JP2008165268A - Trading system, managing underwriter system, and program - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To provide a trading system for enabling an investor to trade on online by selecting the issue conditions of structured bonds. <P>SOLUTION: In this trading system where a managing underwriter server is connected through a network to terminal equipment for a customer, the managing underwriter server is provided with a simulation means for simulating information including the price of structured bonds according to an arbitrary condition parameter received from the terminal equipment; a temporary order management means for accepting the temporary order of the structured bonds corresponding to the arbitrary condition parameter from the terminal equipment, and for managing the circumstances of a temporary order for every condition parameter; and an order management means for starting the issue procedure of the structured bonds corresponding to the specific condition parameter when the temporary order of the structured bonds corresponding to the specific condition parameter exceeds the predetermined minimum amount of issue. <P>COPYRIGHT: (C)2008,JPO&INPIT

Description

  The present invention relates to an information processing technology for creating, selling, buying and selling financial products, particularly structured bonds, online.

  Conventionally, many securities companies sell bonds such as foreign currency bonds and structured bonds issued by government agencies and financial institutions including overseas. A foreign currency-denominated bond is a bond that pays principal in a foreign currency and promises to pay reimbursement and interest in a foreign currency. A structured bond is a compound bond in which derivative products such as options and futures are incorporated, and is a collective term for bonds and the like whose coupons and investment principal are linked to stock prices, interest rates, exchange rates, and the like.

  For example, an example of a double currency bond which is one of structured bonds is as follows. In other words, it is a yen bond issued by a European AA-rated financial institution for a period of 6 months and an annual coupon of 8%. However, if the dollar-yen exchange rate 10 business days before the redemption date falls below 110 yen, the initial investment amount will be There is a condition (clause) in which the dollar is redeemed at the dollar amount converted at 110 yen and redeemed at the initial investment amount if it is 110 yen or more. This is an example of a structured bond with a high return due to the risk of yen appreciation.

  By the way, in the past, general retail customers could not choose the conditions such as issuer, currency, period, and structure of foreign currency bonds and structured bonds, and general retail customers were provided in advance by securities companies, etc. It was only enough to select and purchase financial products that suit the investment style from financial products.

On the other hand, in Non-Patent Document 1, World Bank Bonds (World Bank Bonds) with different combinations of currencies and periods are selected in advance as candidates, and out of these candidates, the total number of customer orders It is described that World Bank bonds with a combination of many currencies and terms are actually issued.
“What is Monex World Bank Bonds / Monex Securities”, [online], [searched December 26, 2006], Internet <URL: http://www.monex.co.jp/Etc/00000000/guest/ G3220 / saiken / auction.htm>

  By the way, in the conventional transaction system including the one described in Non-Patent Document 1, there is no system / service in which a general retail customer selects an issuance condition of a structured bond and performs an online transaction. The following reasons are conceivable.

  First, structured bonds are characterized in that conditions such as issuer, currency, term, and structure can be freely designed according to the purchaser's request. However, the pricing of the designed structured bond requires a model including a sophisticated mathematical formula, and simulation such as pricing may take a long time. For example, a complex bond such as one with multiple prepayment clauses typically simulates future cash flows by probabilistically generating thousands to tens of thousands of sample passes. The Monte Carlo simulation method is often used to calculate the price. Algorithms that generate sample paths to be consistent with general market information can be complex, and computation times can take tens of seconds to several minutes or more, even on high-performance computers.

  As a result, if you allow customers to select the issuance conditions for structured bonds online, it may take several minutes or more for the simulation results such as pricing to be displayed on the customer's terminal. There is a risk. On the server side, since many customers are expected to access and perform various simulations, the web server may exceed its processing capacity and may not be able to withstand use.

  In addition, in order to compensate for the issuance cost and various expenses at the time of issuing the structured bond, it is necessary to issue a structured bond having a predetermined minimum issue amount (for example, 1 billion yen in total) or more. To do so, it is efficient to solicit investment in the form of a public offering rather than a private placement, but it is effective to solicit investment online to solicit financial products widely from more than 50 investors. . Therefore, in order to issue structured bonds with specific conditions, it is required to solicit financial products widely from a large number of customers, but a method of soliciting structured bonds with specific conditions to a large number of investors. Is not established.

  The present invention has been made in view of such circumstances, and an object of the present invention is to provide a trading system in which an investor can select a condition for issuing a structured bond and trade on-line. In other words, in the conventional method, the issuer, period, and structure of the structured bond are determined by the sales securities company and set up and sold to the general customers. The purpose is to provide a transaction system in which general customers can freely design conditions such as issuer, currency, period, and structure on-line. Moreover, it aims at realizing the transaction system which can make many customers participate in a transaction system. It is another object of the present invention to provide a trading system capable of adjusting customer demand and concentrating customer demand on structured bonds of a specific condition among many designed structured bonds.

  In addition to the above objectives, when investors freely design structured bond issuance conditions, they can provide information on investment decisions that make it easy to understand risk / return, and flexibly provide market prices and purchase prices. The purpose is to provide a secondary market, and to realize a trading system involving not only one securities company but also local and small and medium-sized securities companies.

  In order to solve the above-described problems, a transaction system according to the present invention is a transaction system in which a managing securities company server and a customer terminal device are connected via a network. Here, the managing securities company server simulates information including the price of the structured bond in accordance with an arbitrary condition parameter received from the terminal device, and the provisional bond of the structured bond corresponding to the arbitrary condition parameter from the terminal device. A provisional order management means for accepting orders and managing the status of provisional orders for each condition parameter, and when a provisional order for structured bonds corresponding to a specific condition parameter exceeds a predetermined minimum issue amount, Order management means for starting a procedure for issuing a structured bond corresponding to a specific condition parameter, and the simulation means calculates sample data for simulation in advance using the market information of the previous day, and the arbitrary condition Approximate information including price using sample data when performing simulation with parameters That, characterized in that.

  Preferably, the managing securities company server includes secondary market providing means for providing issued bond information including a price of an already issued structured bond and urging buying and selling of the already issued structured bond. Further, preferably, the managing securities company server performs a process of adjusting the temporary order so that the temporary order is concentrated on the structured bond related to the predetermined condition parameter according to the status of the temporary order managed by the temporary order management means. Means.

  Further, the transaction system is preferably connected to one or more participating securities company servers via a network. At this time, each of the one or more participating securities company servers issues an identifier and a password for using the transaction system to a customer who has an account at a securities company having the participating securities company server, and the issued identifier And a member registration means for transmitting the password to the secretary brokerage server. The secretary brokerage server stores the identifier and password received from the participating brokerage company server in the customer information database, and customer information based on the customer information database. Customer information management means for managing

  Furthermore, the managing securities company server sends information about the ordered customer to each participating securities company server when the actual order of the structured bond corresponding to a specific condition parameter exceeds the minimum issue amount. Each of the one or more participating securities company servers receives information on the customers ordered from the managing securities company server, and sends an order total of each participating securities company to the managing securities server. It is preferable to provide.

  Further, the secretary brokerage system according to the present invention is a secretary brokerage company system in which customer terminal devices are connected via a network, and the price of the structured bond is determined according to an arbitrary condition parameter received from the terminal device. Simulation means for simulating information to be included, provisional order management means for receiving a provisional order of a structured bond corresponding to an arbitrary condition parameter from the terminal device, and managing the status of the provisional order for each condition parameter, and certain specific conditions Order management means for starting a procedure for issuing a structured bond corresponding to the specific condition parameter when the provisional order of the structured bond corresponding to the parameter exceeds a predetermined minimum issue amount, and the simulation means includes Sample data for simulation is calculated in advance using the market information of the previous day, and arbitrary condition parameters are set. In performing simulation by motor, by using the sample data, information to approximate calculation, including price, characterized in that.

Further, the structured bond transaction method according to the present invention is a structured bond transaction method in a secretary securities company system in which customer terminal devices are connected via a network, and the control means of the transaction method securities company system includes a terminal In accordance with an arbitrary condition parameter received from the device, a step of simulating information including the price of the structured bond and a temporary order of the structured bond corresponding to the arbitrary condition parameter are received from the terminal device, and a provisional order is received for each condition parameter. A step to manage the status of the order and when a provisional order for a structured bond corresponding to a specific condition parameter exceeds a predetermined minimum issue amount, a procedure for issuing the structured bond corresponding to the specific condition parameter is started And the simulation uses the previous day's market information to collect sample data for simulation. In performing calculated advance the simulation by any condition parameters, by using the sample data, approximately calculating the information, including price,
It is characterized by that.

  The program of the present invention causes a computer to execute each processing step of the structured bond trading method of the present invention. The program of the present invention can be installed or loaded on a computer through various recording media such as an optical disk such as a CD-ROM, a magnetic disk, or a semiconductor memory, or via a communication network.

  In this specification and the like, the means does not simply mean a physical means, but includes a case where the functions of the means are realized by software. Further, the function of one means may be realized by two or more physical means, or the functions of two or more means may be realized by one physical means.

  According to the present invention, it is possible to provide a trading system in which a general investor can freely design and trade issuance conditions such as an issuer, currency, period, and structure of a structured bond issued online. At this time, in an environment where market information necessary for determining the conditions and price of the structured bond can be updated in real time, complicated pricing models necessary for determining the condition and price of the structured bond are connected. In addition, by performing preparation processing for approximate calculation in advance, information such as the price of structured bonds has sufficient accuracy for actual transactions, while dramatically increasing the calculation speed of simulation and reducing calculation time. It becomes possible to shorten.

  In the present invention, the issuer, the period, the structure, and the like are determined by the popularity of general customers who participate in the design of structured bonds online. At this time, the customer can request a mechanism to be invested while simulating how much the coupon changes when the strike price and other conditions are changed on the net and what the market price will be. It is also possible to make an investment decision while looking at the preferences of other investors. In this way, investors can freely simulate complex structured bonds for price calculation, contribute to investment decisions, and can verify risks and returns in detail. In addition, it will be possible to provide flexible presentation of market prices and purchase prices and secondary markets.

  Furthermore, by realizing a trading system involving not only one securities company, but also local and small and medium-sized securities companies, it will be possible to provide services to more customers, and one company will be able to provide money and risk.・ Regional and small and medium-sized securities companies that cannot sell structured bonds in terms of customer explanation of returns will be able to add structured bonds to the product line.

  In addition, a transaction system that can adjust demand, including price adjustment, while observing customer demand and trends, and can concentrate customer demand on structured bonds of a specific condition among many designed structured bonds. Will be able to provide. As a result, the sales securities company can consider sales strategies that contribute to sales promotion and profit maximization.

  In addition, interactive exchange of information between investors and brokerage firms, creation of a database of customer information and automation of tabulation, transactions that customers can trade from home, and comparison with other information online You can also get general benefits from online transactions, such as being possible.

  Hereinafter, embodiments of the present invention will be described in detail with reference to the drawings. In addition, the same code | symbol is attached | subjected to the same element and the overlapping description is abbreviate | omitted.

  FIG. 1 is a block diagram showing a schematic configuration of a transaction system 100 according to an embodiment of the present invention. As shown in FIG. 1, the transaction system 100 includes a managing securities company server 10, one or more participating securities company servers 20, and one or more customer terminal devices 30, which are mutually connected via a network N. Configured to be connectable.

  The secretary brokerage server 10 is a server computer for executing business in the secretary brokerage company, and preferably has a function as a web server. In addition, the participating securities company server 20 is a server computer for executing business in a securities company that is affiliated with a managing securities company, such as a local securities company, and preferably has a function as a web server.

  The customer terminal device 30 is a computer used by a general customer who has an account with the managing securities company or participating securities company, and preferably has a function as a web browser. As such a customer terminal device 30, a general personal computer (PC), a mobile phone, a personal digital assistant (PDA), and other computers can be used.

  The network N is a communication line for transmitting and receiving information among the managing securities company server 10, the participating securities company server 20, and the customer terminal device 30. For example, it may be any of the Internet, a LAN, a dedicated line, a packet communication network, a telephone line, a corporate network, other communication lines, combinations thereof, and the like, regardless of whether they are wired or wireless.

  FIG. 2 is a block diagram illustrating an example of a hardware configuration of the managing securities company server 10 according to the present embodiment. As shown in FIG. 2, the managing stock server 10 includes a CPU 41 as a control means for controlling the operation and processing of each unit, a ROM that stores data necessary for processing, a RAM that functions as a work area, and the like. 42, a dedicated or general-purpose computer including a storage device 43 such as a hard disk for storing various types of information, an input / output interface 44, a communication interface 45, and a bus 46 connecting them can be applied.

  Although not shown, a dedicated or general-purpose computer having the same configuration as in FIG. 2 can be applied to the participating securities company server 20 and the customer terminal device 30 in the present embodiment.

  Each of the managing securities company server 10 and the participating securities company server 20 may be constituted by a single computer or may be constituted by a plurality of computers distributed on a network. A single computer may have a plurality of server functions. Furthermore, each of the secretary brokerage server 10 and the participating brokerage company server 20 executes a predetermined program stored in a memory or a storage device by the CPU, so that the secretary brokerage server 10 or the participation broker can be used as various function realizing means. The securities company server 20 is caused to function.

  FIG. 3 is a block diagram illustrating an example of functional configurations of the managing securities company server 10 and the participating securities company server 20 in the present embodiment.

  As shown in FIG. 3A, the control means 11 of the secretary brokerage server 10 includes a simulation means 12, a provisional order management means 13, a demand adjustment means 14, an order management means 15, and a customer information management means 111. And order customer information transmitting means 112 and secondary market providing means 113. Further, the managing securities company server 10 has as its storage means a customer information database (hereinafter referred to as “customer information DB”) 16, a market information database (hereinafter referred to as “market information DB”) 17, and a parameter database (hereinafter referred to as “parameter DB”). ) 18 and an order management database (hereinafter referred to as “order management DB”) 19.

  The simulation means 12 has a function of simulating pricing of structured bonds based on conditions selected and input by the customer on the website. The provisional order management means 13 has a function for receiving a provisional order from a customer and managing the contents of the provisional order. The demand adjustment means 14 has a function for referring to the order management DB 19 to perform parameter adjustment, publicity, etc. according to the total status of provisional orders, and to urge demand to be concentrated on structured bonds of specific conditions. The order management means 15 has a function for receiving an actual order from a customer and managing the contents of the order.

  Further, the customer information management means 111 receives a customer including the customer ID (identification code), password, and email address registered as a user in the transaction system 100 from the participating securities company server 20 and registers it in the customer information DB 16. It has a function. The order customer information transmission unit 112 has a function of transmitting at least the ID and the total amount of the order to each participating securities company having an account for the customer who ordered the structured bond when selling the structured bond. The secondary market providing means 113 has a function of providing a secondary market for already issued structured bonds.

  Further, the customer information DB 16 is a database that stores information related to customer personal information including a customer name, ID, password, and e-mail address. The market information DB 17 is a database that acquires and stores various information related to the current market situation in real time. The parameter DB 18 is a database that stores parameters such as delta and gamma necessary for simulating structured bonds by the simulation means 12. The order management DB 19 is a database for storing provisional order contents and actual order contents in the transaction system 100.

  As shown in FIG. 3B, the control means 21 of the participating securities company server 20 includes a member registration means 22 and an order confirmation means 23. The member registration means 22 performs user registration processing in the transaction system 100 for a customer who has an account with the participating securities company, that is, issues an ID and password to the customer, and also issues the issued ID and password, and electronic A function of transmitting customer information including an e-mail address to the managing securities server 10 is provided. The order confirmation means 23 has a function of summing up the total purchase price of the structured bond in the participating securities company and sending it to the managing securities company server 10 when selling the structured bond.

  Next, the outline | summary of operation | movement of the transaction system 100 comprised as mentioned above is demonstrated.

  FIG. 4 is a flowchart showing the flow of processing by the transaction system 100. As shown in the figure, the structured transaction online transaction processing using the transaction system 100 includes user registration processing S51, provisional order solicitation processing S52 for customizing the structured bond and placing a temporary order, and selling the structured bond. Selling process S53 to be performed.

  First, the user registration process S51 will be described. In the present embodiment, it is assumed that the customer has an account with a managing securities company or a participating securities company as a premise for using the trading system 100. That is, a customer who wants to make a structured bond investment in the trading system 100 performs a user registration procedure at a managing securities company or a participating securities company in which he / she has an account, and each securities company has an ID (identification code) and A password or the like is issued, and only a customer having the ID can browse and use a dedicated website provided by the managing securities server 10. In the following description, a customer who has an account at a participating securities company will be described as an example. However, it goes without saying that the same process can be applied to a customer who has an account at a managing securities company.

  FIG. 5 is a block diagram showing the flow of user registration processing. First, participating securities companies inform their customers about the existence of a dedicated website for structured bond investment. Then, the member registration means 22 of the participating securities company server 20 issues user registration information including an ID and an initial password for browsing and using this dedicated website to interested customers (S61). At this time, the ID is a 10-digit code, for example, “XXX-XXXXXXX”, with the first three digits corresponding to the participating securities company and the second seven digits for customer identification. The 7 digits in the latter half may be determined appropriately by each participating securities company. Further, when issuing user registration information, the customer is requested to register an e-mail address, and the e-mail address is acquired from the customer.

  Thereafter, the participating securities company server 20 transmits customer information including the customer name, user registration information including an ID and an initial password, and personal information such as an e-mail address to the managing securities company server 10 (S62). .

  Upon receiving the customer information from the participating securities company server 20, the customer information management unit 111 of the secretary securities company server 10 registers the received customer information in the customer information DB 16 (S63).

  Thus, the user registration process is completed. After the user registration process is completed, the customer can log in to the dedicated website of the secretary brokerage server 10 using the ID and password issued in step S61, and can browse and use the dedicated website (S64).

  In the transaction system 100, customer information such as a customer name, ID, and password is managed by the managing securities company server 10. Further, the customer can change the password at any time after user registration on the dedicated website. When the password is changed, the customer information DB 16 of the managing securities company server 10 is updated, and the new password after the change is registered in the customer information DB 16.

  Next, the provisional order soliciting process S52 will be described.

  FIG. 6 is a block diagram showing the flow of provisional order solicitation processing. First, the customer accesses the secretary brokerage server 10 from the customer terminal device 30 and logs in to a dedicated website provided by the secretary brokerage server 10.

  Thereafter, on the dedicated website, a desired product menu is selected from the menu 81 of several product groups, and the process proceeds to a web page for customizing the product (structured bond). Then, from the menu displayed on the custom-made web page, the customer himself selects various conditions of the structured bond (period, issuer, currency, interest rate, strike, other parameters specifying the structured bond). 82 is selected / inputted from 82 (S71), and pricing and risk / return characteristics (simulation item 83) corresponding to the selected condition are simulated on the website (S72).

  Market information is appropriately updated in the market information DB 17 of the managing securities company server. Then, when simulating pricing of structured bonds ordered by the customer, the simulation means 12 refers to the market information DB 17 and executes simulation based on current market information.

  In addition, for each product, the secretary brokerage server 10 preliminarily stores data such as the primary differential coefficient, the secondary differential coefficient of each variable of the pricing model and the price of the sample grid (for example, before the start of each business day). It is preferable that the simulation process is efficiently calculated by performing the preparation process that is calculated and stored in the parameter DB 18. This preparation process will be described later.

  In this way, customers check their websites for simulations of the nature of pricing and risk / return, other market information, expert comments, and other participants' participation status (provisional order summary). And tentatively place an order after determining the amount (S73). The managing securities company server 10 registers the contents of the temporary order received from the customer in the order management DB 19.

  On the other hand, the provisional order management means 13 of the manager securities company server 10 counts provisional orders as needed based on the contents registered in the order management DB 19 and presents them on the website (S74). The demand adjusting means 14 finely adjusts the parameters of the model according to the status of the provisional order and adjusts the demand to some extent. In addition, while looking at the demand, the order is guided to concentrate on a predetermined product (structured bond with a predetermined condition) (S75).

  For example, for each product, the minimum sales amount is specified as, for example, a minimum of 1 billion yen, and the total of each provisional order is aggregated at any time, and the total order value at that time is posted on the website for each product. To do. At this time, a product that has approached the minimum sales amount is advertised through a website so as to reach the minimum sales amount as soon as possible. In addition, the conditions such as interest rates of peripheral products for products that are close to the minimum sales amount are worse than those for products that are close to the minimum sales amount, and the conditions for products that are close to the minimum sales amount are better than those for peripheral products. For example, the managing company server 10 may automatically or manually adjust parameters such as volatility to adjust the demand. Furthermore, an email may be sent to a customer who has made a tentative order for a peripheral product of a product that has approached the minimum sales amount, instructing the customer to change to a product that has approached the minimum sales amount, thereby inducing demand.

  FIG. 7 is a table showing an example of the product menu 81 and its selection items 82 and simulation items 83. For example, merchandise prepared in the merchandise menu 81 is roughly divided into a currency system and an interest rate system. There are products such as double currency bonds and FX TARN bonds in the foreign exchange system, and products such as step-up callable bonds in the interest rate system. For example, in a double currency bond, a currency type such as US dollar, Australian dollar, New Zealand dollar, and a period of one month, two months,. It has become. Further, the customer can simulate the strike price, interest rate, market price, etc. listed in the simulation item 83.

  8 and 9 are diagrams showing examples of screens for a custom-made web page for structured bonds.

  FIG. 8 is an example of a custom-made web page screen for a double currency bond. A double currency bond is a bond in which payment and interest payment are denominated in yen and the principal is redeemed in a foreign currency. In this embodiment, when the customer selects one currency type 82a and one period 82b from among a plurality of options on the screen shown in FIG. 8, four types of strike prices or The interest rate for each value of the interest rate 83a or the simulation result of the strike price 83b is displayed. If there is something that the customer wishes to purchase, the customer further selects one of the strike price or the interest rate 83a to determine the condition of the product desired to be purchased, and enters the ID, password, and investment amount in the input box 84. After the input, the provisional order is executed by clicking the provisional order button 85. The contents of this provisional order are stored in the order management DB 19 and can be used as they are when shifting to the sales process S53.

  FIG. 9 is an example of a custom-made web page screen for a step-up bond. A step-up bond is a bond whose yield (coupon rate) from the time of issue to the time of redemption gradually increases. In the present embodiment, when the customer selects one of a plurality of choices for the period 82c and the non-call period 82d on the screen shown in FIG. 9, four types are selected in the selected period and the non-call period. The simulation result of the step-up width or the initial one-year interest rate 83d for the initial one-year interest rate or the value of the step-up width 83c is displayed. If there is something that the customer wishes to purchase, the customer further selects one of the interest rate for the first year or the step-up width 83c to determine the conditions for the desired product, and the ID, password, and investment amount Is input to the input box 84, and the temporary order button 85 is clicked to execute the temporary order.

  When the customer wants to simulate the market price, the market price simulation button 86 is clicked to move to a page for simulating the market price. In this market price simulation, for example, in the case of a 5-year bond, the customer is made to input a 5-year swap rate six months later, and the market price is simulated. At this time, it is preferable to simulate the market price using sample data calculated in advance.

  The preparation process and calculation process of this market price simulation will be described below. Here, in the step-up bond, a case will be described in which how the market price changes when the interest rate changes from the current interest rate to the next interest payment date.

  For example, in the case of a 5-year bond, the change in the 5-year swap rate (A%) most affects the market value. Therefore, let the customer input the 5-year swap rate half a year later, and calculate how much the market price will be. Here, when G (A) is the market price after six months, the Taylor expansion formula up to the second order of G (A) is calculated in advance, and these sample data are obtained for A input by an arbitrary customer. Returns the market price calculated using.

That is, when the current 5-year interest rate is 1.35%, the 5-year interest rate is expected to be close to 1.35% to some extent, so G (A) is tailored in the vicinity of A = 1.35. When expanded, the Taylor expansion formula up to the second order of G (A) is expressed by Formula 1.
(Formula 1) G (A) = G (1.35) + G ′ (1.35) × (A−1.35)
+ G "(1.35) × ( A-1.35) 2/2
G ′ and G ″ are the first and second derivatives of G, respectively, and G (1.35) = 99.50, G ′ (1.35) = − 2.3, G ″ (1.35 ) = − 10.0. Here, if the customer inputs 1.50% as a five-year swap rate six months later, A = 1.50 is input to Equation 1, and the market value G (1.50) is 99 as shown in Equation 2 below. .3415.
(Equation 2) G (1.50) = 99.50-2.3 × 0.15-10 × 0.15 2/2
= 99.0425
The order of Taylor expansion is not limited to the second order, and any order can be adopted.

  FIG. 10 is an example of sample data that is updated by the simulation preparation process in the FX TARN bond. FX TARN Bond (Forex Link Target Redemption Bond) is a coupon determined based on the exchange rate at the time of each interest payment and the standard exchange rate that was initially set, and the accumulated interest payment amount of the bond is A bond that is redeemed in cash with the original principal on the date of interest payment immediately after it is reached. For example, in a 20-year, semi-annual fixed type (fixed interest rate A%), FX TARN bond with a base exchange rate of spot-B yen and a target rate of C%, if you give two of the three conditions of A, B, C The remaining one is determined.

That is, when the function F represented by the following expression 3 is a conditional expression of the three variables A, B, and C of the fixed 20-year and six-year FX TARN bond, the function F is continuous with respect to A, B, and C. There are three implicit functions represented by the following equations 4 to 6.
(Formula 3) F (A, B, C) = 0
(Formula 4) A = f (B, C)
(Formula 5) B = g (A, C)
(Formula 6) C = h (A, B)

A _i , B _j , C _k (i = 1,..., L) (j = 1,..., M) (k = 1,..., N) (l, m, n are about 2 to 5). In the case of a sample grid, sample data represented by the following formulas 7 to 9 obtained by inputting each sample grid into formulas 4 to 6 is calculated in advance. FIG. 10A is an example of sample data relating to the fixed interest rate A obtained by Expression 7, and FIG. 10B is an example of sample data relating to the reference currency spot-B obtained by Expression 8. FIG. 10C is an example of sample data relating to the target rate C obtained by Expression 9.
(Expression 7) A _jk = f (B _j , C _k )
(Equation _{8) B ik = g (A} i, C k)
(Formula 9) C _ij = h (A _i , B _j )

  After that, when the customer who performs the simulation inputs arbitrary numbers to the two variables, the solution of the remaining variables is returned as the interpolation value of the sample grid. Note that the interpolation method may be a linear interpolation method or a spline function interpolation method.

  In this way, the processing is performed and the price of each product is regarded as a function of the input items of the condition parameters (exchange level, strike price, interest rate, etc.), and the first derivative of each variable of the pricing model for each product Monte Carlo calculation for each simulation by pre-calculating sample data such as the second derivative and sample grid price and storing it in the server and using this sample data for the approximate calculation. It is not necessary to calculate prices etc. by complicated numerical analysis methods such as. When simulating a structured bond, if the value of the selection item 82 set / input by the customer is directly substituted for each variable of the pricing model and calculated, it takes a long time for some products. By performing the preparation process, it is possible to greatly reduce the time required for the simulation calculation of structured bonds, improving the operability of the website and enabling smooth simulation to the extent that customers do not feel stress on the website. Customer satisfaction is also improved.

  Next, the sales process S53 will be described.

  FIG. 11 is a block diagram showing the flow of the sales process. When the provisional order of a certain product exceeds the minimum sales amount, the managing securities company server 10 starts a sales process. In this sales process, a formal order is accepted (S91), and a prospectus is issued and a report is made to the Kanto Local Finance Bureau (S92).

  At this time, the order management means 15 of the secretary brokerage server 10 notifies the fact on the website, and accepts a formal order from the customer terminal device 30 on the ordering web page. Formal orders can be received not only from customers who have made temporary orders, but also from customers who have not made temporary orders. However, in this embodiment, a formal order procedure is separately required for a customer who has made a temporary order for the product. When a customer who has already made a temporary order inputs an ID and password on the ordering web page, the provisional order content corresponding to the ID and password is extracted from the order management DB 19 and displayed on the web page. When a button (not shown) is clicked, the status of the order contents registered in the order management DB 19 is changed from the temporary order to the formal order. In this way, a customer who has made a temporary order completes the formal order by simply clicking the confirmation button.

  When a formal order is received from the customer, the order customer information transmission means 112 of the managing broker server 10 extracts the information of the customer who placed the order and the order contents from the customer information DB 16 and the order management DB 19, and the customer has an account. Is notified to the participating securities company server 20 having the Internet via the Internet as needed (S93). The order confirmation means 23 of each participating securities company server 20 confirms the suitability of the customer, confirms the purchase funds and whether or not there is payment, and then sums up the final purchase price on the last day of the order reception period to the managing securities company server 10. Transmit (S94). Based on the final purchase amount received from each participating securities company server 20, the managing securities company server 10 totals the final sales amount and then issues a bond. In this issuance process, the managing securities company submits an amendment notification to the Kanto Local Finance Bureau, issues issue bonds (structured bonds) to the issuers and purchases them from the underwriting securities companies, and then receives the final purchase amount received from each participating securities company server 20 Resell the remaining portion of the bond to each participating securities company. Each participating securities company then sells the order to the customer.

  Further, after selling the bond, the secretary brokerage server 10 provides information such as the market price of the issued bond and the coupon rate on the website. In addition, it will provide a secondary market for existing bonds and encourage the formation of secondary markets through its website.

  For example, the managing securities company server 10 posts the contents of issued bonds (call notification date, coupon schedule, etc.) on the issued bond information page of the website, and updates it according to market conditions. In addition, the managing securities company server 10 presents the price for mid-term purchase on the website at a fixed time on each business day. At this time, the valid time is also specified. Then, the participating securities company may urge the customer who intends to sell mid-career to refer to the website, and sell it at a price presented every day on the website of the managing securities server 10. After confirming the intention, the trading is concluded between the participating securities company and the managing securities company. Participating securities firms will purchase from the customer at that price and receive commission fees from the managing securities firm.

  The present invention is not limited to the above-described embodiment, and can be implemented in various other forms without departing from the gist of the present invention. For this reason, the said embodiment is only a mere illustration in all points, and is not interpreted limitedly. For example, the above-described processing steps can be executed in any order or in parallel as long as there is no contradiction in the processing contents.

  Further, in the present embodiment, the managing securities company server 10 and the participating securities company server 20 are described as different configurations, but the managing securities company server 10 may include the function of one participating securities company server 20.

  Furthermore, in the present embodiment, an e-mail address is acquired from a customer at the time of user registration. However, if the participating securities company server 20 manages the customer's e-mail address in advance, the e-mail address May be diverted.

  Further, in the present embodiment, the trading system in which the investor selects the issue condition of the structured bond and can trade online has been described. However, the present invention is applicable to trading of financial products in general. In particular, it may be applied to publicly offered financial products that allow investors to design the conditions for issuing financial products.

1 is a block diagram illustrating a schematic configuration of a transaction system 100. FIG. 2 is a block diagram illustrating an example of a hardware configuration of a managing securities company server 10. FIG. It is a block diagram which shows an example of a function structure of the secretary securities company server 10 and the participating securities company server 20. FIG. 3 is a flowchart showing a flow of processing by a transaction system 100. It is a block diagram which shows the flow of a user registration process. It is a block diagram which shows the flow of provisional order offer processing. It is a table | surface which shows an example of the goods menu 81, its selection item 82, and the simulation item 83. FIG. It is an example of the custom-made web page screen of a double currency bond. It is an example of a custom-made web page screen of a step-up bond. It is an example of the sample data updated by the preparation process. It is a block diagram which shows the flow of a sale process.

Explanation of symbols

10 Secretary brokerage server (secretary brokerage system)
11 Control means 12 Simulation means 13 Temporary order management means 14 Demand adjustment means 15 Order management means 16 Customer information DB
17 Market DB
18 Parameter DB
19 Order Management DB
20 Participating Securities Company Server 21 Control Unit 22 Member Registration Unit 23 Order Confirmation Unit 30 Customer Terminal Device 100 Transaction System 111 Customer Information Management Unit 112 Order Customer Information Transmission Unit 113 Secondary Market Providing Unit

Claims (8)

A trading system in which a secretary brokerage server and a customer terminal device are connected via a network,
The secretary brokerage server is
Simulation means for simulating information including the price of the structured bond according to an arbitrary condition parameter received from the terminal device;
A temporary order management unit that receives a temporary order of a structured bond corresponding to an arbitrary condition parameter from the terminal device, and manages the status of the temporary order for each condition parameter;
An order management means for starting a procedure for issuing a structured bond corresponding to the specific condition parameter when a provisional order of the structured bond corresponding to the specific condition parameter exceeds a predetermined minimum issue amount;
With
The simulation means includes
The sample data for simulation is calculated in advance using the market information of the previous day, and the information including the price is approximately calculated using the sample data when executing the simulation with the arbitrary condition parameters.
A trading system characterized by that. The secretary brokerage server is
Secondary market providing means to provide information on issued bonds including the price of already issued structured bonds, and to encourage buying and selling of already issued structured bonds,
The transaction system according to claim 1, further comprising: The secretary brokerage server is
Demand adjustment means for performing a process for adjusting the temporary order to be concentrated on the structured bond relating to the predetermined condition parameter according to the status of the temporary order managed by the temporary order management means,
The transaction system according to claim 1, further comprising: The transaction system is connected to one or more participating securities company servers via a network,
Each of the one or more participating securities company servers is:
Issuing an identifier and password for using the transaction system to a customer who has an account at a securities company having the participating securities company server, and transmits the issued identifier and password to the managing securities company server Member registration means,
With
The secretary brokerage server is
Storing the identifier and password received from the participating securities company server in a customer information database, and managing customer information based on the customer information database;
The transaction system according to claim 1, further comprising: The secretary brokerage server is
Order customer information transmitting means for transmitting information on the ordered customer to each participating securities company server when the actual order of the structured bond corresponding to a specific condition parameter exceeds the minimum issue amount,
With
Each of the one or more participating securities company servers is:
Order confirmation means for receiving information on the ordered customer from the managing securities server and transmitting the total order amount of each participating securities company to the managing securities server;
The transaction system according to claim 4, further comprising: A secretary brokerage system in which customer terminal devices are connected via a network,
The secretary securities company system
Simulation means for simulating information including the price of the structured bond according to an arbitrary condition parameter received from the terminal device;
A temporary order management unit that receives a temporary order of a structured bond corresponding to an arbitrary condition parameter from the terminal device, and manages the status of the temporary order for each condition parameter;
An order management means for starting a procedure for issuing a structured bond corresponding to the specific condition parameter when a provisional order of the structured bond corresponding to the specific condition parameter exceeds a predetermined minimum issue amount;
With
The simulation means includes
The sample data for simulation is calculated in advance using the market information of the previous day, and the information including the price is approximately calculated using the sample data when executing the simulation with the arbitrary condition parameters.
A secretary securities company system characterized by that. A structured bond transaction method in a secretary securities company system in which customer terminal devices are connected via a network,
Control means of the transaction method securities company system,
Simulating information including the price of the structured bond in accordance with an arbitrary condition parameter received from the terminal device;
Receiving a provisional order of a structured bond corresponding to an arbitrary condition parameter from the terminal device, and managing the status of the provisional order for each condition parameter;
Starting a procedure for issuing a structured bond corresponding to the specific condition parameter when a provisional order of the structured bond corresponding to the specific condition parameter exceeds a predetermined minimum issue amount;
With
In the simulation, sample data for simulation is calculated in advance using the market information of the previous day, and the information including the price is used using the sample data when the simulation is performed using the arbitrary condition parameter. Approximate calculation,
A structured bond transaction method characterized by the above.   A program for causing a computer to execute the structured bond transaction method according to claim 6.

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