JP4804148B2 - Contract support system - Google Patents

Description

  The present invention relates to a contract support system for supporting a contract that minimizes the cost of procurement when the goods are procured.

  When a business procures goods necessary for doing business, it is required to procure an amount equivalent to demand at the lowest possible cost.

  In general, the purchase price of a good generally varies, although there is some difference in the fluctuation range of the good handled, and it is difficult to predict the future price. For this reason, it is customary for each business operator to change the contract period or incorporate special contract rights such as options into the contract in order to be prepared for the risk of such price fluctuations.

  However, if there is a large difference between the actual demand amount and the assumed demand amount, extending the contract period creates a new risk of occurrence of excess or deficiency of the target goods. For example, when a long-term contract is made with a business partner for the target goods, if the demand for the goods falls below the expected amount of demand, inventory will be generated. Space for storage is needed. At this time, if the goods to be handled are energy resources such as LNG (Liquid Natural Gas), it will be necessary to newly install facilities for storage (for example, LNG tanks). It is necessary to make an optimal contract in consideration of the costs involved.

  In general, there are alternative goods in the market that are different goods and give the same value as the goods. Since the market price of alternative goods has a considerable impact on the market price of the goods, it is extremely difficult to predict future goods prices. In the above example, the market price of LNG largely depends on the crude oil price.

  Against this backdrop, operators, especially when option rights are included in the contract content, minimize the risks incurred by the entire transaction by minimizing risks by effectively utilizing the option rights. The goal is to do.

  However, the option right in the relative transaction is not limited to the option that the content of the right can be purchased in a predetermined amount by the deadline, and the content may be varied. It is also possible that multiple types of options are held at the same time. In such a case, in order to minimize transaction costs, it is best to minimize transaction costs from the issue of determining the exercise timing of one or more options currently held or from multiple contracts incorporating options. However, there is no standard for the determination of the above-mentioned problem that has been made by operators so far, and the consistency of the determination is lacking. As a result, there was a problem that the expected future transaction costs were accompanied by great uncertainty.

  So far, when an option is included in a relative transaction contract, a transaction system having a function of determining the option price has been provided (see, for example, Patent Document 1). This is limited to the option content of purchasing at a predetermined price by a predetermined date.

JP-T-2001-527667

  As described above, when a goods transaction contract is made in the medium-to-long term, there is a risk of price fluctuations. Therefore, a predetermined option may be included in the contract contents as a means of hedging against such a risk. In such a case, various options can be incorporated into the contract under a bilateral contract, and there are multiple options that are held by operators with multiple existing contracts. There is a possibility that the options will be varied.

  In such a case, after considering the issue of how to effectively use the options currently held in order to minimize transaction costs, or taking into account the existing agreements when concluding a new agreement The problem of determining the optimal contract content for minimizing transaction costs is very complex, and there has been no fixed criterion so far.

  In addition, as described above, in the transaction of goods having substitute goods, the transaction price of the trade target goods may be set as the contract content based on the market price of the substitute goods as a transaction contract. For example, in the above example, a sales contract in which the transaction price of LNG is expressed as a function of the crude oil price may be performed. In such a case, the problem of determining the content of the optimal contract is further complicated.

  The present invention has been made in view of the above problems, and provides a contract support system that automatically presents judgment criteria to be taken by an operator in order to minimize transaction costs by performing computer data processing. The purpose is to do. More specifically, in the case of trading of trading target goods where there is a price-influential alternative, if the option right is included in the contract, minimize the transaction cost in consideration of the existence of the option right. Therefore, an object of the present invention is to provide a contract support system that automatically presents judgment criteria to be made by a business operator.

Contract support system according to the present invention for achieving the above object, when procuring object up for sale goods within a given period, by outputting the criteria sales contract contents by the data processing computer, the transaction costs A contract support system for supporting the realization of minimization, in which the computer has an information input unit that is an input unit for inputting information, a model formation unit and a calculation unit that are calculation units for calculating information, and information An output unit that is an output means for outputting, and the information input unit is a calculation period information indicating a calculation period that is a target period for calculating the determination criterion, and a goods that serves as an index of a selling price of the trading target goods and information indicating the information indicating the price formula market price of the index goods to be a relationship between the buying and selling price of the object up for sale goods, the purchase will amount within the calculation period of the buying and selling subject goods is, before Contract information including, and information indicating the option rights given incidental rights in a by exercise range is specified on the transaction related to the buying and selling subject goods, the object up for sale goods envisaged within the calculation period The model forming unit accepts inputs of purchaser information indicating an assumed demand amount , market price information including information indicating a futures market price related to the indexed goods, and information indicating an option market price. Applying the market price information input from the information input unit to a predetermined financial model for estimating a future market price of the index goods based on a future market price and an option market price Generate a market model that represents the discrete future market price of the index goods and the realization probability of the market price, before the calculation unit generates the model model Each of the index prices in the market model is calculated using a market model and the calculation period information, the contract content information and the purchaser information input from the information input unit. In addition, by applying the price formula, the selling price of each of the goods to be bought and sold is estimated, and the option right within the exerciseable range is allowed to be exercised, and the buying and selling more than the assumed demand amount. When the transaction cost for procuring the target goods is minimized, the expected value of the transaction cost in the calculation period is calculated from the transaction cost and the realization probability for each of the buying and selling prices, and the output unit includes the output unit, the expected value calculation unit has calculated, the first being to output as the criterion.

  According to the contract support system of the first feature described above, the buying / selling price of the trading target goods is determined based on the market price of the index goods different from the trading target goods, and the purchase amount is apparently changed by exercising the rights. In the case of contracts that include option rights that can be executed, the minimum transaction cost required for the entire calculation period will be automatically calculated in consideration of the exercise of option rights. Can do. In particular, when trading goods whose price is affected by the price of other goods, the contract of the present invention is such that the transaction price is determined by the market price of the index goods as the price reference. The system is useful.

  When the model forming unit models the index goods market, it is possible to construct a discrete tree model in which a realization probability is given to each node. At this time, option exercise determination is performed for each node to minimize the transaction cost, and the expected value calculated from the cost determined by the option exercise is set as the minimum value of the transaction cost.

  As an example, it is assumed that LNG is assumed as a sale target goods, and crude oil can be adopted as an index good that serves as an index for determining the contract price of LNG.

Furthermore, in the contract support system of the present invention, in addition to the first feature, the option right is a transaction amount reduction right that enables a purchaser to reduce a contract transaction amount of the goods to be bought and sold. As the content of the right in which a maximum amount that can be reduced in a predetermined period unit is set, the calculation unit performs the transaction within a range in which the amount of reduction in the predetermined period unit is equal to or less than the maximum amount that can be reduced. Calculating the expected value of the transaction cost in the calculation period when the transaction cost for procuring the goods to be sold that is greater than or equal to the assumed demand amount is allowed while allowing the right to reduce the amount to be used; It is characterized by.

  According to the contract support system of the second feature described above, for example, when the total transaction volume of the entire contract exceeds the assumed demand, the contract for which the transaction price is judged to be high exercises the right to reduce the transaction volume. By reducing the amount, transaction costs can be minimized.

Further, in the contract support system of the present invention, in addition to the above second feature, the transaction amount reduction right is set as a possible exercise range, and further, a maximum cumulative reduction possible amount in the entire calculation period is set. If it is right contents, the arithmetic unit, allowing exercise of the transaction reduction rights within the cumulative reduction in total within the calculation period is equal to or less than the maximum accumulated reduction amount, with the assumption demand The third characteristic is to calculate the expected value of the transaction cost in the calculation period when the transaction cost for procuring the tradeable goods that exceeds the quantity is minimized .

  According to the contract support system of the third feature described above, even if the contract content exchanged with the business partner includes a transaction volume reduction right that is set with an upper limit of the reduction volume that can be exercised over the entire contract period, the same In addition, transaction costs can be minimized.

In addition to the second or third feature described above, the contract support system of the present invention provides a transaction when the transaction volume reduction right temporarily reduces the contract transaction volume by exercising the right. when obligations to match the total transaction volume within the calculation period to the purchase planned amount by adjusting the amount is right what occurs concomitantly, the arithmetic unit has been set as the exercise range by allowing the exercise of trading volume reduction rights within, when minimizing transaction costs for procuring the object up for sale goods over said amount envisaged demand, the expected value of the transaction costs in the calculation period The fourth characteristic is to calculate.

  According to the contract support system of the fourth feature described above, if the contract amount exchanged with a business partner reduces the transaction volume by exercising the reduction right within the contract period, the same amount of additional contract Even in the case where the right to reduce the transaction volume for which the obligation is generated is included, the transaction cost can be minimized in the same manner.

  Therefore, even in the case of a seller who sells goods, even when setting a transaction volume reduction right that can reduce the transaction volume by a certain amount, by setting such right contents, total transactions within the contract period Since the amount does not change, there is an effect that the option right can be easily attached.

Further, in the contract support system of the present invention, in addition to any one of the first to fourth features, the option right is a right to increase a transaction amount that allows a purchaser to increase a contract transaction amount of the sale target goods. there are, in the case of right contents maximum possible increase amount is set in a predetermined period unit as exercise range, the calculation unit, the amount of increase in the predetermined period in units the maximum increase possible amount less by allowing the exercise of trading volume increase rights within range of a, when minimizing transaction costs for procuring the object up for sale goods or amount the envisaged demand, the expectations of the transaction costs in the calculation period The fifth feature is to calculate a value .

  According to the contract support system of the fifth feature, for example, when the transaction cost is low, the transaction cost is minimized by exercising the right to increase and performing a transaction exceeding the predetermined contract amount. Can be achieved.

Further, in the contract support system of the present invention, in addition to the fifth feature, the right to increase the transaction amount is set as the exercising range, and the maximum cumulative increase amount within the calculation period is set. The calculation unit allows the exercise of the right to increase the transaction amount within a range in which the cumulative increase amount in the entire calculation period is equal to or less than the maximum cumulative increase possible amount, and more than the assumed demand amount According to a sixth aspect of the present invention, the expected value of the transaction cost in the calculation period when the transaction cost for procuring the goods to be sold is minimized .

  According to the contract support system of the above sixth feature, even if the contract details exchanged with the business partner includes the right to increase the transaction volume for which the upper limit of the increase amount that can be exercised over the entire contract period is included, the same In addition, transaction costs can be minimized.

Furthermore, in addition to the fifth or sixth feature, the contract support system of the present invention provides a transaction when the right to increase the transaction volume temporarily increases the contract transaction volume by exercising the right. when obligations to match the total transaction volume within the calculation period to the purchase planned amount by adjusting the amount is right what occurs concomitantly, the arithmetic unit has been set as the exercise range by allowing the exercise of trading volume increase rights within, when minimizing transaction costs for procuring the object up for sale goods or amount the assumed demand, the expected value of the transaction costs in the calculation period The seventh characteristic is to calculate.

  According to the contract support system of the seventh feature above, if the contract amount exchanged with a business partner increases the transaction volume by exercising the right to increase within the contract period, the same amount of contract Even in the case where the right to increase the transaction volume for which the obligation is generated is included, the transaction cost can be minimized in the same manner.

Furthermore, the contract support system according to the present invention, in addition to any one of the first to seventh features, the option right allows the purchaser to resell the tradeable goods to another contractor. A right resellable price formula indicating the relationship between the maximum resaleable amount in a predetermined period unit and the market price of the indexed goods and the resale price of the tradeable goods. If the content is a right content, the calculation unit uses the market price of the future index goods estimated by the market model generated by the model formation part and the resale price formula, and the sale target goods. the resale price to estimate, allowing exercise of the resale rights to the extent that in the estimated resale price equal to or less than said maximum resale possible amount, the object up for sale goods or amount the assumed demand Reached when minimizing transaction costs, and eighth feature of that calculates the expected value of the transaction costs in the calculation period.

  According to the contract support system of the eighth feature, for example, when the total transaction volume of the entire contract exceeds the assumed demand, even if the transaction volume with the supplier cannot be reduced, resell to other suppliers. When a right is held, the transaction cost can be minimized by exercising the right, and the minimum value of the transaction cost in such a case can be automatically calculated.

In addition to the eighth feature, the contract support system according to the present invention further includes a right content in which the resale right is set as an exerciseable range and a maximum cumulative resaleable amount in the entire calculation period is set. If it is, the calculation unit, the cumulative resale amount to permit exercise of the resale rights to the extent that the following the maximum accumulated remarketable amount in total in the calculation period, the assumed demand more of the A ninth feature is that the expected value of the transaction cost in the calculation period when the transaction cost for procuring goods to be bought and sold is minimized .

  According to the contract support system of the ninth feature, when the resale contract content exchanged with the resale business partner includes a maximum cumulative resaleable amount in which an upper limit of the resale amount that can be exercised for the entire contract period is set However, transaction costs can be minimized as well.

Further, in addition to any one of the first to ninth features, the contract support system of the present invention can temporarily store the purchase target goods procured from the seller by the purchaser information. when further includes information indicating the storage capacity is the limit amount, within the range that the arithmetic unit is definitive when the buyer has purchased the object up for sale goods amount exceeding the envisaged demand, not exceeding the storage capacity by allowing the storage of temporary the object up for sale goods in, when minimizing transaction costs for procuring the object up for sale goods or amount the assumed demand, the expected value of the transaction costs in the calculation period The calculation is a tenth feature.

  According to the contract support system of the tenth feature, even if the estimated demand exceeds the purchase amount, if the storage capacity for storing surplus is maintained, the storage capacity does not exceed the storage capacity. Since there is a possibility that the right to reduce the purchase amount or resell may not be exercised, the minimum transaction cost can be calculated in consideration of such a situation.

Moreover, contract support system of the present invention, in addition to the features of the tenth, the purchaser information further includes information indicating the investment cost is the cost required to increase the predetermined unit amount of the storage capacity If, calculating the arithmetic unit, purchaser definitive when purchasing the object up for sale goods in an amount exceeding Li Kui the storage capacity exceeded the assumed demand, from the amount and the investment costs exceeding the storage capacity Calculating the expected value of the transaction cost in the calculation period when the transaction cost to procure the goods to be bought and sold that is greater than the assumed demand amount is allowed . It is characterized by.

  According to the contract support system of the above eleventh feature, even when there is no room for storage capacity from a medium- to long-term perspective, it is better to increase the storage capacity by investing. When the overall transaction cost can be minimized, the minimum value of the transaction cost can be calculated in consideration of the cost for expansion.

Moreover, contract support system of the present invention, in addition to the first to eleventh any one of the features of, the information input unit, a plurality of the contract information corresponding to the plurality of the sales contract contents The transaction in the calculation period when the calculation unit minimizes the transaction cost to procure the goods to be bought and sold that is greater than or equal to the assumed demand amount for each of the contract content information. The expected value of the cost is calculated, and the output unit realizes the cost with the smallest value among the expected values of the transaction cost for each contract content information calculated by the calculation unit. The twelfth feature is that the contents of the sales contract corresponding to the contract contents information are selected and output.

  According to the contract support system of the twelfth feature described above, for example, when a purchaser is simultaneously presented with a plurality of contract contents from a seller, one contract content with a minimum generated cost from the presented plurality of contract contents Can be negotiated to conclude a contract with the seller in accordance with the contents of the contract, so that the transaction cost can be minimized by a smooth contract.

Furthermore, in the contract support system of the present invention, the calculation unit, the calculation unit further calculates a difference value of the expected value of the transaction cost for each calculated contract content information , the output unit, A thirteenth feature is that the calculated difference value is output.

  According to the contract support system of the thirteenth feature, for example, when a purchaser is simultaneously presented with a plurality of contract contents from a seller, the difference in transaction costs caused by the presented individual contract contents is objectively determined. Since it can be grasped, it is possible to know in advance the increase in transaction cost that occurs when a second-best contract is concluded as a compensation if the contract is not concluded with the contract content that minimizes the transaction cost.

Further, in the contract support system of the present invention, in addition to any one of the first to thirteenth features, the calculation unit includes information indicating the price formula included in the contract content information , and the option right . Re-calculate the expected value of the transaction cost in the calculation period when the information shown is arbitrarily changed, and when the transaction cost to procure the buying and selling goods more than the assumed demand amount is minimized , whether a combination of divergence between the expected value of the transaction costs calculated in accordance with the agreement information before and information indicating price formula that falls within a predetermined range, and information indicating the option the right to the re-calculated searching, if the arithmetic unit confirms the presence of the combination, in the configuration of outputting the sales contract contents the output unit is determined by the combination And fourteenth features of and.

  According to the contract support system of the above fourteenth feature, for example, when the purchaser presents one contract to the seller, and the seller does not respond to the contract, the purchaser presents the contract It is possible to present other contract contents that generate a cost with a value in the vicinity of the transaction cost incurred. As a result, the purchaser does not add a significant burden even if he / she concludes with the newly presented contract, and the seller can expect the contract to proceed smoothly because there is more room for contract selection. .

Further, in the contract support system of the present invention, in addition to any one of the first to fourteenth features, the calculation unit allows the option right to be exercised within the exerciseable range, and the assumption is made. Determines the option right exercise pattern when the transaction cost for procuring the tradeable goods exceeding the demand amount is minimized, and the output unit outputs the option right exercise pattern determined by the operation unit This is a fifteenth feature.

  According to the contract support system of the fifteenth feature, when there is an already concluded contract including an option right, the option right exercise pattern for realizing the transaction cost minimization at the present time is realized instead of the contract conclusion time. Can be recognized. In other words, when the market conditions and estimated demand have changed significantly since the signing of the contract, it is possible to review the exercise pattern that the purchaser should take. Is useful.

In the contract support system of the present invention, in addition to any one of the first to fifteenth features, the information input unit accepts each of the plurality of contract content information corresponding to the plurality of sales contract contents. It is a configurable, the calculation unit, for all of the contract contents of information that will be input from the information input unit, and the fixed cost portion to be determined in with the price formula and the purchase will amount, can be exercised And a function for calculating a total value of the fixed cost part, and a function for calculating a total value obtained by converting all the option rights held in cost. And

  According to the contract support system of the sixteenth feature, the contract content is separated into an option right part whose value is not fixed and a swap part whose cost is fixed in advance, and the value of the variable option right part is maximized. As a result, transaction costs can be minimized as a whole, and option rights can be used effectively when it is possible to buy and sell only option rights. Correspondence becomes possible.

  According to the configuration of the present invention, in a contract that uses the market price of an index good that is different from the trade good as an element that determines the future price of the good to be bought and sold, the market price and the option right of the index good are Based on the information on the contents of the contract included, it is possible to automatically calculate the minimum cost required for procurement of goods over the entire contract period. As a result, consistency is shown in the judgment criteria of the business operator that procures goods, and a medium- to long-term plan can be made under certain judgment criteria.

  Embodiments of a contract support system according to the present invention (hereinafter abbreviated as “the present system” as appropriate) will be described below with reference to the drawings. First, the configuration of the entire system will be described, and then detailed description will be given for each embodiment.

<1. Overall configuration>
The system of the present invention first models future goods prices from information on the current market prices, and selects contracts and transactions that minimize procurement costs from the created models and estimated demand. This is a system that supports contracts such as calculation of costs and derivation of option exercise patterns when options are included in contracts. In the following description, it is assumed that the goods to be traded are LNG, and crude oil is assumed as goods that affect the price of LNG. However, the present invention system is limited to this as the goods to be handled. It is not a thing.

  FIG. 1 is a schematic configuration diagram showing the configuration of the system of the present invention. As shown in FIG. 1, the system 1 of the present invention includes an information input unit 2 to which various information such as contract content information, purchaser information, and market price information is input, and market price information input from the information input unit 2. The model forming unit 3 that models the future price of the goods to be traded based on the information, the calculation unit that calculates the minimum transaction cost from the information of the model generated by the model forming unit 3, the contract content information, and the purchaser information 4 and an output unit 5 that outputs a calculation result of the calculation unit 4. The calculation unit 4 includes a storage area (not shown) for holding each piece of input information and data temporarily generated during the calculation.

  Next, each information input from the information input unit 2 will be described.

  The contract content information is information on the contract content exchanged between the purchaser and the seller, and if there is information on the contract period, information on the planned amount of contract, information on the price, and accompanying options. And information on the option.

  The contract period represents the effective period of the contract, and is specified in units of years such as “5 years”, for example. Further, the planned contract amount is expressed by an amount traded for each predetermined period unit, and is designated as “1 ton per year”, for example.

  Information on the contract price is expressed as a function of the market price of the index goods (crude oil in this example). An example of this is shown in FIG. In the following description, the price of the goods to be traded with the price of the goods different from the goods to be traded is referred to as “price formula”.

  The price formula shown in FIG. 2 is a price formula constituting contract content information of a contract ax1 performed between the purchaser X and the seller A. This contract ax1 is expressed as a function of the crude oil price in the market for the contract price of the LNG that is the transaction object. For example, when the crude oil price in the market is 20 $ / bbl (ax1-1), the natural gas is 3 When trading at 50,000 yen / ton and 45 $ / bbl (ax1-2), it means that natural gas is traded at 55,000 yen / ton. In other words, when the contract is for a long period, even if it is a certain amount of transaction, the contract takes into account the possibility that the transaction cost generated corresponding to the transaction amount will fluctuate. The transaction price of LNG is determined by the date and time determined in advance in the contract contents. In the following description, it is assumed that the transaction is performed once a year, and the transaction price of the current year is determined by the market price of crude oil on the transaction date.

  Information on options includes the contract details determined by the contract period and the planned contract amount (for example, “contracts of 1 ton every year over the next five years”), as well as the purchaser X or the seller A Represents a specific right that can be exercised by either or both.

  For example, if there is a contract to conduct 1 ton of LNG every year for the next 5 years, the right to reduce the volume of trade by 1 ton during the contract period of 5 years When the purchaser X has the right to reduce the amount of transaction that can be exercised once, the right to reduce the amount of transaction corresponds to the information on the option right. In this case, once such rights are exercised, the obligation to purchase LNG from seller A during the year can be avoided. For example, the purchaser X determines that the contract price for the current fiscal year determined by the price formula is high, or that the demand is lower than the assumed demand, and that the purchase tends to be excessive. In such a case, the transaction cost can be reduced by exercising this right to reduce the transaction volume.

  The purchaser information is information related to a purchaser who purchases the goods to be bought and sold, and includes a space for temporarily storing information on the assumed demand assumed by the purchaser (for example, “1 ton every year”) and surplus demand. In the case where the space is stored in the space, the information is related to the maximum capacity that can be stored (for example, “up to 5 tons can be stored”).

  The market price information is composed of the price of the index goods in the futures market or the price in the options market. When crude oil is assumed as an index good, a value published on NYMEX (New York Commercial Exchange) or the like can be used as the future market price or option market price of the crude oil. In such a case, the market price disclosed on NYMEX may be acquired via a communication line.

  The model forming unit 3 models the future market of the index goods based on the market price information of the index goods input from the information input unit 2, and estimates the market transaction price of the index goods. In general, futures prices and option market prices are expressed as market prices using values calculated under the Black-Scholes model, which is a general continuous model, or a stochastic process model represented by an average regression model. The model forming unit 3 identifies parameters necessary for modeling using the stochastic process model.

  For example, when an average regression model is used as the stochastic process model, the modeling equation is defined by the following equation (1).

In the above _equation 1, _St is the transaction price of the index goods at a certain time t, α is a parameter called an average regression rate indicating the speed at which the goods try to converge to a certain value, and σ is the change in the transaction price of the index goods A parameter called volatility indicating an average value of εt, and ε _t indicates a Wiener process, respectively. Further, θ _t is a value represented by the following formula 2. In Equation 2, F ₀ ^t represents the futures price at time t at the current time.

  The option price c (t, F) at the time t and the future price F obtained from the model described by Expression 1 is expressed as Expression 3. However, the value of F is determined by time t.

  In Equation 3, P (t, T) represents a discount rate at a certain time t and maturity T, N (h) represents a cumulative probability density function of a standard normal distribution, and K represents a settlement price. . Further, h is a value determined by the following formula 4, and w is a value determined by the following formula 5.

  Next, the future price and option price of the actual index goods are substituted into Equation 3 (and Equations 4 and 5) from the market price information, and are matched with the settlement price K at the time limit (contract month) t obtained by Equation 1. The average regression rate α and volatility σ are identified so that the characteristics are satisfied.

  Using the values of α and σ determined in this way, the future price of the index goods is expressed as a tree model that expresses the probability discretely. The tree model represents a price si (i = 1, 2,..., N) in year i with a probability pi (i = 1, 2,..., N) that the price is realized. It is a method of conversion.

  Note that the model forming unit 3 may be configured by dedicated software that performs calculations for model formation, or may be configured by dedicated hardware. In the above description, the average regression model is used. However, the stochastic process model to be used may be appropriately changed according to the property of the index goods to be handled.

  The tree model created by the model forming unit 3 in this way is given to the calculation unit 4. The calculation unit 4 calculates the minimum total value of transaction costs required within the contract period from the contract content information and purchaser information input from the information input unit 2 under a tree model that models the market price of the index goods. Specifically, since the tree model is expressed by the probability of occurrence, the minimum total value of the expected transaction costs within the contract period is calculated.

  In addition, when a plurality of contract content information is input from the information input unit 2, the calculation unit 4 has a function of selecting one contract that minimizes transaction costs and an option right that minimizes transaction costs. A function for calculating an exercise pattern is provided, and the individual functions of these calculation units 4 will be described later in the embodiment.

  The arithmetic unit 4 may be configured with dedicated software in which a plurality of programs are incorporated, or may be configured with dedicated hardware. In addition, when both the model formation part 3 and the calculating part 4 are comprised with software, the structure used for these calculations may be integrated.

  After a predetermined calculation is performed by the calculation unit 4, the calculation result is output from the output unit 5 as output data. The output unit 5 is configured by a display for display, for example.

  Hereinafter, detailed operation procedures of the system of the present invention will be described with reference to the drawings as appropriate. In each of the following embodiments, it is assumed that the purchaser X purchases goods from one or more sellers (for example, the seller A and the seller B).

<2. First Embodiment>
First, a first embodiment of the system of the present invention will be described. In addition, this embodiment and 2nd Embodiment mentioned later are the structures from which the calculation method of the minimum value of the transaction cost which the calculating part 4 performs differ, The structure of the whole system and the operation | movement content of other components are the same. It is. Below, it demonstrates according to each Example.

(First embodiment)
In the present embodiment, when two different contracts TA1 and TB1 exist, the minimum value of transaction costs required for the entire contract period is calculated. Hereinafter, description will be given with reference to the drawings.

  FIG. 3 is a flowchart showing the operation procedure of the entire system of the present invention in this embodiment. As shown in FIG. 3, the operation of the entire system of the present invention includes step S11 for obtaining market price information, and modeling of the crude oil price market (parameter identification) based on the market price information obtained in step S11. Step S12 to be performed; Step S13 for forming a crude oil price market tree model based on the parameters determined in Step S12; Step S14 for obtaining contract content information and purchaser information; and Tree model formed in Step S13. Step S15 for calculating the contract price for each contract according to the contract content information acquired in Step S14 for each node of the node, and the option accompanying the contract for each node with reference to the contract price calculated in Step S15 Step S16 for determining whether or not to exercise the option line determined in step S16 Based on the determination, step S17 for determining the transaction cost generated for each node, and step S18 for calculating the expected value by multiplying the transaction cost determined in step S17 by the occurrence probability of each node indicated in step S13. And. Then, the total value of the expected values for each year calculated in step S18 is set as the minimum value of transaction costs incurred during the contract period.

  The contents of each step will be described below with reference to the drawings as appropriate.

  FIG. 4 shows the contract content information and purchaser information concerning the contracts TA1 and TB1. As described above, the contract content information is information regarding the contract content exchanged between the purchaser and the seller, and includes information regarding the contract period, information regarding the planned contract amount, information regarding the price, and accompanying options. If it exists, it consists of information about the option. FIG. 4A shows information on the contract period, contract planned amount, and options in each contract, and FIG. 4B shows the price formula in each contract. FIG. 4C shows purchaser information.

  A table T1-1 shown in FIG. 4A is a table showing contract contents concerning the contract TA1 and the contract TB1.

  The contract TA1 is a contract between the purchaser X and the seller A. The contract period of contract TA1 is 4 years, the contract take-up amount is 1 ton per year, and as an option right, the right to reduce the transaction amount from the contracted transaction amount is attached, and up to 1 ton per year Can be reduced. The price formula is shown in the graph TA1 in FIG. In other words, if the crude oil price is less than $ 45 per barrel, the contract price of LNG will rise in proportion to the rise in the crude oil price, and if the crude oil price exceeds $ 43 per barrel, it will depend on the crude oil price. The contract details that the transaction will be conducted at 60,000 yen per ton.

  On the other hand, the contract TB1 is a contract between the purchaser X and the seller B. Contract TB1 has a contract term of 4 years, and the amount of contracts taken is 1 ton every year. As an option right, the right to reduce the transaction amount from the contracted transaction amount is attached. Can be reduced. The price formula is shown in the graph TB1 in FIG. In other words, if the crude oil price is less than $ 30 per barrel, the contract price of LNG will rise in proportion to the rise in the crude oil price, and if the crude oil price exceeds $ 30 per barrel, it will depend on the crude oil price. The contract details that the transaction will be conducted at 55,000 yen per ton.

  A table T1-2 shown in FIG. 4C shows purchaser information of the purchaser X. Here, the demand amount of LNG assumed by the purchaser X is described, and a demand of 1 ton is expected every year.

  In order to calculate the transaction cost required during the contract period when the contract TA1 and the contract TB1 exist, the purchaser X, contract content information shown in FIG. 4 (a) and FIG. 4 (b), and The purchaser information shown in FIG. 4C is input from the information input unit 2 (step S14). Further, the futures market price and option market price of crude oil are separately input (step S11). As described above, the future market price and the option market price may be automatically acquired by the system of the present invention via a communication line.

  When all the necessary information is input, the model forming unit 3 first identifies the parameters by modeling the crude oil market price based on the market price information (step S12), and uses the parameters to identify the crude oil market price. The tree model is formed (step S13). The created tree model is given to the calculation unit 4.

  FIG. 5 is an example of a tree model created by the model forming unit 3. According to the example of FIG. 5, the current crude oil price is 35 dollars per barrel (N0-1) by modeling by the model forming unit 3, and the predicted price for the next year is ½ probability per barrel. This shows that it is expected to be 40 dollars (N10-1), 30 dollars per barrel (N11-1) with a probability of 1/2. Similarly, for two years and three years later, it is expressed by the expected price and the probability of the price. As described above, the model forming unit 3 uses the input market price information to represent the future market price in a stochastic discrete manner. The calculation period for calculating the expected price may be specified by the user separately from the calculation period for calculating the transaction cost. At this time, apart from the purpose of calculating the transaction cost, the model forming unit 3 can be operated for the purpose of simply expressing the market price discretely using the market price information.

  When the model information generated in this way is given to the calculation unit 4, the calculation unit 4 uses the input contract content information and purchaser information to minimize the transaction cost according to the expected price. Consider patterns for including option exercises.

  First, the calculation unit 4 uses the model information given from the model formation unit 3 and the price formula of each contract described in the contract content information, and performs an LNG transaction corresponding to the expected crude oil market price for each fiscal year. The price is calculated for each contract (step S15). At this time, since the transaction price only needs to be calculated within the contract period described in the contract content information, only the model information within the contract period can be obtained from the model forming unit 3 to calculate the transaction price. Good.

  FIG. 6 corresponds to the price formula shown in FIG. 4B corresponding to the tree model shown in FIG. As in FIG. 5, a number of 1 or less (for example, ½ or the like) assigned to each node indicates the probability that the node is realized. The same applies to the following drawings.

  For example, because the current crude oil price is $ 35 per barrel, based on the price formula, the LNG contract price is 52,000 yen per ton for contract TA1, and 1 ton for contract TB1. It is derived that it is 55,000 yen. The contract price is calculated from the price formula for each expected price for each fiscal year.

  Next, the calculation unit 4 determines an option right exercise pattern that minimizes transaction costs under the expected contract price of each fiscal year calculated as described above (step S16). In the case of the present embodiment, the assumed demand amount is 1 ton per year, the contract amount for contracts TA1 and TB1 is 1 ton per year, and the option right is a right to reduce the transaction amount to 1 ton per year at maximum. Therefore, we will minimize transaction costs by exercising the option right for contracts whose expected contract price is higher than the other in each fiscal year.

  For example, since the contract price of the contract TA1 is 52,000 yen / ton and the contract price of the contract TB1 is 55,000 yen / ton at the present time, it is 1 from the contractor A presenting the inexpensive contract TA1. Ton't trade for the current fiscal year by exercising 1 ton of the right to reduce the amount of contract against contractor B who has presented contract TB1.

  Next, one year later, if the crude oil price rises to 40 $ / bbl, the contract price for contract TA1 is 57,000 yen / ton and the contract price for contract TB1 is 55,000 yen / ton. By trading 1 ton from contractor B presenting a cheap contract TB1 and exercising 1 ton of transaction volume reduction right to contractor A presenting contract TA1, Do not trade. Similarly, if the crude oil price drops to 30 $ / bbl, the contract price of contract TA1 is 46,000 yen / ton, and the contract price of contract TB1 is 55,000 yen / ton, so it is an inexpensive contract. A one-ton transaction from contractor A presenting TA1 and a one-ton transaction volume reduction right to contractor B presenting contract TB1 for the current fiscal year Make no decision.

  Hereinafter, similarly, for each node shown in FIG. 6, an action that can be taken for each contractor is determined, and the generated cost is determined (step S17). In the case of the present embodiment, a transaction is made with one contractor who presents an inexpensive transaction price, and a decision is made to exercise the right to reduce the transaction amount with respect to the other contractors.

  When the treatment for the contracted party is determined for each node in this way, the transaction cost incurred in the entire calculation period is obtained by summing the value incurred for each node and the occurrence probability of each node. Is calculated (step S18).

  And the sum total of the expected value of the transaction cost which generate | occur | produces in the said calculated whole calculation period is given to the output part 5, and the output part 5 outputs the said data as the minimum value of transaction cost.

  Since the transaction cost calculated in this manner is an incurred cost expected by effectively utilizing the option right (the right to reduce the transaction amount) in order to minimize the cost within the contract period, the purchaser X has the option right. Even in the case of a complicated contract where there is a risk, the assumed incurred costs can be calculated under certain criteria.

  In the above description, when the price at a certain point in time is s0, the expected price for the next year is increased from this price s0 to a price s11 higher than s0, and the price is decreased to a price s12 lower than s0. Although the description has been made by modeling with binary in the case, it may be configured to predict a plurality of prices of three or more values. That is, when the price at a certain time is s0, the price of the next year is s1i (i = 1, 2,...) With probability pi (i = 1, 2,..., N). -Modeling that n) can be performed (Σpi = 1).

  In other words, the system of the present invention is configured to discretely model the predicted crude oil price for each fiscal year within the calculation period, and to calculate the minimum transaction cost by exercising the right to reduce the transaction volume according to the expected price.

  By being configured in this way, for example, when the total transaction volume of the entire contract exceeds the assumed demand, the contract volume that is judged to have a high transaction price is exercised to reduce the transaction volume. Thus, transaction costs can be minimized.

  Moreover, in the above description, the case where the transaction amount reduction right that can reduce the transaction amount within the contract period is provided as an option has been explained, but conversely, the transaction amount increase right that can increase the transaction amount by a predetermined amount is provided. Even when it is provided as an option, the minimum value of transaction costs can be calculated in the same manner.

(Second embodiment)
From this embodiment to the fourth embodiment to be described later, the contents of the option right included in the contract are different from those of the first embodiment.

  The second embodiment will be described below with reference to the drawings.

  FIG. 7 shows the contract content information and purchaser information for the contracts TA2 and TB2 in this embodiment. FIG. 7A shows information on a contract period, a contract planned amount, and options in each contract, and FIG. 7B shows a price formula in each contract. FIG. 7C shows purchaser information.

  In this embodiment, as in the first embodiment, both contracts TA2 and TB2 are accompanied by a right to reduce the amount of transaction, but the range of rights that can be exercised in the rights attached to contract TA2 is the contract TA1. This is a different setting. That is, the transaction amount reduction right attached to the contract TA2 further includes a restriction on the cumulative reduction amount that can be reduced over the entire transaction period. The other contract contents are the same as the contracts TA1 and TB1 in the first embodiment.

  That is, the contract TA2 has a contract period of 4 years, the contract transaction volume is 1 ton every year, and the right to reduce the transaction volume is attached as an option right, and can be reduced to a maximum of 1 ton every year. The maximum cumulative reduction possible is 1 ton. On the other hand, the contract period of the contract TB2 is 4 years, the contract transaction volume is 1 ton every year, and the right to reduce the transaction volume is attached as an option right, which can be reduced to a maximum of 1 ton every year. The cumulative amount that can be reduced is not set in the transaction amount reduction right of the contract TB2.

  In the present embodiment, similarly to the first embodiment, the contract price for each node is calculated using the tree model created by the model forming unit 3. Then, starting from the last year of the contract, each node calculates the expected value of expenses incurred during the contract period after that node, depending on whether the option right is exercised or not, and realizes the minimum expected value. The exercise pattern is determined for each node.

  Specifically, by calculating backwards from the last year of the contract, the expected cost required for the remaining contract period is calculated for each node, with or without exercising the option right for each contract. Determine the option exercise pattern so that the expected cost is the lowest. Then, after determining the exercise pattern at all nodes, an expected value is calculated based on the transaction cost and the probability of occurrence, and output as the minimum value of the transaction cost. Hereinafter, description will be given with reference to the drawings.

  FIG. 8 is a diagram for explaining a method for determining a right exercise pattern, in which the contract content information shown in FIG. 7 is associated with the tree model created by the model forming unit 3. In FIG. 8, the transaction price for each node is shown only for the part used for explanation, and the other part is omitted.

  Attention is paid to the node N30-2 in the final year (three years later). Since node N30-2 is 60,000 yen / ton in contract TA1 and 55,000 yen / ton in contract TB1, if the right to reduce the amount of transaction for TA2 can be executed, exercise that right from supplier B. Make a decision to purchase goods.

Next, attention is paid to the node N20-2 after two years. The node N20-2 is 60,000 yen / ton in the contract TA2, and 55,000 yen / ton in the contract TB2. Here, when the transaction volume reduction right for TA2 is exercised, since the right cannot be exercised for the contract TA2 in the next fiscal year, it is necessary to conduct transactions for both the nodes N30-2 and N31-2 using the contract TA2. Don't be. At this time, the contract price with contractor A in N30-2 is 60,000 yen / ton, and the contract price with contractor B in N31-2 is 57,000 yen / ton, so node N20-2 The expected transaction cost M ₁ after two years that occurs when the right to reduce the transaction volume of TA2 is exercised is calculated as 115,000 yen / ton by the following equation (6).

(Equation 6)
M ₁ = 5.5 + (6.0 + 5.7) /2=11.35

On the other hand, in N20-2, when the transaction volume reduction right is exercised for TB2, the right can be exercised for the contract TA2 in the next fiscal year. That is, in N30-2, the contract TA2 is 60,000 yen / ton, and the contract TB2 is 55,000 yen / ton, so the right is exercised for TA2 and the transaction with TB2 is performed. In N31-2, the contract TA2 is 57,000 yen / ton, and the contract TB2 is 55,000 yen / ton, so the rights are exercised on TA2 and the transaction with TB2 is performed. That is, the expected transaction cost M ₂ after 2 years that occurs when the transaction amount reduction right of TB2 is exercised at the node N20-2 is calculated as 115,000 yen / ton by the following equation (7) .

(Equation 7)
M ₂ = 6.0 + (5.5 + 5.5) /2=11.5

  As described above, when the transaction amount reduction right is exercised for the contract TA2 in the node N20-2, the expected value of the transaction cost can be lowered. Therefore, in the node N20-2, the transaction amount reduction right for the contract TA2 is exercised. It is determined.

  Similarly, for each node, the option exercise is determined so as to minimize the expected cost after the current year, and the transaction cost actually generated by exercising the option is determined for each node, and the probability of occurrence is determined for this cost. By multiplying and totaling, the sum of expected values assumed for the entire transaction period is output as the minimum value of transaction costs.

  FIG. 9 shows the above operation procedure in a flowchart. Steps S21 to S25 are the same as steps S11 to S15 shown in FIG.

  Transaction costs incurred after year N (if i is the last year, only in that year) according to the option rights pattern for each node in year i (i is gradually reduced from the last year (N) of the contract) An expected value is calculated (step S26).

  Then, among the expected transaction cost values calculated for each option right exercise pattern, the right pattern realizing the minimum value is determined as the right exercise pattern of the node (step S27).

  In this way, when the exercise pattern is determined for all nodes, going back to the contract start year, by summing the cost of each node multiplied by the probability of occurrence of each node, An expected value of transaction costs generated over the entire calculation period is calculated (step S28).

  By configuring as described above, the minimum transaction cost can be calculated even when the transaction amount reduction right in which the cumulative reduction amount within the contract period is set is included in the contract content as an option right.

  In the case of a simple model such as this example, an exercise pattern that minimizes transaction costs is determined for all combinations of crude oil prices that can be taken each year from the first year to the last year. It does not matter as a method of using.

  Moreover, in the above description, the case where the transaction amount reduction right that can reduce the transaction amount within the contract period is provided as an option has been explained, but conversely, the transaction amount increase right that can increase the transaction amount by a predetermined amount is provided. Even in the case where it is provided as an option and there is a further restriction on the cumulative increase that can be increased over the entire transaction period, the minimum value of the transaction cost can be calculated in the same manner.

(Third embodiment)
Next, the third embodiment will be described. FIG. 10 shows the contract content information for the contracts TA3 and TB3 in this embodiment. The price formula and purchaser information are the same as those in the first and second embodiments, and are not shown.

  In this embodiment, as in the first and second embodiments, both contract TA3 and TB3 are accompanied by a right to reduce the transaction amount. In the case of reduction, the difference is that the same amount of additional duty as the reduction amount occurs within the contract period.

  At this time, if the transaction price based on the contract TA3 is higher than the price based on the TB3, even if the transaction amount reduction right is exercised and the transaction amount is reduced, it is necessary to purchase the same amount as the reduction amount within the contract period. Therefore, if the crude oil price rises after reducing the transaction volume, the overall cost may increase compared to the case where the oil price is not reduced.

  Even in the case of such contract contents, as in the second embodiment, for each node of the tree model created by the model forming unit 3, the expected cost after the current year is minimized from the last year to the contract start year. As a result, the transaction costs actually generated by exercising the options are determined for each node, and this cost is multiplied by the probability of occurrence to add up the total transaction period. The total expected value is output as the minimum transaction cost.

  With this configuration, if the reduction right is exercised within the contract period and the reduction is made, the transaction volume reduction right that is set to generate the same amount of additional contract obligations is an option right. Even when included in the contract content, the minimum transaction cost can be calculated in the same manner.

  Moreover, in the above description, the case where the transaction amount reduction right that can reduce the transaction amount within the contract period is provided as an option has been explained, but conversely, the transaction amount increase right that can increase the transaction amount by a predetermined amount is provided. Transaction costs in the same way, even if there is an additional option that if an increase is made by exercising the right to increase within the contract period, there will be a reduction contract obligation of the same amount. The minimum value of can be calculated.

  Even if the right to increase the transaction volume and the right to reduce the transaction volume are mixed, the expected cost from the current year onward is sequentially traced back from the last year to the contract start year for each node in the tree model, as in the above method. Determine the option exercise to minimize, determine the transaction cost actually incurred by exercising the option for each node, and multiply this cost by the probability of occurrence to calculate the minimum value of transaction cost can do.

(Fourth embodiment)
Next, a fourth embodiment will be described. In this embodiment, as an option, a case where a resale right that is a right to resell a predetermined amount to another contractor is provided will be described.

  FIG. 11 shows the contract content information for the contracts TA4 and TC4 in the present embodiment. Note that TC4 indicates a resale contract, and a predetermined amount is sold to the contractor C by exercising the rights. FIG. 11A shows information related to a contract period, a contract planned amount, and options in each contract, and FIG. 11B shows a price formula in each contract. FIG. 11C shows purchaser information.

  That is, the contractor A has 2 tons of transactions every year and has the right to reduce the transaction volume that can be reduced to 1 ton a year. It has a resale right that can be sold up to 1 ton every year. The price formula in contract TA4 and the resale price formula in contract TC4 are shown in FIG. The assumed demand is 1 ton every year.

  Also in the present embodiment, as in the above-described embodiments, first, the contract price for each node is calculated for each node of the tree model generated by the model forming unit 3 using the market price information. Then, in order from the last year of the contract, each node calculates the expected value of expenses incurred during the contract period after that node for each option right exercise pattern, and sets the right exercise pattern that realizes the minimum expected value for each node. To decide.

  In this example, specifically, the assumed demand is 1 ton per year and the amount of contracts to be taken is 2 ton per year. Therefore, the surplus 1 ton is eliminated by the exercise of the reduction right or the surplus is obtained by the exercise of the resale right. The right exercise pattern of erasing 1 ton can be considered.

  These rights exercise patterns are calculated backward from the last year of the contract, and the expected cost required for the remaining contract period is calculated for all contracts for each node. At this time, the expected cost is calculated as a value obtained by subtracting the profit cost generated by the resale when resale is performed from the cost for purchase. Then, determine the option exercise pattern that gives the lowest expected cost, and after determining the exercise pattern at all nodes, with the expected value calculated based on the transaction cost and probability of occurrence, Output as the minimum transaction cost.

  FIG. 12 corresponds to the price formula in this embodiment corresponding to the tree model. In FIG. 12, the transaction price for each node is shown only for the part used for explanation, and other parts are omitted.

  For example, in node N30-4 in FIG. 12, since the resale price of contract TC4 is lower than the purchase price of contract TA4, the purchase amount is reduced by exercising the right to reduce without reselling. In N32-4, since the resale price of the contract contract TC4 exceeds the purchase price of the contract TA4, it is determined to resell the surplus goods to the contractor C without exercising the right to reduce. Thereafter, similarly, the option right pattern is determined for all nodes, and the sum of expected values is calculated.

  In the above example, the case where there is one transaction contract and one resale contract has been explained. However, even when there are multiple contracts, each node is also an option that goes back sequentially from the last year. The right exercise pattern is determined, the expected value for each year determined by the option right exercise pattern is calculated, and the total value of the expected values is output from the output unit 5 as the minimum value of transaction costs.

  Further, the same method can be used when the cumulative reduction possible amount and the cumulative resale possible amount are set. Further, the same calculation can be made when the right to increase the transaction amount is included instead of the right to reduce the transaction amount.

  In addition, even when a cumulative resaleable amount is set within the contract period for this resale right, the minimum value of transaction costs can be calculated in the same manner.

(Fifth embodiment)
Next, the fifth embodiment will be described. This embodiment is different from the above embodiments in purchaser information.

  In each of the above-described embodiments, only the information on the estimated demand assumed by the consumer is described as the purchaser information, but the consumer has an area for storing LNG (for example, an LNG tank). In some cases, even when an amount of LNG exceeding the assumed demand is purchased, the right to reduce the purchase amount or to resell may not be exercised as long as it does not exceed the capacity that can be stored in the tank.

  For this reason, the storage capacity information, which is information on the capacity capable of storing LNG at the time of the transaction, is described as purchaser information. If this information is described, it corresponds to the capacity indicated by the storage capacity information in the assumed demand amount. The calculations shown in the above embodiments are performed assuming that a buffer is provided.

  In other words, when determining the option exercise pattern for each node sequentially from the last year, if there is a high probability that the transaction price will be low, the purchase price will not be reduced in consideration of storing the crude oil price. If there is a high probability that the transaction price will be high due to a rise in the price, if the right to reduce or resell is held, the exercise pattern will be determined in consideration of exercising that right It can be.

  In addition, considering the expansion of the capacity of the stockpile LNG tank from a medium- to long-term perspective, the purchaser information may be further described with an additional cost for expansion per predetermined unit capacity. I do not care. At this time, it may also be configured to describe the date and time required for expansion per predetermined unit capacity.

  By configuring in this way, if there is already a margin in the storage area and the transaction exceeds the estimated demand, and if you have the right to reduce or resell, exercise that right. For example, if it is determined that the contract price is cheap and can be maintained with a high probability, a large amount of LNG can be obtained by increasing the storage area. Risk hedging to procure and prepare for the upsurge in the price of crude oil to come can be considered.

  In this case, it is useful to set the calculation period to be longer than the period required for construction, and to consider the setting when there are business partners with medium- to long-term business contracts. .

  In each of the above-described embodiments, when calculating the minimum transaction cost, an option right pattern indicating which node exercises the option right is determined, and the right exercise pattern is also output from the output unit 5 together. It may be a thing.

  At this time, when there is an already concluded contract including the option right, the purchaser can input the contract content information regarding the contract content, the purchaser information, and the market price information from the information input unit 2 so that the purchaser Recognize option exercise patterns to minimize transaction costs. Therefore, it is useful when the purchaser thinks it is necessary to review the rights exercise pattern in order to minimize costs, such as when the market conditions or estimated demand changes significantly.

  Furthermore, according to each of the above-described embodiments, since the minimum value of the transaction cost can be calculated, when a plurality of contract contents are presented from the business partner, each of the plurality of contracts While calculating the minimum value of transaction expense, it can be set as the structure which selects the one contract content that the expense which generate | occur | produces for a purchaser becomes the minimum, and outputs it from the output part 5. FIG. In addition, since the calculation method of the minimum value of the transaction cost generate | occur | produced for every contract content is the same as the above-mentioned, description is abbreviate | omitted.

  With this configuration, the purchaser selects one contract content that minimizes incurred costs from a plurality of presented contract details, and negotiates with the seller to conclude a contract according to the contract details. Transaction costs can be minimized.

  At this time, a difference between the minimum values of transaction costs generated by the presented contracts may be calculated and output from the output unit 5. By doing in this way, the divergence of the transaction cost which arises for every contract content can be grasped objectively.

  In addition, for a single contract, a new contract is calculated by calculating the minimum value of the transaction costs incurred by concluding the contract and changing the price formula and option right information related to the contract. The minimum transaction cost is calculated and the contract content with the deviation from the transaction cost incurred in the contract content before the change is within a predetermined range is output from the output unit 5. It is good also as a structure.

  For example, when the purchaser X presents a certain contract ax5 composed of price formula, contract transaction volume and associated option right information to the seller A, the seller A does not respond to the contents of the contract Is assumed. In such a case, it is possible to automatically generate other contracts ax6, ax7,... That generate a transaction cost generated by the contract ax5 and a nearby cost. For the seller A, since a contract is established by selecting one contract from a plurality of contract contents presented, even if the contract ax5 is not satisfactory, ax6, ax7,... Since any one of the contracts may have a contract that can be made, it can be expected that the contract negotiation will proceed smoothly. On the other hand, for the purchaser X, since a separate contract that does not differ much from the transaction cost that is generated compared to the contract ax5 presented first is presented, any one of ax6, ax7,. There is a merit that even if one contract is concluded, there is no significant increase in burden.

<3. Second Embodiment>
Next, a second embodiment of the system of the present invention will be described. As described above, the present embodiment is the same as the first embodiment except for the calculation method for obtaining the minimum transaction cost performed by the calculation unit 4, and thus the description of the same parts is omitted. In the following, description will be given in accordance with an embodiment.

(Sixth embodiment)
The sixth embodiment will be described below. This embodiment is different from the above-described embodiments in the method for calculating the minimum transaction cost. The contract content information and market price information are the same as those in the first embodiment (FIG. 3).

  First, as in the above-described embodiment, contract content information, purchaser information, and market price information are input from the information input unit 2. The model forming unit 3 creates a tree model based on the input market price information.

  Next, based on the tree model generated by the model forming unit 3, the calculation unit 4 does not consider the information on the option right described in the contract content information, and does not consider the pure transaction part (hereinafter “swap part”). To calculate the transaction costs incurred. In other words, the LNG transaction price determined by the price formula is calculated for each node according to the crude oil price expected by the model forming unit 3, and the cost calculated for each node is multiplied by the occurrence probability. The total cost of the swap portion is calculated by calculating the sum of the values within the contract period.

  Next, the calculation unit 4 collects information on all option rights held at the present time, and derives a method for maximizing the option value composed of the option right part. For example, in this embodiment, the purchaser X has a contract amount with the contractor A and the contractor B with the contract amount B that can reduce the maximum transaction amount of 1 ton every year for the next four years. The buyer who has the right to reduce the transaction volume of up to 1 ton per year over the next 4 years, but who is doing business with both Contractor A and Contractor B If Y or purchaser Z is present and both wish to purchase these option rights at a price above the specified price, by selling the option rights to the party who offered the highest price, It is conceivable to minimize transaction costs as a whole.

  That is, the system of the present invention in this embodiment can minimize the transaction cost as a whole by dividing the generated transaction cost into a swap part and an option right part and maximizing the value of the option right part. It is a feature.

  By dividing the value portion in this way, the significance of maximizing the value of the option right portion is further clarified when the option right is securitized in the future and market transactions become possible. Therefore, by using this system, the operator can expect to minimize the cost of procurement of goods in a form that flexibly responds to the social situation.

Schematic configuration diagram showing the configuration of a contract support system according to the present invention Diagram showing an example of a price formula The flowchart which shows the operation | movement procedure of the contract assistance system which concerns on this invention. The figure which shows an example of contract contents information and purchaser information The figure which shows an example of the tree model produced | generated by the model formation part 3 Figure with a price formula corresponding to a tree model The figure which shows an example of the contract content information in the 2nd Example of this invention, and purchaser information The figure which matched the contract content information in a 2nd Example with the tree model which the model formation part 3 produced The flowchart which shows the operation | movement procedure of the contract assistance system in 2nd Example. The figure which shows an example of the contract content information in 3rd Example of this invention The figure which shows an example of the contract content information in the 4th Example of this invention, and purchaser information The figure which matched the contract content information in a 6th Example with the tree model which the model formation part 3 produced

Explanation of symbols

1: Contract support system 2: Information input unit 3: Model formation unit 4: Calculation unit 5: Output unit

Claims (16)

When procuring object up for sale goods within a given period, by outputting the criteria sales contract contents by the data processing computer, a contract supporting system for supporting the implementation of the minimization of transaction costs,
The computer is
An information input unit which is an input means for inputting information;
A model forming unit and a calculation unit, which are calculation means for calculating information;
An output unit that is an output means for outputting information,
The information input unit is
Calculation period information indicating a calculation period that is a target period for calculating the determination criterion ;
Information indicating a price formula that is a relationship between a market price of an indexed goods that is an index serving as an index of the selling price of the traded goods and a trading price of the bought and sold goods, and purchase of the traded goods within the calculation period and information indicating a predetermined amount, contract information including, and information indicating the option rights given incidental rights in a by exercise range is specified on transactions relating to the sale subject goods,
Purchaser information indicating an assumed demand amount of the tradeable goods assumed within the calculation period,
And market price information including information indicating a futures market price related to the index goods and information indicating an option market price;
Each accepts
The market price information input from the information input unit to the predetermined financial model for the model forming unit to estimate the future market price of the index goods based on the current future market price and option market price To generate a market model that represents the discrete future market price of the index goods and the realization probability of the market price,
The computing unit is
The calculation is performed using the market model generated by the model forming unit, the calculation period information input from the information input unit, the contract content information, and the purchaser information.
By applying the price formula to the market price of each of the index goods in the market model,
The transaction cost for each selling price when the option right within the exerciseable range is permitted and the transaction cost for procuring the goods to be bought and sold that is greater than the assumed demand is minimized From the realization probability, calculate the expected value of the transaction cost in the calculation period,
Contract support system, wherein the output section is, for the expected value the calculating unit is calculated, and output as the criterion. The option right is a transaction amount reduction right that enables a purchaser to reduce the contract transaction amount of the goods to be bought and sold, and is a right content in which a maximum reduction amount in a predetermined period unit is set as an exerciseable range. In case,
The arithmetic unit, the reduction amount in a predetermined period unit is allowed to exercise the transaction reduction rights to the extent that the following the maximum possible reduction amount, raising the object up for sale goods or the assumed demand The contract support system according to claim 1, wherein the expected value of the transaction cost in the calculation period when the transaction cost to be minimized is calculated. In the case where the right to reduce the transaction amount is the content of the right in which the maximum cumulative reduction possible amount for the entire calculation period is set as the possible exercise range,
The arithmetic unit, the cumulative reduction is allowed to exercise the transaction reduction rights to the extent that the following the maximum accumulated reducible amount in total in the calculation period, the assumed demand more the object up for sale goods The contract support system according to claim 2, wherein the expected value of the transaction cost in the calculation period when the transaction cost for procuring is minimized is calculated. When the transaction volume reduction right temporarily reduces the contract transaction volume by exercising the right, the total transaction volume within the calculation period is matched with the planned purchase volume by adjusting the transaction volume. If the obligation is an accompanying right content,
When the arithmetic unit, allowing exercise of the transaction reduction rights within the set range as the exercise range, to minimize the transaction costs to raise the object up for sale goods or amount the assumed demand The contract support system according to claim 2, wherein the expected value of the transaction cost in the calculation period is calculated. The option right is a right to increase the transaction amount by which the purchaser can increase the contract transaction amount of the goods to be bought and sold, and is a right content in which a maximum increase amount in a predetermined period unit is set as an exerciseable range. In case,
The arithmetic unit, the increase amount in a predetermined period within the unit is allowed to exercise the trading volume increase rights to the extent that the following the maximum increase possible amount, the object up for sale goods or amount the assumed demand The contract support system according to claim 1, wherein the expected value of the transaction cost in the calculation period when the transaction cost to be procured is minimized is calculated. In the case where the right to increase the transaction amount is a right content in which the maximum cumulative increase amount within the calculation period is set as an exerciseable range,
The computing unit allows the exercise of the right to increase the transaction amount within a range in which the cumulative increase amount in the entire calculation period is less than or equal to the maximum cumulative increase possible amount, and the trading target goods that are equal to or greater than the assumed demand amount The contract support system according to claim 5, wherein the expected value of the transaction cost in the calculation period when the transaction cost for procuring is minimized is calculated. If the right to increase the transaction volume temporarily increases the contract transaction volume by exercising the right, the total transaction volume within the calculation period is matched with the planned purchase volume by adjusting the transaction volume If the obligation is an accompanying right content,
When the arithmetic unit, allowing exercise of the trading volume increase rights within the set range as the exercise range, to minimize the transaction costs to raise the object up for sale goods or amount the assumed demand The contract support system according to claim 5, wherein the expected value of the transaction cost in the calculation period is calculated. The option right is a resale right that allows the purchaser to resell the tradeable goods to another contractor, and the maximum possible resale amount in a predetermined period unit, and the index goods When the resale price formula indicating the relationship between the market price and the resale price of the goods to be bought and sold is the content of the right,
The computing unit is
Using the market price of the future index goods estimated by the market model generated by the model forming unit and the resale price formula to estimate the resale price of the goods to be bought and sold,
By allowing the exercise of the resale rights to the extent that in the estimated resale price equal to or less than said maximum resale possible amount, when minimizing transaction costs for procuring the object up for sale goods or amount the assumed demand , contract support system according to any one of claims 1 to 7, characterized in that for calculating the expected value of the transaction costs in the calculation period. When the resale right is a right content in which the maximum cumulative resaleable amount in the entire calculation period is further set as an exerciseable range,
The arithmetic unit, the cumulative resale amount to permit exercise of the resale rights to the extent that the following the maximum accumulated remarketable amount in total in the calculation period, raising the object up for sale goods or amount the assumed demand The contract support system according to claim 8, wherein the expected value of the transaction cost in the calculation period when the transaction cost to be performed is minimized is calculated. When the purchaser information further includes information indicating a storage capacity that is a limit amount that can temporarily store the goods to be bought and procured from a seller,
The arithmetic unit is definitive when the buyer has purchased the object up for sale goods amount exceeding the envisaged demand, allowing storage of temporary the object up for sale goods within a range not exceeding the storage capacity The said expected value of the said transaction cost in the said calculation period when the transaction cost which procures the said goods for sale more than the said assumption demand is minimized is calculated | required of Claims 1-9 The contract support system according to any one of the above. If the purchaser information further includes information indicating the investment cost is the cost required to increase the predetermined unit amount of the storage capacity,
Cost the arithmetic unit, which definitive when the purchaser purchases the object up for sale goods in an amount exceeding Li Kui the storage capacity exceeded the assumed demand is calculated from the amount and the investment costs exceeding the storage capacity The expected value of the transaction cost in the calculation period when the transaction cost of procuring the goods to be bought and sold that is more than the estimated demand amount is allowed is calculated. 10. The contract support system according to 10. The information input unit is configured to accept each of the plurality of contract content information corresponding to a plurality of the sales contract contents,
Calculation of the expected value of the transaction cost during the calculation period when the calculation unit minimizes the transaction cost for procuring the goods to be bought and sold that is greater than or equal to the expected demand for each piece of contract content information And
The output section is, sales contract contents in the expected value of the transaction costs for each of the contract information calculated by the calculation unit, the one contract information further to achieve the smallest value cost associated The contract support system according to any one of claims 1 to 11, wherein the contract support system is configured to select and output. The calculation unit further calculates a difference value of the expected value of the transaction cost for each calculated contract content information ,
The contract support system according to claim 12, wherein the output unit is configured to output the calculated difference value. Transaction costs that the calculation unit, and the information indicating the price formula contained in the contract content information, by changing the information indicating the option rights to any each, to raise the buying and selling subject goods of equal to or more than the amount of the expected demand And recalculating the expected value of the transaction cost in the calculation period, and the divergence from the expected value of the transaction cost calculated according to the contract content information before the recalculation is searching whether a combination of information indicating information and options right indicating the price formula that falls within a predetermined range,
If the arithmetic unit confirms the presence of the combination, in any one of claims 1 to 13, wherein the output unit is characterized in that it is a structure that outputs a sales contract contents are determined by the combination The contract support system described. The exercise pattern of the option right when the calculation unit allows the exercise of the option right within the exerciseable range and minimizes the transaction cost for procuring the buying and selling goods exceeding the assumed demand amount. Decide
15. The contract support system according to claim 1, wherein the output unit is configured to output an exercise pattern of the option right determined by the arithmetic unit. The information input unit is configured to accept each of the plurality of contract content information corresponding to a plurality of the sales contract contents,
The arithmetic unit, for all of the contract contents of information that will be input from the information input unit, the price formula and the purchase a predetermined amount and a fixed cost portion to be determined, in the options right part that can be exercised 16. The method of claim 1, further comprising a function of calculating a total value of the fixed cost portion and a function of calculating a total value obtained by converting all the held option rights into costs. The contract support system according to any one of the above.