总览 / Overview

SuperCurve®通过分析当前和历史数据,利用严谨的固定收益模型框架和处理无规律数据、错误数据和虚假交易的统计方法方法,

对各种债券或利率互换(IRS)进行定价。因为中国市场这种特定的不稳定的数据环境,

使大多数西方固定收益技术失效。SuperCurve®是专门为中国固定收益市场及其复杂性而设计的。我们选择半参数法构建模型。

该模型可以在匹配市场数据的灵活性和平滑度之间提供最佳平衡,并在整个到期范围内增强价格与收益率的一致性。

SuperCurve® uses a rigorous fixed-income modeling framework and statistical techniques to handle irregular and

sparse data, errors and fake trades, then model and price every fixed income security – bond or interest rate swap

(IRS) – using all the available information at any moment, both current and past. 

Due to the erratic data environment, specific to Chinese markets, invalidates most Western fixed income technology. SuperCurve® has been specially designed for the Chinese fixed income market and in all its complexity. We use opted for a semi-parametric approach model, which offers the best possible trade-oof between the flexibility to match market data and smoothness in imposing consistency between the prices and yields across the entire maturity range. 

 

特点 / Features

SuperCurve®的使用者,如经纪商,做市商,交易员,资产管理经理,风险管理经理等,将从以下方面受益:

Users of SuperCurve® – brokers, market makers, traders, asset managers, risk managers – benefit from:

 

01. 持续更新所有固定收益资产的准确价格和收益率。

01. Permanently updated accurate prices and yields of all commonly traded fixed income securities.

 

02. 提供所有无报价资产的无偏价格、收益率,及买入和卖出报价建议。

02. Unbiased price and yield suggestions, bid and offer, for all securities that haven’t received a quote otherwise.

 

03. 提供日间和日内的报价成交时间序列,以及估值收益率与市场实际报价或交易数据的历史对比。

03. Historical series (daily and intraday) of quotes and transactions, a historical comparison of model yields with quoted or transacted yields.

 

04. 检测市场异常并以此提供交易信号

04. Detects market anomalies and provides trading signals to take advantage of them

 

05. 给予交易建议,包括:国债vs.国开债或其他类型债券;新券vs老券;期限利差和蝶式利差,等等。

05. Suggestions of trades: TB vs. CDB and other types of bonds, on-the-run vs. off-the-run bonds, bond vs. IRS, inter-maturity spreads and butterflies, etc.

 

曲线簇 / CURVES

 

当前的系统可以处理以下固定收益资产品种:

The following securities are (currently) handled in the system:

 

01. 国债(TB)

01. Treasury Bonds (TB)

 

02. 中国进出口银行和中国农业发展银行债券(EIBC & ADBC)

02. Export-Import Bank of China and Agricultural Development Bank of China Bonds (EIBC & ADBC)

 

03. 国家开发银行债券(CDB)

03. China Development Bank Bonds (CDB)

 

04. SHIBOR3M利率互换(SHI3M-IRS)

04. SHIBOR3M Swaps (SHI3M-IRS)

 

05. FR007利率互换(FR007-IRS)

05. FR007 Swaps (FR007-IRS)

 

工具套件 / SuperCurve® Tool Kit

 

Python/ Excel API:

应用程序接口:Python & Excel

 

Bond Calculator:

在选定债券和交易日期的情况下,系统根据最新央行债券计算规则以及客户任一输入的净价,全价或者收益率准确计算其他两值。

when the bond and trading date are selected, the system accurately calculates the other two values once any one of the clean prices, 

dirty prices and yields is entered by users according to the latest central bank bond calculation rules.

 

Trail Calculation:

客户指定匹配方式,例如净现金流匹配,久期匹配,以及蝶式匹配,进行所选债券交易量推荐

The user can choose matching methods, such as net cash flow matching, duration matching and butterfly matching,to recommend the selected bond trading volume

 

 

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