameter values, before the parameter values are changed, the theoretical HV “BHV: 0.4019” and the actual HV “HV:
0.2953 ”after the parameter value change,
As shown in FIG. 10, the theoretical HV “BHV: 0.299
7 ”and the actual HV“ HV: 0.2953 ”, and the difference between the actual daily rate of return distribution histogram 314 and the theoretical daily rate of return graph 316 in the daily rate of return distribution graph area 313 is also shown in FIG. As can be seen from the comparison between FIG. 6 and FIG. Furthermore, as for the smile curve 308, as shown in the comparison between FIG. 6 and FIG. 10, the curvature is reduced by the reduced thickness of the tail of the theoretical rate of return distribution.

Here, a method for automatically deriving Boltzmann parameters using the Bayesian estimation method will be described. The determination of Boltzmann parameters is a problem of finding an optimal solution based on various types of data, and is generally an optimal solution search problem based on Bayes estimation.

In Bayesian estimation, the parameter to be searched is P
Then, the parameter P that minimizes the functional S in Equation 1
It is a problem to ask.

[0053]

(Equation 1)Where Y is the underlying asset data to be applied and F is Y
It is a function representing the relationship of P. W is the covariance matrix of Y
You. P₀Is the prior value of the parameter to be determined, M ₀Haso
Is the covariance matrix of. The superscript T is the matrix and vector inversion.
Means The superscript -1 means an inverse matrix.

This problem is exactly the same as the nonlinear least squares method. Here, a search for an optimal solution based on the Newton method will be described. In the Newton method, an initial value is first assumed when searching. The initial value may be arbitrarily set, but since P ₀ is known as the prior value, it is likely that this is used as the initial value. Here, it is assumed that P ₀ is sufficiently close to the optimal solution and reaches the optimal solution by one iteration.

Assuming that the initial value is P ₀ , the optimal solution P hat and its covariance matrix M hat are given by equations (2) and (3).

[0056]

(Equation 2)

(Equation 3) Here, the sensitivity matrix A ₀ is the following equation (4).

[0057]

(Equation 4) Next, the case where the above theory is actually applied will be described.

(1) When the prior information of the parameter is not given: Here, it is assumed that the parameter Pprim close to the true value of the parameter has been given by trial and error or other means.

[0059]

(Equation 5) Here, there is usually a problem that the number of data is larger than the number of parameters. The absence of any prior information is equivalent to the fact that P ₀ is unknown in Bayesian estimation and its probability density is uniform. At this time, the inverse matrix M ₀ ^-1 of M ₀ in Equation ¹ is 0. Therefore, these equations 1 to 3
The equation can be rewritten as Equations 6 to 8.

[0060]

(Equation 6)

(Equation 7)

(Equation 8) Here, P ₀ is not an a priori value but an arbitrary value for parameter search. If P ₀ is close to the true value, one iteration of Equation 7 is sufficient.

(2) When original asset information is added: Ynew and Wnew are newly added as original asset information, and when the parameter changes are small due to this addition, the equations are expressed by Equations 2 and 3. Optimum parameters can be obtained by Bayes estimation logic.

In this case, when the optimum parameter P hat and the covariance matrix M hat of the equations (7) and (8) are newly set as P ₀ and M ₀ as prior information, the equations (2) and (3) are obtained.
From the equation, the optimal parameters P hat and M hat newly corrected as described below are obtained.

[0063]

(Equation 9)

(Equation 10) (3) Example of Underlying Asset Data Y: The case where the daily rate of return and HV are used for the underlying asset data Y will be described. 40 in FIG.
1 is a daily return distribution of the underlying asset, which is given a daily return distribution in 1% increments.
There are twelve provided.

[0064]

[Table 1] Y is represented by Expression 11.

[0065]

[Equation 11]The covariance matrix W can be determined from these errors and the correlation.
Wear. Here, F is Monte Carlo of Boltzmann model
Equivalent to a program. Boltzmann model program
Then, t₀, C₀, G₀Enter
Then, the daily rate of return and HV can be obtained. This mon
The input of the Tecarlo program is given by P = (t₀ c₀ g₀)^T
HV output at that time and the daily rate of return are F
You.

A ₀ is given by F ₀ as shown in Equations 3 and 5.
Is the sensitivity of the parameter with respect to According to the definition of Equation 4, Equation 12 is obtained.

[0067]

(Equation 12) However, since the inability to determine these partial differential analytically, in practice, for example, in the case of t ₀ determines the Yn from HV Monte Carlo code for t ₀ is minutely varied, before varying results Can be approximately obtained by dividing the difference from the difference by the variation of t ₀ .

First, a parameter Pprim which can reproduce the daily rate of return and HV moderately by trial and error or other means is found. In this example, the daily rate of return evaluated by Pprim is a curve 402 in FIG. Here, the HV evaluated by Pprim is 3
It is 8.3%. The HV obtained from the actual value indicated by the curve 401 in FIG. 11 is 40.34%. Therefore, the curve 402 in FIG. 11 slightly underestimates the probability density where the rate of return on the horizontal axis is large.

The curve 403 in FIG. 11 shows the daily rate of return evaluated with the optimal parameter P hat obtained by applying Equation 7 with Pprim as the initial value. When the optimal parameter P hat is used, the HV becomes 40.59%, and the actual HV: 4
As it approaches 0.34%, the probability density of the portion where the rate of return is large coincides with the actual result.

As described above, according to the third embodiment, the parameter values of the theoretical calculation model used by the theoretical calculation unit 103 can be derived in real time so as to be suitable for the changing market situation.

In the dealing system of the third embodiment, the function for automatically deriving parameter values based on the theoretical calculation model and the function for evaluating option prices using the derived parameter values are parallelized. Accordingly, a theoretical price and a theoretical risk index automatically following market conditions can be provided to the user in real time.

Next, a description will be given of a dealing system according to a fourth embodiment of the present invention. 12 and 13
FIG. 14 is a flowchart of a calculation process of the dealing system according to the fourth embodiment of the present invention. Even in the dealing system of the fourth embodiment, the hardware configuration is the same as that of the first embodiment shown in FIG. 1, but the arithmetic processing function is shown in the flowcharts of FIG. 12 and FIG. They are different.

In the flowcharts of FIGS. 12 and 13, processing steps common to those in the flowchart of FIG. 2 will be described using the same step numbers.
Also, in the present embodiment, description will be made using the GUI screen of FIG. 6 and a new GUI screen of FIG. 17 which are common to the second embodiment.

GUI screens for the user to change the shape of the smile curve 308 are shown in FIGS. Here, the shape change refers to three types shown in FIGS. 14 to 16.

(I) FIG. 14 shows the curvature change. By changing the parameter value of “h0:” in the parameter group 320 on the GUI screen by the corresponding increase / decrease button 330, the curvature of the curve becomes Is changed according to the drawing.

[0076]

(Equation 13) (Ii) FIG. 15 shows vertical movement, in which the whole curve is moved vertically in the vertical direction by increasing or decreasing the parameter value of “v0:” in the parameter group 320 on the GUI screen by the corresponding increase / decrease button 330. Is done.

(Iii) FIG. 16 shows the risk preference adjustment, in which “h” in the parameter group 320 on the GUI screen is displayed.
By increasing / decreasing each of the parameter values of “R:” and “hL:” by the corresponding increase / decrease buttons 330,
The curvature change of (i) is performed asymmetrically.

The operation changed via the GUI screen is performed in step S351 in the flowchart of FIG.
The smile graph 308 in FIG. 6 (before change) is changed to the smile graph 308 in FIG.
It is reflected on the GUI screen as (after change). At this time, a virtual IV value is obtained (step S352).

The changed virtual IV value is determined at the timing when the “Reverse” button in the operation command button group 340 in FIG. 6 is pressed by “YES” at step S 341, and “YES at step S 342”. , And the optional market data and the spot price of the underlying asset from the market data 101 are also input to this process (step S353), and the virtual daily rate of return distribution is calculated by equation (14). And Expression 15 are evaluated by Monte Carlo simulation (step S342).

[0080]

[Equation 14]

(Equation 15) As a result of the evaluation, the theoretical daily rate of return distribution curve 316 (before change) in FIG. 6 is changed to the daily rate of return distribution curve 316 (after change) in FIG. Is reflected in Here, since the risk preference is adjusted asymmetrically, the daily return distribution curve is also drawn asymmetrically.

As described above, according to the fourth embodiment, the shape of the smile curve 308 (for example, the curvature / vertical shift in the vertical axis direction) can be changed from the GUI screen of the dealing terminal 105 as the user interface. When the user performs a change operation according to his / her taste or market feeling, the virtual daily rate of return corresponding to the result is calculated back based on the parameter value according to the user's taste and market feeling, and the actual daily rate is automatically calculated. Can be displayed in comparison with the rate of return.

Next, a dealing system according to a fifth embodiment of the present invention will be described. 18 and 19
FIG. 14 is a flowchart of a calculation process of the dealing system according to the fifth embodiment of the present invention. Even in the dealing system of the fifth embodiment, the hardware configuration is the same as that of the first embodiment shown in FIG. 1, but the arithmetic processing function is shown in the flowcharts of FIGS. They are different. In the flowcharts of FIGS. 18 and 19, processing steps common to the flowchart of FIG. 2 will be described using the same step numbers. FIG. 20 and FIG. 21 show specific GUI screens of the dealing terminal 105 of FIG. 1 for explaining the fourth embodiment.

It is assumed that the user first refers to the GUI screen of the dealing terminal 105 shown in FIG. Here, it is assumed that the interest rate, the dividend rate, and the remaining period are to be changed. In this case, for the interest rate, the value in the text box of “Rate:” in the data area 310 of FIG. 20 is used, for the dividend rate, the value in the text box of “Div:”, and for the remaining period, the value in the text box of the data area 350 is displayed. The numerical values are changed and input from the GUI screen.

With this change input, the determination of “user interrupt occurrence: change of interest rate, dividend rate, remaining period” in step S361 in the flowcharts of FIGS.
S, and the updated interest rate, dividend, and remaining period data are used as new input data (step S370), and “theoretical option price calculation”, “theoretical IV value calculation”, and “smile curve drawing processing” are executed (step S370). S363, S
307, S308).

In the example of the GUI screen (before change) in FIG. 20 and the GUI screen (after change) in FIG. 21, the remaining period “nn: 29 days” in FIG. 20 is changed to “nn: 15 days” in FIG. As a result, the curvature of the smile curve 308 changes.

When the interest rate, the dividend rate, and the remaining period change, the process proceeds to step S3 in the flowchart of FIG.
The “Monte Carlo simulation calculation” of step 02 and the “theoretical daily rate of return distribution calculation processing” of step S303 are skipped, and “theoretical option price calculation” of step S363 in the flowchart of FIG. 19 (this is the flowchart of FIG. 18). (The difference is that the data to be used is S370 after the change), so that the calculation load can be reduced.

As described above, according to the fifth embodiment, the option price is instantaneously evaluated when factors unnecessary for the Monte Carlo recalculation such as the interest rate, the dividend rate, and the remaining period change, and the smile curve 308 is changed. Can be updated.

Next, a dealing system according to a sixth embodiment of the present invention will be described. FIG. 22 shows a flowchart of the processing function of the seventh embodiment. Note that the hardware configuration of this embodiment is the same as that of the first embodiment shown in FIG. The GUI screen of the dealing terminal 105 according to the present embodiment will be described with reference to FIG. 3 which is common to the first embodiment.

The dealing terminal 1 referred to by the user
It is assumed that the GUI screen 05 is shown in FIG. In this GUI screen, the actual daily rate of return histogram 314 in the distribution graph area 313 is displayed by the user in the data area 31 in FIG.
For the target issue selected by "Quote:" at 0, the target period is obtained from the data in the ranges respectively selected by "From Date:" and "To Date:". In the example shown in FIG. 3, the stock code "0018", from August 31, 1999 200
It shows that the selection is made daily until August 31, 009.

Regarding the display of the actual daily rate of return distribution 314, it is important that which period range in the past, in which period unit, and which brand should be obtained can freely reflect the user's market feeling and taste. .

Therefore, in this embodiment, the user opens the sub-screen 350 shown in FIG. 23 on the GUI screen of the dealing terminal 105 by pressing the “Query” button from the operation command button group 340 in FIG. It is displayed. On this sub-screen 350, "brand code", "start date", "end date" and "period unit" can be selected. The period unit can be selected from daily, weekly, monthly and yearly. FIG. 24 shows the closing price of the day,
It shows the relationship between the weekend closing price, the month closing price, and the year-end closing price.

The result of the selection is stored in step S20 in FIG.
3 is updated in step S202, "Daily rate of return extraction period is changed" in step S202.
"Result HV calculation process" and "Result I
V calculation processing ”and“ actual daily rate of return distribution calculation processing ”in step S208.
"V value screen display", "actual IV plot display" in step S207, "actual daily profit rate distribution drawing processing" in step S209, and "normal distribution daily profit rate drawing display" in step S210 are all updated.

Thus, according to the sixth embodiment,
Historical data, which is the basis of the actual daily rate of return, can be changed and imported according to the user's preferences and market feeling.

Next, a description will be given of a dealing system according to a seventh embodiment of the present invention. 25 and 26
FIG. 17 is a flowchart of a calculation process of the dealing system according to the seventh embodiment of the present invention. Even in the dealing system of the seventh embodiment, the hardware configuration is the same as that of the first embodiment shown in FIG. 1, but the arithmetic processing function is shown in the flowcharts of FIGS. 25 and 26. They are different.

In the flowchart of FIG. 25, processing steps common to the flowchart of FIG. 2 will be described using the same step numbers. In the present embodiment, the GUI screen shown in FIG. 3 common to the first embodiment and the GUI screen shown in FIG. 27 are switched and displayed.

First, the user refers to the semi-logarithmic daily rate of return distribution in the distribution graph area 313 in FIG. Next, by pressing the “Toggle” button from the operation command button group 340 in FIG. 3, in the flowcharts of FIG. 25 and FIG. 26, the “user interrupt generation: toggle button pressed” determination in step S381 becomes YES, and the process proceeds to step S382. “Distribution coordinate vertical axis mode setting” is executed.

In this process, the semi-logarithmic and normal setting modes are set to “To” on the vertical axis of the coordinates of the daily rate of return distribution.
Each time the “ggle” button is pressed, it is applied alternately (S3
83). At the same time, the “return rate distribution coordinate vertical axis log scale switching” in step S391 is executed, and whether the vertical axis in the distribution graph area 313 is a semi-log scale or a normal scale is set in “distribution coordinate vertical axis mode setting” in step S382. Is reflected in step S20.
9, “Result daily profit rate distribution drawing process”, step S21
0 “Normal distribution daily rate of return drawing display”, step S30
Graph area 3 in “Theoretical daily rate of return distribution drawing process” of 9
13 is updated between the display mode of FIG. 3 and the display mode of FIG. In the example of the semi-log display shown in FIG. 3 and the normal display shown in FIG. 27, historical data of the same target brand 0018 from the same target period of August 31, 1999 to August 31, 2000 is given as follows. The profit rate distribution is switched between semi-log display and normal display.

As described above, according to the seventh embodiment, the semi-log display / normal display of the daily rate of return distribution can be freely switched. The center can be easily seen.

In each of the above-described embodiments, the Boltzmann model is used as an example of the theoretical calculation model used by the theoretical calculation unit 103. However, the present invention is not limited to this. All models governing risk index evaluation are subject to the present invention.

The present invention is applicable not only to a system and a dealing terminal having the above-mentioned functions but also to a medium storing a dealing program capable of causing a computer system to execute the functions of the above-described embodiments. Becomes

[0101]

As described above, according to the present invention, through the interactive screen interface of the computer system, the user, a dealer or a trader, adjusts the parameters of the theoretical calculation model while freely taking in his own market feeling and taste. It provides flexible real-time flexibility with theoretical prices and risk indicators that are meaningful to dealers and traders.

Further, a dealer or a trader can arbitrarily create, on a computer, a virtual smile curve reflecting their market feeling and taste, and automatically calculates and displays the daily rate of return of the underlying assets corresponding to the virtual smile curve. This can support market making.

[Brief description of the drawings]

FIG. 1 is an explanatory diagram of hardware of a dealing system according to a first embodiment of this invention.

FIG. 2 is a flowchart of a calculation process according to the first embodiment of the present invention.

FIG. 3 shows G of the dealing terminal according to the above embodiment.
FIG. 4 is an explanatory diagram of a UI screen.

FIG. 4 is a flowchart of a calculation process according to a second embodiment of the present invention.

FIG. 5 is a continuation of the flowchart of FIG. 4;

FIG. 6 shows G of the dealing terminal according to the above embodiment.
FIG. 4 is an explanatory diagram of a UI screen.

FIG. 7 shows G of the dealing terminal according to the above embodiment.
FIG. 4 is an explanatory diagram of a UI screen.

FIG. 8 is a flowchart of a calculation process according to a third embodiment of the present invention.

FIG. 9 is a continuation of the flowchart of FIG. 8;

FIG. 10 is an explanatory diagram of a GUI screen of the dealing terminal according to the embodiment.

FIG. 11 is a graph showing Bayesian estimation results in the embodiment.

FIG. 12 is a flowchart of a calculation process according to a fourth embodiment of the present invention.

FIG. 13 is a continuation of the flowchart of FIG. 12;

FIG. 14 is an explanatory diagram showing a curvature changing operation of a smile curve in the embodiment.

FIG. 15 is an explanatory diagram showing a vertical movement operation of a smile curve in the embodiment.

FIG. 16 is an explanatory diagram showing a risk curve risk preference adjusting operation in the embodiment.

FIG. 17 is an explanatory diagram of a GUI screen after the dealing terminal is changed according to the embodiment.

FIG. 18 is a flowchart of a calculation process according to the fifth embodiment of the present invention.

FIG. 19 is a continuation of the flowchart in FIG. 18;

FIG. 20 is an explanatory diagram of a GUI screen of the dealing terminal according to the embodiment.

FIG. 21 is an explanatory diagram of a GUI screen after the dealing terminal is changed according to the embodiment.

FIG. 22 is a flowchart of a calculation process according to the sixth embodiment of the present invention.

FIG. 23 is an explanatory diagram showing a sub-screen that is developed when a Query button is operated in the embodiment.

FIG. 24 is an explanatory diagram showing a relationship among daily, weekly, monthly, and yearly in the embodiment.

FIG. 25 is a flowchart of a calculation process according to the seventh embodiment of the present invention.

FIG. 26 is a continuation of the flowchart in FIG. 25;

FIG. 27 is an explanatory diagram of a GUI screen of the dealing terminal according to the embodiment.

[Explanation of symbols]

 DESCRIPTION OF SYMBOLS 100 Dealing system 101 Market database 102 Market operation system operation part 103 Theoretical calculation part 105 Dealing terminal

Continuation of the front page (51) Int.Cl. ⁷ Identification symbol FI Theme coat II (Reference) G06F 3/00 651 G06F 3/00 651A (72) Inventor Takahiro Tachimi 1-9-111 Kaigan, Minato-ku, Tokyo Co., Ltd. Inside RIC (72) Inventor Tadahiro Ohashi 1-1-1, Shibaura, Minato-ku, Tokyo Inside the Toshiba head office (72) Inventor Masatoshi Kawashima 2-1 Ukishima-cho, Kawasaki-ku, Kawasaki-shi, Kanagawa Prefecture (72) Inventor Hiroaki Okuda 1 Toshiba-cho, Fuchu-shi, Tokyo F-term (reference) 5F501 AA09 AC07 AC33 AC35 BA05 CA02 CB02 DA14 EB05 FA24 FA44 FA45 FB03 FB25 FB43

Claims (13)

[Claims] 1. Market data is periodically taken in,
Market actual calculation means for calculating actual historical volatility, actual implied volatility, and daily distribution of normal distribution obtained from market conditions. Theoretical calculation means for calculating the theoretical historical volatility, the theoretical implied volatility and the theoretical daily rate of return distribution using a "theoretical calculation model"), the actual historical volatility and the theoretical historical volatility, the actual The implied volatility and theoretical implied volatility, and the actual daily rate of return and the normal daily rate of return and the theoretical daily rate of return are shown by a smile curve at least for the theoretical implied volatility. The theoretical calculation model that simultaneously displays and displays on the same screen of each device or on the screen of each of a plurality of display devices, and reproduces both the actual historical volatility and the actual daily rate of return distribution to the user. And a dealing terminal for adjusting the parameter value of the display on the same screen of one display device or by referring to the actual historical volatility or the actual daily rate of return distribution displayed simultaneously on the screens of a plurality of display devices. Dealing system comprising: 2. The function according to claim 1, wherein said theoretical calculation means has a parameter estimation calculation function for deriving parameter values of said theoretical calculation model in real time in accordance with changing market conditions. Dealing system. 3. The parameter calculation means for deriving a parameter value of the theoretical calculation model in real time so as to meet changing market conditions, and a parameter estimation function calculated by the parameter estimation function. 2. An option price evaluation processing function for evaluating an option price by using the option, the theoretical price and theoretical risk index automatically following market conditions are displayed on the dealing terminal in real time. Ring system. 4. The dealing terminal comprises operating means for changing a shape of a smile curve displayed on a screen thereof, wherein the theoretical calculation means sets a parameter value of the theoretical calculation model to the operating means. Parameter adjusting means for adjusting so as to reproduce the virtual daily rate of return corresponding to the smile curve of the shape changed by, and causing the dealing terminal to display the virtual daily rate of return and the actual daily rate of return in comparison. The dealing system according to claim 1, further comprising: 5. The theoretical calculation means re-evaluates and displays an option price and a smile curve with respect to a change in a factor that is not required when recalculating the theoretical daily rate of return distribution using the theoretical calculation model. The dealing system according to claim 1, further comprising a processing function. 6. The handling terminal according to claim 1, wherein the dealing terminal is provided with operating means for allowing a user to capture historical data as a source of the actual daily rate of return by designating an arbitrary period. Item 10. The dealing system according to Item 1. 7. The dealing system according to claim 1, further comprising display control means for switching between semi-log display and normal display of a daily rate of return distribution by the dealing terminal. 8. The theoretical calculation model is a Boltzmann model, and the theoretical calculation means calculates the theoretical historical volatility, theoretical implied volatility and theoretical daily rate of return distribution by Monte Carlo method. Item 8. The dealing system according to any one of Items 1 to 7. 9. An actual historical volatility obtained from a market situation and a financial engineering theoretical calculation model (hereinafter, referred to as a “model”).
Theoretical historical volatility obtained from the "theoretical calculation model"), the actual implied volatility obtained from the market conditions, the theoretical implied volatility obtained from the theoretical calculation model, and the results daily obtained from the market conditions The theoretical daily rate of return distribution obtained from the daily rate of return distribution and the normal rate of return distribution and the theoretical calculation model, at least for the theoretical implied volatility, on the same screen of one display device by a smile curve, or A display means for simultaneously displaying on a screen of each of the plurality of display devices; and a parameter value of the theoretical calculation model for reproducing both actual historical volatility and actual daily rate of return distribution to a user. Actual historical volatility or actual A dealing terminal comprising: operating means for making adjustments while referring to the distribution of daily returns. 10. The dealing terminal according to claim 9, wherein a theoretical price and a theoretical risk index automatically following market conditions are displayed in real time. 11. A user is allowed to change a shape of a smile curve displayed on the screen by the operation means, and a virtual daily rate of return and an actual daily rate of return corresponding to the smile curve of the changed shape. 10. The dealing terminal according to claim 9, wherein the display means is displayed by contrast with the display means. 12. The dealing terminal according to claim 9, wherein the daily return distribution is switched between semi-log display and normal display. 13. A process of periodically taking in market data, calculating actual historical volatility, actual implied volatility, and daily distribution of a normal distribution obtained from market conditions. Processing for calculating theoretical historical volatility, theoretical implied volatility, and theoretical daily rate of return distribution using a financial engineering theoretical calculation model (hereinafter referred to as “theoretical calculation model”); Theoretical historical volatility, the actual implied volatility and theoretical implied volatility, and the actual daily rate of return and the normal and normal daily rate of return and the theoretical daily rate of return distributions are at least the theoretical implied About volatility The process of simultaneously displaying and displaying on the same screen of a display device or the screen of each of a plurality of display devices by a smile curve, and reproducing both the actual historical volatility and the actual daily rate of return distribution to the user. A process of adjusting the parameter values of the theoretical calculation model on the same screen of one display device, or with reference to the actual historical volatility or the actual daily rate of return distribution simultaneously displayed on the screens of a plurality of display devices. A computer-readable medium that stores a dealing program that performs the following.