CN113034183A

CN113034183A - Pricing processing method and device, electronic equipment and storage medium

Info

Publication number: CN113034183A
Application number: CN202110314598.1A
Authority: CN
Inventors: 林晓; 王冲; 陈启; 周宁; 孔国栋; 郑亮亮; 谢彦彬; 胡彦; 朱郭卫; 刘炀
Original assignee: China Construction Bank Corp
Current assignee: China Construction Bank Corp
Priority date: 2021-03-24
Filing date: 2021-03-24
Publication date: 2021-06-25

Abstract

The invention discloses a pricing processing method and device, electronic equipment and a storage medium, and relates to the technical field of cloud computing. One embodiment of the method comprises: receiving a pricing request sent by a client, and acquiring a user identifier in the pricing request, a pricing type of a financial derivative and transaction information of the financial derivative; obtaining market parameters corresponding to the transaction information, and calling a preset conversion model to generate a market element value; determining a pricing model from a preset model library based on the user identification, the pricing type, the transaction information and the market element value, inputting the transaction information and the market element value into the pricing model, and calculating the price of the financial derivative; sending the price of the financial derivative to a client for display. The method and the device can solve the problems that the calculated price accuracy is low and the demand cannot be met due to disjointed pricing and trading links of derivatives in the financial market.

Description

Pricing processing method and device, electronic equipment and storage medium

Technical Field

The invention relates to the technical field of cloud computing, in particular to a pricing processing method and device, electronic equipment and a storage medium.

Background

By financial derivatives is meant a financial contract whose value depends on one or more underlying assets or indices, a need to calculate financial derivatives across the financial market. However, at present, derivative pricing in the financial market generally has the problem of disjointing with a transaction link, so that the calculated price has low accuracy and cannot meet the demand.

Disclosure of Invention

In view of this, embodiments of the present invention provide a pricing processing method, an apparatus, an electronic device, and a storage medium, which can solve the problem that a derivative pricing link is disjointed with a transaction link in a financial market, so that a calculated price has a low accuracy and cannot meet a demand.

To achieve the above object, according to an aspect of an embodiment of the present invention, a pricing processing method is provided.

The pricing processing method of the embodiment of the invention comprises the following steps: receiving a pricing request sent by a client, and acquiring a user identifier in the pricing request, a pricing type of a financial derivative and transaction information of the financial derivative; obtaining market parameters corresponding to the transaction information, and calling a preset conversion model to generate a market element value; determining a pricing model from a preset model library based on the user identification, the pricing type, the transaction information and the market element value, inputting the transaction information and the market element value into the pricing model, and calculating the price of the financial derivative; sending the price of the financial derivative to a client for display.

In one embodiment, said determining a pricing model from a library of preset models based on said user identification, said pricing type, said transaction data and said market element values comprises:

inquiring the user type corresponding to the user identification according to a preset mapping relation;

selecting a target model from a preset model base according to the user type, the pricing type, the transaction data and the market element value, and acquiring historical data according to the target model to adjust coefficients of the target model to obtain the pricing model.

In yet another embodiment, said determining a pricing model from a library of preset models based on said user identification, said pricing type, said transaction data and said market element values comprises:

judging whether the market element value meets a preset condition or not;

if not, generating a reminding message to be sent to the client;

and if so, determining a pricing model from a preset model library based on the user identification, the pricing type, the transaction data and the market element value.

In another embodiment, the obtaining of the market parameter corresponding to the transaction information includes:

obtaining market parameters corresponding to the transaction information from the pricing request;

or,

and acquiring market parameters corresponding to the transaction information from a data platform.

In yet another embodiment, the transaction information includes transaction data corresponding to a plurality of time series;

inputting the transaction information and the market element values into the pricing model, calculating prices for the financial derivatives, including:

and inputting the transaction data and the market element value of each time series into the pricing model for each time series, and calculating the corresponding price of the financial derivatives in each time series.

To achieve the above object, according to another aspect of the embodiments of the present invention, there is provided a pricing processing apparatus.

A pricing processing device of an embodiment of the present invention includes: the receiving unit is used for receiving a pricing request sent by a client side and acquiring a user identifier, a pricing type of a financial derivative and transaction information of the financial derivative in the pricing request; the acquisition unit is used for acquiring market parameters corresponding to the transaction information and then calling a preset conversion model to generate a market element value; a determining unit, configured to determine a pricing model from a preset model library based on the user identifier, the pricing type, the transaction information and the market element value, input the transaction information and the market element value into the pricing model, and calculate a price of the financial derivative; and the sending unit is used for sending the price of the financial derivatives to the client for displaying.

In an embodiment, the determining unit is specifically configured to:

In another embodiment, the determining unit is specifically configured to:

judging whether the market element value meets a preset condition or not;

if not, generating a reminding message to be sent to the client;

In another embodiment, the obtaining unit is specifically configured to:

or,

the determining unit is specifically configured to:

To achieve the above object, according to still another aspect of an embodiment of the present invention, there is provided an electronic apparatus.

An electronic device of an embodiment of the present invention includes: one or more processors; and the storage device is used for storing one or more programs, and when the one or more programs are executed by the one or more processors, the one or more processors realize the pricing processing method provided by the embodiment of the invention.

To achieve the above object, according to still another aspect of an embodiment of the present invention, there is provided a computer-readable medium.

A computer-readable medium of an embodiment of the present invention stores thereon a computer program, which, when executed by a processor, implements a pricing processing method provided by an embodiment of the present invention.

One embodiment of the above invention has the following advantages or benefits: in the embodiment of the invention, after a pricing request sent by a client is received, a user identifier, a financial type of a financial derivative and transaction information of the financial derivative can be obtained from the pricing request, market parameters corresponding to the transaction information can be obtained, a market element value can be generated by calling a preset conversion model, a pricing model can be determined from a preset model library based on the user identifier, the financial type, the transaction information and the market element value are input into the pricing model, the price of the financial derivative can be calculated, and the calculated price of the financial derivative is sent to the client for displaying. In the embodiment of the invention, the pricing request comprises the transaction information of the financial derivatives, so that the corresponding market parameters can be obtained, the market element values are calculated, and the pricing model can be determined based on the user identification, the pricing type, the transaction information and the market element values, so that the user information, the pricing type, the transaction information and the market element values which are requested to be priced are considered in the pricing model, the pricing model is determined from the user, the pricing type, the transaction information and the multiple dimensions of the financial derivatives, and the price of the financial derivatives is calculated through the pricing model by using the transaction information and the market element values, so that the price of the financial derivatives is calculated from the multiple dimensions including the user dimension, the actual transaction dimension and the market data dimension, and the accuracy of the pricing of the financial derivatives is improved, the requirements of users are met.

Further effects of the above-mentioned non-conventional alternatives will be described below in connection with the embodiments.

Drawings

The drawings are included to provide a better understanding of the invention and are not to be construed as unduly limiting the invention. Wherein:

FIG. 1 is a schematic diagram of one principal flow of a pricing processing method according to an embodiment of the invention;

FIG. 2 is a schematic diagram of one principal flow of a method of determining a pricing model according to an embodiment of the invention;

FIG. 3 is a schematic diagram of an architecture of componentization of a pricing processing method according to an embodiment of the invention;

FIG. 4 is a diagram illustrating data flow in a componentized architecture according to an embodiment of the invention;

FIG. 5 is a schematic diagram of a financial derivative pricing interface in a client according to an embodiment of the invention;

FIG. 6 is yet another schematic diagram of a financial derivative pricing interface in a client according to an embodiment of the invention;

FIG. 7 is a system architecture diagram of a pricing processing method according to an embodiment of the invention;

FIG. 8 is a schematic diagram of the main elements of a pricing processing arrangement according to an embodiment of the invention;

FIG. 9 is an exemplary system architecture diagram in which embodiments of the present invention may be employed;

FIG. 10 is a schematic block diagram of a computer system suitable for use in implementing embodiments of the present invention.

Detailed Description

Exemplary embodiments of the present invention are described below with reference to the accompanying drawings, in which various details of embodiments of the invention are included to assist understanding, and which are to be considered as merely exemplary. Accordingly, those of ordinary skill in the art will recognize that various changes and modifications of the embodiments described herein can be made without departing from the scope and spirit of the invention. Also, descriptions of well-known functions and constructions are omitted in the following description for clarity and conciseness.

It should be noted that the embodiments and features of the embodiments may be combined with each other without conflict.

The embodiment of the invention provides a pricing processing system, which can be used for a scene of pricing processing of financial derivatives, and particularly can be used for a scene of pricing of financial derivatives. Financial derivatives (definitives) refer to a financial contract whose basic categories include forward, futures, swaps (swaps) and options. Financial derivatives also include hybrid financial instruments having one or more of forward, futures, swaps (interchanges) and options.

An embodiment of the present invention provides a pricing processing method, which may be executed by a pricing processing system, as shown in fig. 1, and includes the following steps.

S101: and receiving a pricing request sent by the client, and acquiring the user identification, the pricing type of the financial derivatives and the transaction information of the financial derivatives in the pricing request.

When the user needs to price the financial derivatives, the pricing request can be sent to the pricing processing system through the client.

The pricing request can include the user identification for pricing the financial derivatives, the information of the financial derivatives needing pricing, and particularly includes the pricing types of the financial derivatives and the transaction information of the financial derivatives. The pricing type represents the type to which the financial derivative pricing belongs and may include, for example, option pricing, DELTA back-calculation performance price, option fee back-calculation performance price, and the like. The transaction information for the financial derivative may include information for transactions to which the financial derivative transaction relates, such as, for example, pricing date, currency pair, option type, option category, transaction direction, call direction, rest date, transaction term, expiration date, deal date, nominal amount, deal rate, and so forth, taking the financial derivative as option and the financial type as option pricing.

It should be noted that the users may include multiple types, for example, the users may include customers corresponding to banks, personnel in internal departments of the banks (such as a financial market department, a risk management department, and the like), and the users may have pricing demand sensitivity on financial derivatives in the financial market, and the users may log in to the client through respective accounts and then send pricing requests through the client.

S102: and acquiring market parameters corresponding to the transaction information, and calling a preset conversion model to generate a market element value.

After receiving the pricing request, the pricing processing system can acquire the transaction information therein, and then acquire the corresponding market parameters based on the transaction information. The pricing processing system can preset the corresponding relation between the transaction information and the market parameters, and further can determine which market parameters need to be acquired according to the corresponding relation.

The transaction data may include various types of dates, terms, expiration dates, delivery dates, currency types, currency pairs, etc. for financial derivatives, for example, the transaction information may include pricing dates, currency pairs, option types, option categories, transaction directions, call directions, rest dates, transaction terms, expiration dates, delivery dates, nominal amounts, delivery rates, etc. for financial derivatives.

The market parameters represent data associated with financial derivative transaction data in a financial market. In particular, the market data may include exchange rates, currency rates, and the like for financial derivatives. The market parameters can be obtained from a data platform in advance and stored in a database of the pricing processing system, the market parameters can be obtained from the database in the step, so that the efficiency of obtaining the market data is improved, and the pricing processing system can periodically update the stored market data in order to ensure the effectiveness of the market parameters; or the market parameters can be acquired from the data platform after the pricing request is received in the step, so that the accuracy and the effectiveness of the market data are ensured; alternatively, for some scenarios, the user may calculate the price of the financial derivative under certain market parameters, so the user may send certain market data to the pricing processing system via the pricing request, i.e., the manner in which the market parameters are obtained in this step is such that the pricing processing system may obtain the market data from the pricing request.

It should be noted that, since a plurality of market parameters are usually used in pricing financial derivatives, the pricing processing system may adopt one or more combinations of the above manners for obtaining market parameters, and the specific embodiment of the present invention is not limited thereto. The data platform means a platform that can acquire market parameters, such as a data platform of a certain bank, a government platform, and the like.

After obtaining the market parameters, the market parameters and/or the transaction information may be used to generate market element values, where the market element values represent element values required for calculating the prices of the financial derivatives, and specifically, the market element values may include interest rate curves (discount curves, zero-information rate, level continuous profit, and the like) corresponding to the financial derivatives, various curved surface data (e.g., fluctuation rate curved surfaces), various middle curve data, curves, term structures of the curved surfaces, corresponding market quotes, and the like. For example, taking financial derivatives as options and financial types as option pricing, market element values may include volatility, spot exchange rates, forward exchange rates, currency exchange rates, and the like. The embodiment of the invention can preset a conversion model so as to generate the market element value through the conversion model. Because different market element values are generated in different ways, in the embodiment of the present invention, a corresponding conversion model may be preset for each market element value, so as to generate a required market element value.

It should be noted that, in the embodiment of the present invention, market element values required for pricing each financial derivative may be preset, and in this step, the market element values required for pricing the financial derivatives are generated by calling the conversion model. The conversion model usually involves a calculation process, but for some market parameters, the market parameters themselves can be used as market element values, so the conversion model corresponding to the market element values can be a model without calculation processing.

In the embodiment of the invention, after the market element value is calculated, the calculation result can be judged so as to avoid the error of the calculated market element value, further cause the error of the pricing of the financial derivatives and reduce the accuracy of the pricing of the financial derivatives. The embodiment of the invention can preset conditions, namely preset conditions according to the rule of the market element value, for example, when the market element value is the volatility curved surface quotation, the buying price is generally required to be lower than the selling price, so the preset conditions can include whether the buying price is lower than the selling price or not corresponding to the volatility curved surface quotation. And then judging the calculated market element value based on preset conditions. If the market element value does not meet the preset condition, indicating that the market element value is wrong, generating a reminding message, and further sending the reminding message to the client to prompt a user that the market element value is wrong, wherein the user can adjust the reminding message; if the market element value meets the preset condition, which indicates that no error is found in the market element value, the subsequent steps can be continuously executed.

S103: and determining a pricing model from a preset model library based on the user identification, the financial type, the transaction information and the market element value, inputting the transaction information and the market element value into the pricing model, and calculating the price of the financial derivatives.

In the embodiment of the invention, a model base is established in advance, wherein a plurality of models for pricing financial derivatives can be stored, each model can establish a corresponding relation with a user identifier, a financial type, transaction information and a market element value, and after the market element value is generated in the step, the pricing model can be determined from the preset model base based on the user identifier, the financial type, the transaction information and the market element value. After the pricing model is determined, the transaction information and the market element values are parameters required by pricing calculation, and then the transaction information and the market element values are input into the value pricing model, so that the price of the financial derivatives can be calculated.

It should be noted that, because different users have different emphasis or requirements for pricing financial derivatives, models for pricing financial derivatives may be set for different users, that is, a corresponding relationship between a user identifier and the models is established, and in this step, the pricing models may be screened based on the user identifier, financial type, transaction information, and market factor value. And if the emphasis or the demand of different users on pricing the financial derivatives is not considered, all models in the model library corresponding to the users can be set, and then the pricing models can be determined according to pricing types, transaction information and market element values.

S104: the price of the financial derivative is sent to the client for display.

After the pricing processing system calculates the price of the financial derivatives, the price can be sent to the client list so that the client can display the price of the financial derivatives conveniently, and a user can view the calculation result through the display of the client.

In the embodiment of the invention, the pricing request comprises the transaction information of the financial derivatives, so that the corresponding market parameters can be obtained, the market element values are calculated, and the pricing model can be determined based on the user identification, the pricing type, the transaction information and the market element values, so that the user information, the pricing type, the transaction information and the market element values which are requested to be priced are considered in the pricing model, the pricing model is determined from the user, the pricing type, the transaction information and the market element multiple dimensions of the financial derivatives, and the price of the financial derivatives is calculated through the pricing model by using the transaction information and the market element values, so that the price of the financial derivatives is calculated from the multiple dimensions including the user dimension, the actual transaction dimension and the market data dimension, and the accuracy of the pricing of the financial derivatives is improved, the requirements of users are met.

The method for determining a pricing model in step S103 in the embodiment of the present invention is specifically described below with reference to the embodiment shown in fig. 1, and as shown in fig. 2, the method includes the following steps.

S201: and inquiring the user type corresponding to the user identification according to the preset mapping relation.

In the embodiment of the invention, the user types can be divided for the users, and the models are divided according to the user types, so that the mapping relation between the user identification and the user types is established in advance. In this step, the user type corresponding to the user identifier can be queried according to the preset mapping relationship, that is, the user type to which the user identifier belongs is determined.

S202: and selecting a target model from a preset model library according to the user type, the pricing type, the transaction data and the field element value, and acquiring historical data according to the target model to adjust the coefficient of the target model to obtain the pricing model.

And selecting target models corresponding to the user type, the pricing type, the transaction data and the field element value from a preset model library by sequentially screening based on the user type, the pricing type, the transaction data and the field element value.

When calculating the price of the financial derivative, the market element value and the transaction information are parameters specifically used for calculating the price in the input model, and different market element values and transaction information can correspond to different models or different model parameters of the same model. In the embodiment of the invention, models corresponding to each group of market element values and transaction information can be preset, and then the models are trained and stored respectively, so that a plurality of target models can be selected from a preset model library based on user types and pricing types in the step, and then the plurality of target models can be screened again based on the transaction information and the market element values to directly determine the corresponding pricing models. Because market parameter changes may cause the transformation of market element values, in order to ensure the accuracy of the trained models, the stored models in the model base need to be retrained according to a preset period, but for some sets of models corresponding to the market element values and the trading information, because the use frequency is low and the models are not frequently used, in order to reduce the model training process, the training process can be executed again during pricing, that is, in the step, a target model is selected from the preset model base according to the user type, the pricing type, the trading data and the field element values, and then the target model needs to be trained and adjusted to obtain an available pricing model. The training of the target model may be to obtain historical data according to the target model, and then train the target model using the obtained historical data to obtain the pricing model. The historical data represents historical data used for target model training, and can be obtained from a pre-stored database of pricing processing models or a data platform.

It should be noted that, in the embodiment of the present invention, it may be determined whether the time length from the previous use of the determined target model is within the preset time length range, and if so, it indicates that the target model has completed training recently, and does not need to be trained again, it may be directly determined that the target model is a pricing model; if not, the target model is not trained within the preset time range, and historical data can be obtained according to the target model to adjust the coefficient of the target model to obtain a pricing model. The preset time range may be set according to an actual scene.

In the embodiment of the invention, the time spent on model training of the pricing processing system is reduced by reducing the training times of the models, and the system resources are saved on the basis of ensuring the pricing accuracy.

In the embodiment of the present invention, both the client and the pricing processing system can be implemented by way of componentization design, the pricing process method shown in fig. 1 and fig. 2 can implement data flow on the basis of each component, and the specific componentization result can be shown in fig. 3. Fig. 3 is a schematic structural diagram of the sub-assembly of each component, which includes P1-P12 layers, where the P1 and P2 layers are channel integration layers, which respectively provide channels for internal clients and external clients to log in and operate clients, and are equivalent to clients, and can implement various functions that can be implemented by the clients, specifically including client login, client information management, data input and display, and data transmission with a backend; the P3 is a customer service integration layer, which can provide services such as approval and authorization of money market, bonds, interest rates, precious metals and the like for customers; p4 is an application integration layer, which is equivalent to an ESB (Enterprise Service Bus); p5 is an external integration layer, equivalent to an external data platform, which can provide market parameters for pricing processing systems; the P6-P8 are product service layers for providing various functional services for pricing processing systems, in fig. 3, the P6-P8 layers may include guest fund transaction processing, personal fund transaction processing, fixed and guaranteed price platform, group investment and background processing for implementing the functions of guest and personal fund transaction processing, pricing and quotation processing for financial derivatives, investment portfolio and background service, respectively, and may be specifically detailed as deposit processing, operation distribution processing, credit inquiry processing, pricing management, related transaction processing, payment settlement processing, and at the same time, various contracts, product research and development information, customer information, institution employee information, etc. and the product service layers are configured with various interfaces for communicating functional modules and other component layers, for example, related price information may be introduced from the fixed and quotation platform during pricing processing, transaction information, market parameters and the like acquired from group investment, guest fund transaction and personal fund transaction so as to facilitate pricing of financial derivatives, and obtained results can be stored into a database, a report form and the like; p9 is a data integration layer, which can be used to integrate and store various data, including market risk data and financial accounting data; P10-P12 are analysis management layers, and can be used for analyzing and displaying report data. The flow of data in implementing pricing for financial derivatives based on the componentized structure shown in FIG. 3 may be as shown in FIG. 4. In fig. 4, a model pricing module in the P6-P8 layers can obtain pricing data from external data sources (data platforms), pricing platforms, investment portfolio and fund transaction to calculate prices, store the prices in report data of the P-P12 layer and send the prices to clients of the P2 layer. Forming a complete pricing processing flow: function usage-model computation-model pricing of data stores.

For the client, a corresponding function interface is usually provided for the user, so that the user can input the relevant information of the financial derivatives by operating on the interface, specifically, taking the financial derivatives as options as an example, the operation interface provided by the client may be as shown in fig. 4. In FIG. 4, calculator #1 represents a pricing interface in which the components named calculate provide a pricing type selection window for financial derivatives, including option fees, DELTA back calculation execution prices, and option fee back calculation execution prices, and when the pricing type is option pricing, the "calculate" component can select "option fees", representing calculated option prices; when the pricing type is DELTA reverse execution price, "calculate" component can select DELTA reverse execution price "to represent that the delivery exchange rate is calculated; when the pricing type is an option back-calculation execution price, the "calculate" component may select the "option back-calculation execution price" to represent calculating the delivery exchange rate. The pricing interface further comprises a contract element, a market element and a result, wherein the contract element represents transaction information of the financial derivatives needing to be priced, a user can input the transaction information of the financial derivatives through the contract element, the market element is a value of the market element, the contract element can determine a duration element for the pricing processing system and then return the duration element to the client to display, the result is a price calculated by the financial derivatives, the price specifically comprises multi-dimensional price parameters, the pricing processing system can return the pricing result to the client after calculating the pricing result, and the client can display the result at a response position so that the user can conveniently view the result.

It should be noted that the client may also set an interface for querying and modifying the market parameter and/or the market element value, so that the user can view and modify the market parameter and/or the market element value according to the requirement. Taking the volatility curved surface quotation as an example, the client may provide a corresponding control for receiving a user view or modification volatility curved surface quotation interface, for example, a generated volatility curved surface quotation generation interface is displayed after clicking the control, usually a plurality of volatility curved surface quotations may be corresponding to a specific group and a specific currency pair, and the client may provide a corresponding view and modification interface for each different volatility curved surface quotation. The client can also provide an early warning function, namely, the client can judge that the market element value and the like do not meet the preset conditions, such as sigma_ATMAnd when the Bid and Ofr are not more than 0, an alarm prompt can be given. The specific alarm mode is not limited, and for example, the alarm prompt box may be displayed, or the alarm may be prompted in the corresponding interface. The client can also comprise a curve or curved surface display function in the market element value, the curve or curved surface display is usually generated for the release price of the volatility curved surface, the client can be provided with a refresh button so that a user can refresh the displayed curve or curved surface, and the curve or curved surface can be regenerated according to the newly acquired release price of the volatility curved surface each time the curve or curved surface is refreshed.

In the embodiment of the present invention, the pricing processing system may further be used in a scenario of pricing a combination of a plurality of financial derivatives, at this time, the user may input information of the financial derivatives that are mainly priced in combination through the client, and the pricing request received in step S101 may include related information of the financial derivatives that need to be priced in combination, such as transaction information, pricing types, and the like. The client provides a pricing interface for financial derivatives that can provide combined pricing, which includes information about financial derivatives that need combined pricing, and particularly, as shown in fig. 5, the client calculates an option price for a combination of two financial derivatives LGG1 and LEG 2. In an embodiment of the present invention, the financial derivative option combinations that may be used for combination pricing may include: risk Reversal (Risk Reversal), stride options (Straddle), wide stride options (Strangle), Butterfly options (Butterfly), Call Spread price (Call Spread), Call Spread price (Put Spread), Calendar price (Call Spread), rate Forward, Participating Forward, gull options (Seagull), and the like, as well as custom option combinations.

In the embodiment of the invention, rapid date sequence pricing can be realized, namely, for one financial derivative or the combined priced financial derivatives, the corresponding price is calculated in sequence according to the time sequence set by the user. The user can input time series (the time series can be represented as a time period) in the client, and transaction information (expiration date, period, delivery exchange rate and the like of the financial derivatives) corresponding to the time series is obtained according to the time series, so that the client can send the transaction information to the pricing processing system through the pricing request, the pricing processing system can obtain transaction data corresponding to a plurality of time series after receiving the pricing request, further for each time series, the transaction data and the market element value of each time series are input into the pricing model, the price of the financial derivatives corresponding to each time series is calculated, and the calculated result can be returned to the client for display.

In the embodiment of the invention, the pricing of the financial derivatives is realized, the method can be directly applied to financial market business of banks, and can also be used for scenes such as middle risk management, evaluation of various transaction situations and the like, so that the pricing demand of customers on the financial derivatives in the financial market is more effectively improved.

Fig. 7 is a schematic diagram of a system architecture of a pricing processing method according to an embodiment of the present invention, in the embodiment of the present invention, a pricing processing model may obtain transaction data and market data, i.e., transaction information and market element values, from a pricing request and a data platform, and further may perform model selection and model adjustment from a pricing model library to obtain a pricing model, and further calculate a price of a financial derivative, i.e., calculate a product value.

In the embodiment of the invention, the pricing processing process is modularized, so that the trading system can be accessed and is closely combined with the trading scene, the pricing calculation result is more accurate by adjusting the adaptive optimization early-stage data requirement, the modularized tool is easier to use, more abundant flexible calculation scenes can be supported, and the actual business requirements are better met. Therefore, the pricing capacity of financial derivatives can be improved, and the flexibility, timeliness and accuracy of quotation are improved.

In order to solve the problems in the prior art, an embodiment of the present invention provides a pricing processing apparatus 800, as shown in fig. 8, the apparatus 800 includes:

a receiving unit 801, configured to receive a pricing request sent by a client, and acquire a user identifier, a pricing type of a financial derivative, and transaction information of the financial derivative in the pricing request;

an obtaining unit 802, configured to obtain market parameters corresponding to the transaction information, and further invoke a preset conversion model to generate a market element value;

a determining unit 803, configured to determine a pricing model from a preset model library based on the user identifier, the pricing type, the transaction information, and the market element value, input the transaction information and the market element value into the pricing model, and calculate a price of the financial derivative;

a sending unit 804, configured to send the price of the financial derivative to the client for display.

It should be understood that the manner of implementing the embodiment of the present invention is the same as the manner of implementing the embodiment shown in fig. 1, and the description thereof is omitted.

In an implementation manner of the embodiment of the present invention, the determining unit 803 is specifically configured to:

In another implementation manner of the embodiment of the present invention, the determining unit 803 is specifically configured to:

judging whether the market element value meets a preset condition or not;

if not, generating a reminding message to be sent to the client;

In another implementation manner of the embodiment of the present invention, the obtaining unit 802 is specifically configured to:

or,

In another implementation manner of the embodiment of the present invention, the transaction information includes transaction data corresponding to a plurality of time sequences;

the determining unit 803 is specifically configured to:

It should be understood that the embodiment of the present invention is implemented in the same manner as the embodiment shown in fig. 1 or fig. 2, and is not repeated herein.

According to an embodiment of the present invention, an electronic device and a readable storage medium are also provided.

The electronic device of the embodiment of the invention comprises: at least one processor; and a memory communicatively coupled to the at least one processor; wherein the memory stores instructions executable by the processor to cause the processor to perform the pricing processing method provided by the embodiment of the invention.

Fig. 9 illustrates an exemplary system architecture 900 to which a pricing processing method or pricing processing apparatus of an embodiment of the invention may be applied.

As shown in fig. 9, the system architecture 900 may include

end devices

901, 902, 903, a network 904, and a server 905. Network 904 is the medium used to provide communication links between

terminal devices

901, 902, 903 and server 905. Network 904 may include various connection types, such as wired, wireless communication links, or fiber optic cables, to name a few.

A user may use the

terminal devices

901, 902, 903 to interact with a server 905 over a network 904 to receive or send messages and the like. Various client applications may be installed on the

terminal devices

901, 902, 903.

The

terminal devices

901, 902, 903 may be, but are not limited to, smart phones, tablet computers, laptop portable computers, desktop computers, and the like.

The server 905 may be a server that provides various services, and the server may analyze and perform other processing on the received data such as the pricing request, and feed back the processing result (e.g., price, for example only) to the terminal device.

It should be noted that the pricing processing method provided by the embodiment of the present invention is generally executed by the server 905, and accordingly, the pricing processing device is generally disposed in the server 705.

It should be understood that the number of terminal devices, networks, and servers in fig. 9 is merely illustrative. There may be any number of terminal devices, networks, and servers, as desired for implementation.

Referring now to FIG. 10, a block diagram of a computer system 800 suitable for use in implementing embodiments of the present invention is shown. The computer system illustrated in FIG. 10 is only one example and should not impose any limitations on the scope of use or functionality of embodiments of the invention.

As shown in fig. 10, the computer system 1000 includes a Central Processing Unit (CPU)1001 that can perform various appropriate actions and processes according to a program stored in a Read Only Memory (ROM)1002 or a program loaded from a storage section 1008 into a Random Access Memory (RAM) 1003. In the RAM 1003, various programs and data necessary for the operation of the system 1000 are also stored. The CPU 1001, ROM 1002, and RAM 1003 are connected to each other via a bus 1004. An input/output (I/O) interface 1005 is also connected to bus 1004.

The following components are connected to the I/O interface 1005: an input section 1006 including a keyboard, a mouse, and the like; an output section 1007 including a display such as a Cathode Ray Tube (CRT), a Liquid Crystal Display (LCD), and the like, and a speaker; a storage portion 1008 including a hard disk and the like; and a communication section 1009 including a network interface card such as a LAN card, a modem, or the like. The communication section 1009 performs communication processing via a network such as the internet. The driver 1010 is also connected to the I/O interface 1005 as necessary. A removable medium 1011 such as a magnetic disk, an optical disk, a magneto-optical disk, a semiconductor memory, or the like is mounted on the drive 1010 as necessary, so that a computer program read out therefrom is mounted into the storage section 1008 as necessary.

In particular, according to the embodiments of the present disclosure, the processes described above with reference to the flowcharts may be implemented as computer software programs. For example, embodiments of the present disclosure include a computer program product comprising a computer program embodied on a computer readable medium, the computer program comprising program code for performing the method illustrated in the flow chart. In such an embodiment, the computer program may be downloaded and installed from a network through the communication part 1009 and/or installed from the removable medium 1011. The computer program executes the above-described functions defined in the system of the present invention when executed by the Central Processing Unit (CPU) 1001.

It should be noted that the computer readable medium shown in the present invention can be a computer readable signal medium or a computer readable storage medium or any combination of the two. A computer readable storage medium may be, for example, but not limited to, an electronic, magnetic, optical, electromagnetic, infrared, or semiconductor system, apparatus, or device, or any combination of the foregoing. More specific examples of the computer readable storage medium may include, but are not limited to: an electrical connection having one or more wires, a portable computer diskette, a hard disk, a Random Access Memory (RAM), a read-only memory (ROM), an erasable programmable read-only memory (EPROM or flash memory), an optical fiber, a portable compact disc read-only memory (CD-ROM), an optical storage device, a magnetic storage device, or any suitable combination of the foregoing. In the present invention, a computer readable storage medium may be any tangible medium that can contain, or store a program for use by or in connection with an instruction execution system, apparatus, or device. In the present invention, however, a computer readable signal medium may include a propagated data signal with computer readable program code embodied therein, for example, in baseband or as part of a carrier wave. Such a propagated data signal may take many forms, including, but not limited to, electro-magnetic, optical, or any suitable combination thereof. A computer readable signal medium may also be any computer readable medium that is not a computer readable storage medium and that can communicate, propagate, or transport a program for use by or in connection with an instruction execution system, apparatus, or device. Program code embodied on a computer readable medium may be transmitted using any appropriate medium, including but not limited to: wireless, wire, fiber optic cable, RF, etc., or any suitable combination of the foregoing.

The flowchart and block diagrams in the figures illustrate the architecture, functionality, and operation of possible implementations of systems, methods and computer program products according to various embodiments of the present invention. In this regard, each block in the flowchart or block diagrams may represent a unit, segment, or portion of code, which comprises one or more executable instructions for implementing the specified logical function(s). It should also be noted that, in some alternative implementations, the functions noted in the block may occur out of the order noted in the figures. For example, two blocks shown in succession may, in fact, be executed substantially concurrently, or the blocks may sometimes be executed in the reverse order, depending upon the functionality involved. It will also be noted that each block of the block diagrams or flowchart illustration, and combinations of blocks in the block diagrams or flowchart illustration, can be implemented by special purpose hardware-based systems which perform the specified functions or acts, or combinations of special purpose hardware and computer instructions.

The units described in the embodiments of the present invention may be implemented by software or hardware. The described units may also be provided in a processor, and may be described as: a processor includes a receiving unit, a determining unit, an acquiring unit, and a comparing unit. Where the names of these elements do not in some cases constitute a limitation of the element itself, for example, a receiving element may also be described as "an element of the function of the receiving element".

As another aspect, the present invention also provides a computer-readable medium that may be contained in the apparatus described in the above embodiments; or may be separate and not incorporated into the device. The computer readable medium carries one or more programs which, when executed by a device, cause the device to perform the method of data comparison provided by the present invention.

The above-described embodiments should not be construed as limiting the scope of the invention. Those skilled in the art will appreciate that various modifications, combinations, sub-combinations, and substitutions can occur, depending on design requirements and other factors. Any modification, equivalent replacement, and improvement made within the spirit and principle of the present invention should be included in the protection scope of the present invention.

Claims

1. A pricing processing method, comprising:

receiving a pricing request sent by a client, and acquiring a user identifier in the pricing request, a pricing type of a financial derivative and transaction information of the financial derivative;

obtaining market parameters corresponding to the transaction information, and calling a preset conversion model to generate a market element value;

determining a pricing model from a preset model library based on the user identification, the pricing type, the transaction information and the market element value, inputting the transaction information and the market element value into the pricing model, and calculating the price of the financial derivative;

sending the price of the financial derivative to a client for display.

2. The method of claim 1, wherein determining a pricing model from a library of preset models based on the user identification, the pricing type, the transactional data, and the market element value comprises:

3. The method of claim 1, wherein determining a pricing model from a library of preset models based on the user identification, the pricing type, the transactional data, and the market element value comprises:

judging whether the market element value meets a preset condition or not;

if not, generating a reminding message to be sent to the client;

4. The method according to claim 1, wherein the obtaining market parameters corresponding to the transaction information comprises:

or,

5. The method of claim 1, wherein the transaction information includes transaction data corresponding to a plurality of time series;

6. A pricing processing apparatus, comprising:

the receiving unit is used for receiving a pricing request sent by a client side and acquiring a user identifier, a pricing type of a financial derivative and transaction information of the financial derivative in the pricing request;

the acquisition unit is used for acquiring market parameters corresponding to the transaction information and then calling a preset conversion model to generate a market element value;

a determining unit, configured to determine a pricing model from a preset model library based on the user identifier, the pricing type, the transaction information and the market element value, input the transaction information and the market element value into the pricing model, and calculate a price of the financial derivative;

and the sending unit is used for sending the price of the financial derivatives to the client for displaying.

7. The apparatus according to claim 6, wherein the determining unit is specifically configured to:

8. The apparatus according to claim 6, wherein the determining unit is specifically configured to:

judging whether the market element value meets a preset condition or not;

if not, generating a reminding message to be sent to the client;

9. The apparatus according to claim 6, wherein the obtaining unit is specifically configured to:

or,

10. The apparatus of claim 6, wherein the transaction information comprises a plurality of time series of corresponding transaction data;

the determining unit is specifically configured to:

11. An electronic device, comprising:

one or more processors;

a storage device for storing one or more programs,

when executed by the one or more processors, cause the one or more processors to implement the method of any one of claims 1-5.

12. A computer-readable medium, on which a computer program is stored, which, when being executed by a processor, carries out the method according to any one of claims 1-5.