| US 7,552,076 B1 | ||
| System for evaluating price risk of financial product or its financial derivative, dealing system and recorded medium | ||
| Yuji Uenohara, Yokohama-shi (Japan); Ritsuo Yoshioka, Yokohama-shi (Japan); Motohiko Onishi, Mitaka-shi (Japan); Takahiro Tatsumi, Kawaguchi-shi (Japan); Tadahiro Ohashi, Kokubunji-shi (Japan); Masatoshi Kawashima, Yokohama-shi (Japan); and Hiroaki Okuda, Kawasaki-shi (Japan) | ||
| Assigned to Kabushiki Kaisha Toshiba, Kawasaki-shi (Japan) | ||
| Appl. No. 9/807,963 PCT Filed Aug. 25, 2000, PCT No. PCT/JP00/05755 § 371(c)(1), (2), (4) Date Jun. 01, 2001, PCT Pub. No. WO01/16819, PCT Pub. Date Mar. 08, 2001. |
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| Claims priority of application No. 11-242152 (JP), filed on Aug. 27, 1999; and application No. 2000-219655 (JP), filed on Jul. 19, 2000. | ||
| Int. Cl. G06Q 40/00 (2006.01) | ||
| U.S. Cl. 705—36 | 18 Claims |
| 1. A price and risk evaluation system for evaluating a price distribution or a risk distribution for a financial product or
its derivatives, comprising:
an initial value setter configured to input at least one of initial values of a price, a price change rate, and a price change
direction for a financial product or its derivatives;
an evaluation condition setter configured to input evaluation conditions including at least time steps and a number of trials;
a Boltzmann model analyzer configured to repeat simulation of price fluctuation based on a Boltzmann model using a Monte Carlo
method to obtain a price distribution or a risk distribution;
a velocity/direction distribution setter configured to input probability distributions of the price, the price change rate,
and the price change direction for the financial product or its derivatives into the Boltzmann model analyzer;
a random number generator configured to provide a series of random numbers used in the Boltzmann model analyzer; and
an output unit configured to output analysis results of the Boltzmann model analyzer, wherein
the Boltzmann model analyzer includes a sampling unit, a price-fluctuation simulation unit, and a probability density calculation
unit, and
the Boltzmann model analyzer, after receiving at least one of initial values of the price, the price change rate, and the
price change direction for the financial product or its derivatives from the initial value setter, a sampling width from the
sampling unit, at least necessitated one of probability-distributions of a price, a price change rate and a price change direction
from the velocity/direction distribution setter, and the random number from the random number generator, repeats by the price-fluctuation
simulation unit to simulate a price immediately after the sampling width, a price change rate immediately after the sampling
width or a price change direction immediately after the sampling width from a price immediately before the sampling width,
a price change rate immediately before the sampling width or a price change direction immediately before the sampling width
based on the Boltzmann model using the Monte Carlo method within the range of the evaluation condition set by the evaluation
condition setter, and integrates prices immediately after the sampling width, price change rates immediately after the sampling
width or price change directions immediately after the sampling width to obtain a probability density by the probability density
calculation unit.
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