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<li class="toctree-l1"><a class="reference internal" href="system%20settings.html">第0章 与定价相关的系统全局设置</a></li>
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<li class="toctree-l1"><a class="reference internal" href="european.html">第1章 欧式期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="american.html">第2章 美式期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="asian.html">第3章 亚式期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="binary.html">第4章 二元期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="barrier.html">第5章 障碍期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="snowball.html">第6章 雪球期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="phoenix.html">第7章 凤凰期权</a></li>
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<li class="toctree-l1 current"><a class="current reference internal" href="#">第8章 气囊结构</a><ul>
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<li class="toctree-l2"><a class="reference internal" href="#id2">8.1 收益结构</a><ul>
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<li class="toctree-l3"><a class="reference internal" href="#id3">8.1.1 收益不封顶</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#id4">8.1.2 收益封顶</a></li>
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</ul>
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</li>
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<li class="toctree-l2"><a class="reference internal" href="#id5">8.2 气囊结构定价</a><ul>
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<li class="toctree-l3"><a class="reference internal" href="#id6">8.2.1 气囊结构(收益封顶情况)</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#id7">8.2.2 结构条款录入</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#id8">8.2.3 系统定价结果及其说明</a></li>
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<li class="toctree-l1"><a class="reference internal" href="shuangsha.html">第9章 双鲨期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="rangeaccrual.html">第10章 区间累积期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="greeks.html">附录1:希腊值</a></li>
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<li class="toctree-l1"><a class="reference internal" href="model.html">附录2:期权定价方法概述</a></li>
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<li><a href="index.html" class="icon icon-home"></a> »</li>
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<li>第8章 气囊结构</li>
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<a href="_sources/airbag.rst.txt" rel="nofollow"> </a>
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<section id="id1">
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<h1>第8章 气囊结构<a class="headerlink" href="#id1" title="Permalink to this headline"></a></h1>
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<ul class="simple">
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<li><p>气囊结构(Airbag)是一种带有敲入障碍、行权价的收益凭证,如果期间未发生敲入且期末较期初上涨,则期末投资者以未敲入参与率获得上涨收益;如果期间未发生敲入且期末下跌,但未跌破敲入障碍,则收益为 0;如果期间敲入且期末较期初下跌,则投资者以敲入参与率承担相应损失;如果期间敲入且期末较期初上涨,则投资者以敲入参与率获得上涨收益。</p></li>
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<li><p>气囊结构定价:组合实现方式；蒙特卡洛模拟</p></li>
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</ul>
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<section id="id2">
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<h2>8.1 收益结构<a class="headerlink" href="#id2" title="Permalink to this headline"></a></h2>
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<section id="id3">
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<h3>8.1.1 收益不封顶<a class="headerlink" href="#id3" title="Permalink to this headline"></a></h3>
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<p>到期收益结构分为以下两种,其中 participateRate、kiParticipateRate 分别为未发生敲入时参与
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率,发生敲入后的参与率,𝐵表示敲入障碍价格, 𝐾表示行权价。</p>
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<ol class="arabic simple">
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<li><p>未发生敲入</p></li>
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</ol>
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<a class="reference internal image-reference" href="_images/airbag_not_limit_notki.png"><img alt="_images/airbag_not_limit_notki.png" class="align-center" src="_images/airbag_not_limit_notki.png" style="width: 450px;" /></a>
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<p>到期收益为Max(𝑆 − 𝐾, 0) × participateRate.</p>
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<ol class="arabic simple" start="2">
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<li><p>发生敲入</p></li>
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</ol>
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<a class="reference internal image-reference" href="_images/airbag_ki.png"><img alt="_images/airbag_ki.png" class="align-center" src="_images/airbag_ki.png" style="width: 450px;" /></a>
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<p>到期收益为(𝑆 − 𝐾) × kiParticipateRate</p>
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</section>
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<section id="id4">
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<h3>8.1.2 收益封顶<a class="headerlink" href="#id4" title="Permalink to this headline"></a></h3>
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<p>到期收益结构分为以下两种,LowStrike、HighStrike 分别为低、高行权价。</p>
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<ol class="arabic simple">
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<li><p>未发生敲入</p></li>
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</ol>
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<a class="reference internal image-reference" href="_images/airbag_limit_notki.png"><img alt="_images/airbag_limit_notki.png" class="align-center" src="_images/airbag_limit_notki.png" style="width: 450px;" /></a>
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<p>到期收益为 𝑀𝑖𝑛(Max(𝑆 − 𝐿𝑜𝑤𝑆𝑡𝑟𝑖𝑘𝑒, 0), 𝐻𝑖𝑔ℎ𝑆𝑡𝑟𝑖𝑘𝑒 − 𝐿𝑜𝑤𝑆𝑡𝑟𝑖𝑘𝑒) × participateRate.</p>
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<ol class="arabic simple">
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<li><p>发生敲入</p></li>
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</ol>
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<p>行权价 LowStrike(即下图的K), 到期收益结构与收益不封顶相同。</p>
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<a class="reference internal image-reference" href="_images/airbag_ki.png"><img alt="_images/airbag_ki.png" class="align-center" src="_images/airbag_ki.png" style="width: 450px;" /></a>
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<p>到期收益为(𝑆 − 𝐾) × kiParticipateRate</p>
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</section>
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</section>
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<section id="id5">
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<h2>8.2 气囊结构定价<a class="headerlink" href="#id5" title="Permalink to this headline"></a></h2>
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<section id="id6">
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<h3>8.2.1 气囊结构(收益封顶情况)<a class="headerlink" href="#id6" title="Permalink to this headline"></a></h3>
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<table class="docutils align-default">
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<colgroup>
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<col style="width: 46%" />
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<col style="width: 54%" />
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</colgroup>
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<tbody>
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<tr class="row-odd"><td><p>标的代码</p></td>
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<td><p>000905.SH中证500</p></td>
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</tr>
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<tr class="row-even"><td><p>期初标的价格</p></td>
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<td><p>100</p></td>
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</tr>
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<tr class="row-odd"><td><p>初始观察日</p></td>
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<td><p>2021/1/4</p></td>
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</tr>
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<tr class="row-even"><td><p>到期观察日</p></td>
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<td><p>2021/12/31</p></td>
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</tr>
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<tr class="row-odd"><td><p>观察方式</p></td>
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<td><p>连续</p></td>
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</tr>
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<tr class="row-even"><td><p>敲入障碍</p></td>
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<td><p>70%</p></td>
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</tr>
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<tr class="row-odd"><td><p>参与率</p></td>
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<td><p>80%（未敲入参与率）</p></td>
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</tr>
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<tr class="row-even"><td><p>敲入参与率</p></td>
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<td><p>100%</p></td>
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</tr>
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<tr class="row-odd"><td><p>低行权价</p></td>
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<td><p>90%</p></td>
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</tr>
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<tr class="row-even"><td><p>高行权价</p></td>
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<td><p>100%（未发生敲入情况下,收益有上限）</p></td>
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</tr>
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<tr class="row-odd"><td><p>波动率</p></td>
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<td><p>30%</p></td>
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</tr>
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<tr class="row-even"><td><p>无风险利率</p></td>
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<td><p>2%</p></td>
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</tr>
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<tr class="row-odd"><td><p>分红率</p></td>
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<td><p>0%</p></td>
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</tr>
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</tbody>
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</table>
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</section>
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<section id="id7">
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<h3>8.2.2 结构条款录入<a class="headerlink" href="#id7" title="Permalink to this headline"></a></h3>
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<p><strong>定价路径：报价管理->期权定价->新增单腿->气囊结构</strong></p>
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<p><strong>按上述路径进入定价页面,点击如下*绿色*椭圆所圈标志,进入完整的定价页面</strong></p>
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<img alt="_images/fuchuang.jpg" class="align-left" src="_images/fuchuang.jpg" />
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<div class="admonition note">
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<p class="admonition-title">Note</p>
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<ol class="arabic simple">
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<li><p>本次定价案例中我们采用一年按 244 个交易日计算的交易日规则,具体设置请参考 <a class="reference internal" href="system%20settings.html#my-reference-label1"><span class="std std-ref">0.1 定价参数</span></a>.</p></li>
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<li><p>系统结构条款录入请按以下表格对应的字段进行填写,并注意备注中的相关说明。 <strong>本表中未说明的字段,则是试定价非必要字段或无须修改的字段,具体请参考</strong> <a class="reference internal" href="system%20settings.html#my-reference-label2"><span class="std std-ref">0.2 公共定价字段</span></a>.</p></li>
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</ol>
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</div>
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<table class="docutils align-default">
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<colgroup>
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<col style="width: 12%" />
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<col style="width: 12%" />
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<col style="width: 76%" />
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</colgroup>
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<thead>
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<tr class="row-odd"><th class="head"><p>系统字段</p></th>
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<th class="head"><p>录入内容</p></th>
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<th class="head"><p>备注</p></th>
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</tr>
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</thead>
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<tbody>
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<tr class="row-even"><td><p>标的代码</p></td>
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<td><p>000905.SH中证500</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>交易方向</p></td>
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<td><p>公司买入</p></td>
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<td><p>买入时计算得到的期权 PV 为期权的净现值,如果选择“公司卖出”,那么计算得到的 PV 是负的期权净现值。</p></td>
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</tr>
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<tr class="row-even"><td><p>行权方式</p></td>
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<td></td>
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<td><p>对定价结果没有影响</p></td>
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</tr>
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<tr class="row-odd"><td><p>交易日期</p></td>
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<td><p>2021/1/4</p></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p>定价日期</p></td>
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<td><p>2021/1/4</p></td>
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<td><p>本案例为期初定价,定价日期同交易日期;若期中定价,则根据需求自行设置定价日期。</p></td>
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</tr>
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<tr class="row-odd"><td><p>到期日期</p></td>
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<td><p>2021/12/31</p></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p>结算日期</p></td>
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<td><p>2022/12/31</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>期初标的价格</p></td>
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<td><p>100</p></td>
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<td><p>当开始日期是已过去的某一天,标的价格将自动填入那天收盘价;否则标的价格默认填入当天的实时价格;可实时刷新;可手动填入或修改</p></td>
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</tr>
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<tr class="row-even"><td><p>标的价格</p></td>
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<td><p>100</p></td>
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<td><p>是定价日所对应的标的价格,当定价日期是已过去的某一天,标的价格将自动填入那天收盘价;否则标的价格默认填入当天的实时价格;可实时刷新;可手动填入或修改</p></td>
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</tr>
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<tr class="row-odd"><td><p><strong>执行价格</strong></p></td>
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<td><p>90%</p></td>
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<td><p>收益封顶时表示低执行价格</p></td>
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</tr>
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<tr class="row-even"><td><p><strong>参与率</strong></p></td>
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<td><p>80%</p></td>
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<td><p>如果期间未发生敲入且期末较期初上涨,则期末投资者以未敲入参与率获得上涨收益</p></td>
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</tr>
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<tr class="row-odd"><td><p>保底收益</p></td>
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<td></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p>保底收益总额</p></td>
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<td></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>成交数量</p></td>
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<td><p>10000</p></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p>有效成交数量</p></td>
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<td><p>8000</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>名义本金</p></td>
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<td><p>1000000</p></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p>有效名义本金</p></td>
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<td><p>800000</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>成交金额</p></td>
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<td></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p><strong>障碍价格</strong></p></td>
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<td><p>70%</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>观察方式</p></td>
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<td><p>连续</p></td>
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<td><p>有”连续”和”离散”两个选项,此处选连续</p></td>
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</tr>
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<tr class="row-even"><td><p><strong>敲入参与率</strong></p></td>
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<td><p>100%</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p><strong>收益封顶</strong></p></td>
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<td><p>是</p></td>
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<td><p>有“是”和“否”两个选项,此处填“是”</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>收益封顶价格</strong></p></td>
|
||
<td><p>100%</p></td>
|
||
<td><p><strong>收益不封顶情况下,此字段不起作用,无需填写</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>收益结算</p></td>
|
||
<td><p>收盘价</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>成交波动率</p></td>
|
||
<td><p>30%</p></td>
|
||
<td><p>这是一个定价参数,可以按需修改,测试定价结果</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>目标波动率</p></td>
|
||
<td><p>30%</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>平滑过渡天数</p></td>
|
||
<td><p>0</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>无风险利率</p></td>
|
||
<td><p>2%</p></td>
|
||
<td><p>这是一个定价参数,可以按需修改,测试定价结果</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>分红率</p></td>
|
||
<td><p>0%</p></td>
|
||
<td><p>这是一个定价参数,可以按需修改,测试定价结果</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>TTM(Days)</p></td>
|
||
<td><p>248</p></td>
|
||
<td><p>定价日到到期日的之间的交易日天数(包含期初和期末)</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>是否年化</p></td>
|
||
<td><p>否</p></td>
|
||
<td><p>如果选“是”,则生成相应的年化系数,从而影响“有效名义本金”等字段的数值显示,具体请参考 <a class="reference internal" href="system%20settings.html#my-reference-label2"><span class="std std-ref">0.2 公共定价字段</span></a></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>年化系数</p></td>
|
||
<td></td>
|
||
<td><p>交易日至到期日的所有天数(包括交易日和到期日当天)/年化天数</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>预付金模板</p></td>
|
||
<td><p>系统默认</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>定价方式</p></td>
|
||
<td><p>解析解(默认)</p></td>
|
||
<td></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
<section id="id8">
|
||
<h3>8.2.3 系统定价结果及其说明<a class="headerlink" href="#id8" title="Permalink to this headline"></a></h3>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 17%" />
|
||
<col style="width: 25%" />
|
||
<col style="width: 58%" />
|
||
</colgroup>
|
||
<thead>
|
||
<tr class="row-odd"><th class="head"><p>指标</p></th>
|
||
<th class="head"><p>系统定价结果</p></th>
|
||
<th class="head"><p>系统定价及结果的含义</p></th>
|
||
</tr>
|
||
</thead>
|
||
<tbody>
|
||
<tr class="row-even"><td><p>PV</p></td>
|
||
<td><p>-7314.14</p></td>
|
||
<td><p>期权的净现值(组合单价*成交数量)</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>Delta</p></td>
|
||
<td><p>14.806</p></td>
|
||
<td><p><strong>每报价单位Delta*手数</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>Gamma</p></td>
|
||
<td><p>-0.537</p></td>
|
||
<td><p><strong>每报价单位Gamma*手数</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>Vega</p></td>
|
||
<td><p>-3271.307</p></td>
|
||
<td><p>每报价单位Vega*交易份额</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>Theta</p></td>
|
||
<td><p>173.678</p></td>
|
||
<td><p>每报价单位Theta*交易份额</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>Rho</p></td>
|
||
<td><p>3033.398</p></td>
|
||
<td><p>每报价单位Rho*交易份额*100</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
<div class="admonition note">
|
||
<p class="admonition-title">Note</p>
|
||
<p>有关系统中希腊值的说明,详情请参考 <a class="reference internal" href="greeks.html#my-reference-label3"><span class="std std-ref">附录1:希腊值</span></a></p>
|
||
</div>
|
||
</section>
|
||
</section>
|
||
</section>
|
||
|
||
|
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