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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 current"><a class="current reference internal" href="#">第3章 亚式期权</a><ul>
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<li class="toctree-l2"><a class="reference internal" href="#id6">3.1 固定行权价欧式行权</a><ul>
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<li class="toctree-l3"><a class="reference internal" href="#id7">3.1.1 固定行权价欧式期权示例</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#id8">3.1.2 条款录入</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#id9">3.1.3 系统定价结果及说明</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#derivagem">3.1.4 系统定价结果与DerivaGem定价结果比较</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#my-reference-label6">3.1.5 本案例的定价参数对应到定价公式</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#my-reference-label5">3.1.6 固定行权价欧式：不同均价计算方式下的定价字段填写区别</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="#id12">3.2 浮动行权价欧式行权</a><ul>
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<li class="toctree-l3"><a class="reference internal" href="#id13">3.2.1 期权定价案例</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#id14">3.2.2 条款录入</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#id15">3.2.3 系统定价结果及说明</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#my-reference-label7">3.2.4 浮动行权价欧式：不同均价计算方式下的定价字段填写区别</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="#id17">3.3 固定行权价美式行权</a><ul>
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<li class="toctree-l3"><a class="reference internal" href="#id18">3.3.1 期权定价案例</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#id19">3.3.2 条款录入</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#id20">3.3.3 系统定价结果及说明</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#my-reference-label8">3.3.4 固定行权价美式：不同均价计算方式下的定价字段填写区别</a></li>
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</ul>
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</li>
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</ul>
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</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"><a class="reference internal" href="airbag.html">第8章 气囊结构</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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<section id="id1">
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<h1>第3章 亚式期权<a class="headerlink" href="#id1" title="Permalink to this headline"></a></h1>
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<p>亚式期权又称为平均价格期权,与标准期权的区别在于:在到期日确定期权收益时,不是采用标的资产当时的市场价格,而是用期权合同期内某段时间标的资产价格的平均值,这段时间被称为平均期。</p>
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<blockquote>
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<div><ul class="simple">
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<li><p>固定行权价：行权价在期初确定，以有效期内标的资产在某段时间的平均价格来代替到期日标的资产价格；</p></li>
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<li><p>浮动行权价：平均执行价格，是以期权有效期内标的资产某段时间内的平均价格作为执行价格；</p></li>
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</ul>
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</div></blockquote>
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<p>假设固定行权价为K,增强价格为X,标的资产从均价起算日至期权到期日的均价为 <span class="math notranslate nohighlight">\(\bar{S}\)</span>,标的资产从均价起算日至当前结算日的均价为S’,标的期末价格为 <span class="math notranslate nohighlight">\(S^T\)</span></p>
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<blockquote>
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<div><ul>
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<li><p>均价计算方式：</p>
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<ul class="simple">
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<li><dl class="simple">
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<dt>算数平均</dt><dd><ul>
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<li><p><span class="math notranslate nohighlight">\(\bar{S}=\frac{1}{n}\Sigma_{i=1}^{n}Si\)</span></p></li>
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</ul>
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</dd>
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</dl>
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</li>
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<li><dl class="simple">
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<dt>几何平均</dt><dd><ul>
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<li><p><span class="math notranslate nohighlight">\(\bar{S}=(\Pi_{i=1}^{N}Si)^{\frac{1}{n}}\)</span></p></li>
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</ul>
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</dd>
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</dl>
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</li>
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<li><dl class="simple">
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<dt>增强算数平均</dt><dd><ul>
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<li><p>看涨： <span class="math notranslate nohighlight">\(\frac{\Sigma_{i=1}^{n}Max(Si,X)}{n}\)</span></p></li>
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<li><p>看跌： <span class="math notranslate nohighlight">\(\frac{\Sigma_{i=1}^{n}Min(Si,X)}{n}\)</span></p></li>
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</ul>
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</dd>
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</dl>
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</li>
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</ul>
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</li>
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<li><p>Payoff:</p>
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<blockquote>
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<div><ul>
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<li><dl class="simple">
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<dt>固定行权价：</dt><dd><ul class="simple">
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<li><p>看涨：Max(<span class="math notranslate nohighlight">\(\bar{S}-K\)</span>,0)</p></li>
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<li><p>看跌：Max(<span class="math notranslate nohighlight">\(K-\bar{S}\)</span>,0)</p></li>
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</ul>
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</dd>
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</dl>
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</li>
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<li><dl class="simple">
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<dt>浮动行权价</dt><dd><ul class="simple">
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<li><p>看涨：Max(<span class="math notranslate nohighlight">\(S^T-\bar{S}\)</span>,0)</p></li>
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||
<li><p>看跌：Max(<span class="math notranslate nohighlight">\(\bar{S}-S^T\)</span>,0)</p></li>
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</ul>
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</dd>
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</dl>
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</li>
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<li><p>分段式</p>
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<p>假设参与率为P，杠杆率为L;对于分段式，需要计算一个有效平均 <span class="math notranslate nohighlight">\(\bar{S^e}\)</span>, <strong>系统内目前分段式必须是增强算数平均</strong> ，因此 <span class="math notranslate nohighlight">\(\bar{S^e}\)</span> 使用增强算数平均的计算方式</p>
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<blockquote>
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<div><ul class="simple">
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<li><dl class="simple">
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||
<dt>看涨： <span class="math notranslate nohighlight">\(\bar{S^e}=\frac{\Sigma_{i=1}^{n}Max(Si,X)}{n}\)</span>,如果 <span class="math notranslate nohighlight">\(\bar{S^e}\geqq{L*K}\)</span>,</dt><dd><p>则 <span class="math notranslate nohighlight">\(payoff=(L-1)*K+P*Max(\bar{S^e}-L*K,0)\)</span>，否则 <span class="math notranslate nohighlight">\(payoff=Max(\bar{S^e}-K,0)\)</span></p>
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</dd>
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</dl>
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</li>
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<li><dl class="simple">
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<dt>看跌： <span class="math notranslate nohighlight">\(\bar{S^e}=\frac{\Sigma_{i=1}^{n}Min(Si,X)}{n}\)</span>,如果 <span class="math notranslate nohighlight">\(\bar{S^e}\leqq{L*K}\)</span>,</dt><dd><p>则 <span class="math notranslate nohighlight">\(payoff=(1-L)*K+P*Max(L*K-\bar{S^e},0)\)</span>，否则 <span class="math notranslate nohighlight">\(payoff=Max(K-\bar{S^e},0)\)</span></p>
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</dd>
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</dl>
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</li>
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</ul>
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</div></blockquote>
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</li>
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</ul>
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</div></blockquote>
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</li>
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</ul>
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</div></blockquote>
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<img alt="_images/亚式结构.png" class="align-center" src="_images/亚式结构.png" />
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<hr class="docutils" />
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<table class="docutils align-default">
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<colgroup>
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<col style="width: 24%" />
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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>亚式期权</p></th>
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<th class="head"><p>定价模型</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>欧式固定行权价-算术平均</p></td>
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||
<td><p>Turnbull and Wakeman(1991)定价模型(可参考文献 <a class="footnote-reference brackets" href="#f1" id="id2">1</a> Chapter4.20.2);蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-odd"><td><p>欧式固定行权价-几何平均</p></td>
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<td><p>Kemna and Vorst(1990) 定价模型 (可参考文献 <a class="footnote-reference brackets" href="#f1" id="id3">1</a> Chapter4.20.1);蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-even"><td><p>欧式固定行权价-算术平均（离散）</p></td>
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<td><p>Haug,Huag and Margrabe(2003)定价模型(可参考文献 <a class="footnote-reference brackets" href="#f1" id="id4">1</a> Chapter4.20.3);蒙特卡洛模拟 离散算术平均</p></td>
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</tr>
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<tr class="row-odd"><td><p>欧式浮动行权价</p></td>
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||
<td><p>固定行权价和浮动行权价的亚式期权定价存在一个对应关系(Henderson and Wojakowski (2001)) (可参考文献 <a class="footnote-reference brackets" href="#f1" id="id5">1</a> Chapter4.20.4)</p></td>
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||
</tr>
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||
<tr class="row-even"><td><p>增强亚式、分段增强亚式</p></td>
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||
<td><p>复制法（即定价页面的解析解）;蒙特卡洛模拟【 <strong>增强价格等于执行价格时，可选解析解或蒙特卡洛；增强价格不等于执行价格时，只能选择蒙特卡洛模拟</strong>】</p></td>
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||
</tr>
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||
<tr class="row-odd"><td><p>亚美式</p></td>
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||
<td><p>二叉树；蒙特卡洛模拟</p></td>
|
||
</tr>
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||
</tbody>
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||
</table>
|
||
<section id="id6">
|
||
<h2>3.1 固定行权价欧式行权<a class="headerlink" href="#id6" title="Permalink to this headline"></a></h2>
|
||
<div class="admonition note">
|
||
<p class="admonition-title">Note</p>
|
||
<p>定价系统中均价计算方式有四个选项:算数平均、几何平均、算数平均(离散)、增强算数平均,
|
||
此节演示的定价案例选择“算数平均”,在不同均价计算方式下,其它字段填写略有不同,详情请参考 <a class="reference internal" href="#my-reference-label5"><span class="std std-ref">3.1.6 固定行权价欧式：不同均价计算方式下的定价字段填写区别</span></a>.</p>
|
||
</div>
|
||
<section id="id7">
|
||
<h3>3.1.1 固定行权价欧式期权示例<a class="headerlink" href="#id7" title="Permalink to this headline"></a></h3>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 22%" />
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||
<col style="width: 78%" />
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||
</colgroup>
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||
<tbody>
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||
<tr class="row-odd"><td><p>起始日</p></td>
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||
<td><p>2021/1/5</p></td>
|
||
</tr>
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||
<tr class="row-even"><td><p>到期日</p></td>
|
||
<td><p>2021/9/28</p></td>
|
||
</tr>
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||
<tr class="row-odd"><td><p>标的资产</p></td>
|
||
<td><p>000001.SZ</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>交易方向</p></td>
|
||
<td><p>公司买入</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>期权类型</p></td>
|
||
<td><p>欧式看涨</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>名义金额</p></td>
|
||
<td><p>1000000</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>期初价格</p></td>
|
||
<td><p>18.17</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>执行价格</p></td>
|
||
<td><p>20</p></td>
|
||
</tr>
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||
<tr class="row-odd"><td><p>结算价</p></td>
|
||
<td><p>均价期【2021/1/5】至【2021/9/28】期间,所有交易日标的资产每日收盘价的 <strong>算数平均</strong></p></td>
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||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
<section id="id8">
|
||
<h3>3.1.2 条款录入<a class="headerlink" href="#id8" title="Permalink to this headline"></a></h3>
|
||
<p><strong>定价路径：报价管理->期权定价->新增单腿->亚式期权</strong></p>
|
||
<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>
|
||
<img alt="_images/fuchuang.jpg" class="align-left" src="_images/fuchuang.jpg" />
|
||
<div class="line-block">
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||
<div class="line"><br /></div>
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||
</div>
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||
<div class="admonition note">
|
||
<p class="admonition-title">Note</p>
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||
<ol class="arabic simple">
|
||
<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>
|
||
<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>
|
||
</ol>
|
||
</div>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 10%" />
|
||
<col style="width: 12%" />
|
||
<col style="width: 78%" />
|
||
</colgroup>
|
||
<thead>
|
||
<tr class="row-odd"><th class="head"><p>系统字段</p></th>
|
||
<th class="head"><p>录入内容</p></th>
|
||
<th class="head"><p>备注</p></th>
|
||
</tr>
|
||
</thead>
|
||
<tbody>
|
||
<tr class="row-even"><td><p><strong>期权类型</strong></p></td>
|
||
<td><p>亚式期权</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>标的代码</p></td>
|
||
<td><p>000001.SZ</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>交易方向</p></td>
|
||
<td><p>公司买入</p></td>
|
||
<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>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>行权方式</strong></p></td>
|
||
<td><p>欧式</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>看涨看跌</strong></p></td>
|
||
<td><p>看涨</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>交易日期</strong></p></td>
|
||
<td><p>2021/1/5</p></td>
|
||
<td><p><strong>交易天数包含2021/1/5号当天</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>定价日期</p></td>
|
||
<td><p>2021/1/5</p></td>
|
||
<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>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>到期日期</strong></p></td>
|
||
<td><p>2021/9/28</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>结算日期</p></td>
|
||
<td><p>2021/9/28</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>期初标的价格</strong></p></td>
|
||
<td><p>18.17</p></td>
|
||
<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>
|
||
</tr>
|
||
<tr class="row-even"><td><p>标的价格</p></td>
|
||
<td><p>18.17</p></td>
|
||
<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>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>执行价格</strong></p></td>
|
||
<td><p>20</p></td>
|
||
<td><p>有百分比(%)和数值(￥)两种形态可填,此处是数值(￥)形态</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>权利金</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>参与率</p></td>
|
||
<td><p>100%</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>保底收益</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>保底收益总额</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>成交数量</p></td>
|
||
<td><p>55035.7733股</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>有效成交数量</p></td>
|
||
<td><p>55035.7733股</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>名义本金</p></td>
|
||
<td><p>1000000</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>有效名义本金</p></td>
|
||
<td><p>1000000</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>成交金额</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>均价起算日</strong></p></td>
|
||
<td><p>2021/1/5</p></td>
|
||
<td><p><strong>均价期包含均价起算日当天</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>均价计算</strong></p></td>
|
||
<td><p>算数平均</p></td>
|
||
<td><p>共有四个选项:算数平均、几何平均、算数平均(离散)、增强算数平均,详情请参考 <a class="reference internal" href="#my-reference-label5"><span class="std std-ref">3.1.6 固定行权价欧式：不同均价计算方式下的定价字段填写区别</span></a></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>结算类型</strong></p></td>
|
||
<td></td>
|
||
<td><p>递延/立即，只有当均价计算方式为增强算术平均时才需要填写此字段</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>行权价类型</strong></p></td>
|
||
<td><p>固定行权价</p></td>
|
||
<td><p>共有三个选项:固定行权价、浮动行权价、分段式,根据合约规定选择</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>杠杆率</p></td>
|
||
<td></td>
|
||
<td><p>无需填写,不影响此处定价</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>收益结算</p></td>
|
||
<td><p>收盘价</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>成交波动率</strong></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-even"><td><p>成交波动率</p></td>
|
||
<td><p>30%</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>平滑过渡天数</p></td>
|
||
<td><p>0</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>无风险利率</strong></p></td>
|
||
<td><p>3%</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><strong>分红率</strong></p></td>
|
||
<td><p>10%</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><strong>TTM(Days)</strong></p></td>
|
||
<td><p>183</p></td>
|
||
<td><p>默认交易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-odd"><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-even"><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-odd"><td><p>预付金模板</p></td>
|
||
<td><p>系统默认</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>定价模型</p></td>
|
||
<td><p>解析解(默认)</p></td>
|
||
<td></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
<section id="id9">
|
||
<h3>3.1.3 系统定价结果及说明<a class="headerlink" href="#id9" 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>17618.68</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>120.3137</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>58.4741</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>1445.0405</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>0.0000</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>720.1541</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 id="derivagem">
|
||
<h3>3.1.4 系统定价结果与DerivaGem定价结果比较<a class="headerlink" href="#derivagem" title="Permalink to this headline"></a></h3>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 46%" />
|
||
<col style="width: 28%" />
|
||
<col style="width: 26%" />
|
||
</colgroup>
|
||
<thead>
|
||
<tr class="row-odd"><th class="head"><p>期权类型</p></th>
|
||
<th class="head"><p>YL 组合单价</p></th>
|
||
<th class="head"><p>DG400 PV</p></th>
|
||
</tr>
|
||
</thead>
|
||
<tbody>
|
||
<tr class="row-even"><td><p>固定行权价欧式行权(算数平均)</p></td>
|
||
<td><p>0.3201</p></td>
|
||
<td><p>0.32013145</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
<img alt="_images/DerivaGem.png" class="align-center" src="_images/DerivaGem.png" />
|
||
<img alt="_images/亚式固定行权价算数平均欧式行权.png" class="align-center" src="_images/亚式固定行权价算数平均欧式行权.png" />
|
||
</section>
|
||
<section id="my-reference-label6">
|
||
<span id="id10"></span><h3>3.1.5 本案例的定价参数对应到定价公式<a class="headerlink" href="#my-reference-label6" title="Permalink to this headline"></a></h3>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 20%" />
|
||
<col style="width: 80%" />
|
||
</colgroup>
|
||
<thead>
|
||
<tr class="row-odd"><th class="head"><p>系统定价字段</p></th>
|
||
<th class="head"><p>对应到公式</p></th>
|
||
</tr>
|
||
</thead>
|
||
<tbody>
|
||
<tr class="row-even"><td><p>期初标的价格=18.17</p></td>
|
||
<td><p>S=18.17</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>执行价格=20</p></td>
|
||
<td><p>X=20</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>TTM(Days)=183</p></td>
|
||
<td><p><strong>T=183/244, 系统年交易天数为244,具体设置请参考</strong> <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></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>无风险利率=3%</p></td>
|
||
<td><p>r=3%</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>分红率=10%</p></td>
|
||
<td><p>q=10%</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>波动率=30%</p></td>
|
||
<td><p>σ=30%</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
<section id="my-reference-label5">
|
||
<span id="id11"></span><h3>3.1.6 固定行权价欧式：不同均价计算方式下的定价字段填写区别<a class="headerlink" href="#my-reference-label5" title="Permalink to this headline"></a></h3>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 18%" />
|
||
<col style="width: 82%" />
|
||
</colgroup>
|
||
<thead>
|
||
<tr class="row-odd"><th class="head"><p>均价计算方式</p></th>
|
||
<th class="head"><p>定价字段填写区别</p></th>
|
||
</tr>
|
||
</thead>
|
||
<tbody>
|
||
<tr class="row-even"><td><p>算数平均</p></td>
|
||
<td><p>如案例所示</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>几何平均</p></td>
|
||
<td><p>选此计算方式时,无需对“均价起算日”进行填写,不影响定价,其它字段填写均同“算数平均”</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>算数平均(离散)</p></td>
|
||
<td><p><strong>合约定价相关字段录入逻辑同算数平均</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>增强算数平均</p></td>
|
||
<td><p>选此计算方式时，“结算类型”可选“立即”或“递延”</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p></p></td>
|
||
<td><p>亚式期权的增强算术平均表示:如果是看涨,在每个均价观察日,取标的价格和增强价格中的较大值作为当日的fixing价格;</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td><p>如果是看跌,在每个均价观察日,取标的价格和增强价中较小值作为当日的fixing价格。</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
</section>
|
||
<section id="id12">
|
||
<h2>3.2 浮动行权价欧式行权<a class="headerlink" href="#id12" title="Permalink to this headline"></a></h2>
|
||
<div class="admonition note">
|
||
<p class="admonition-title">Note</p>
|
||
<p>定价系统中均价计算方式有四个选项:算数平均、几何平均、算数平均(离散)、增强算数平均,
|
||
此节演示的定价案例选择“算数平均”,在不同均价计算方式下,其它字段填写略有不同,详情请参考 <a class="reference internal" href="#my-reference-label7"><span class="std std-ref">3.2.4 浮动行权价欧式：不同均价计算方式下的定价字段填写区别</span></a></p>
|
||
</div>
|
||
<section id="id13">
|
||
<h3>3.2.1 期权定价案例<a class="headerlink" href="#id13" title="Permalink to this headline"></a></h3>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 22%" />
|
||
<col style="width: 78%" />
|
||
</colgroup>
|
||
<tbody>
|
||
<tr class="row-odd"><td><p>起始日</p></td>
|
||
<td><p>2021/1/5</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>到期日</p></td>
|
||
<td><p>2021/4/6</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>标的资产</p></td>
|
||
<td><p>000001.SZ</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>交易方向</p></td>
|
||
<td><p>公司买入</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>期权类型</p></td>
|
||
<td><p>欧式看涨</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>行权价类型</p></td>
|
||
<td><p>浮动行权价</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>名义金额</p></td>
|
||
<td><p>1000000</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>期初价格</p></td>
|
||
<td><p>18.17</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>执行价格</p></td>
|
||
<td><p>均价期【2021/1/5】至【2021/4/6】期间,所有交易日标的资产每日收盘价的 <strong>算数平均</strong></p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
<section id="id14">
|
||
<h3>3.2.2 条款录入<a class="headerlink" href="#id14" title="Permalink to this headline"></a></h3>
|
||
<p><strong>定价路径：报价管理->期权定价->新增单腿->亚式期权</strong></p>
|
||
<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>
|
||
<img alt="_images/fuchuang.jpg" class="align-left" src="_images/fuchuang.jpg" />
|
||
<div class="line-block">
|
||
<div class="line"><br /></div>
|
||
</div>
|
||
<div class="admonition note">
|
||
<p class="admonition-title">Note</p>
|
||
<ol class="arabic simple">
|
||
<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>
|
||
<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>
|
||
</ol>
|
||
</div>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 9%" />
|
||
<col style="width: 12%" />
|
||
<col style="width: 79%" />
|
||
</colgroup>
|
||
<thead>
|
||
<tr class="row-odd"><th class="head"><p>系统字段</p></th>
|
||
<th class="head"><p>录入内容</p></th>
|
||
<th class="head"><p>备注</p></th>
|
||
</tr>
|
||
</thead>
|
||
<tbody>
|
||
<tr class="row-even"><td><p><strong>期权类型</strong></p></td>
|
||
<td><p>亚式期权</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>标的代码</p></td>
|
||
<td><p>000001.SZ</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>交易方向</p></td>
|
||
<td><p>公司买入</p></td>
|
||
<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>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>行权方式</strong></p></td>
|
||
<td><p>欧式</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>看涨看跌</strong></p></td>
|
||
<td><p>看涨</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>交易日期</strong></p></td>
|
||
<td><p>2021/1/5</p></td>
|
||
<td><p><strong>交易天数包含2021/1/5号当天</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>定价日期</p></td>
|
||
<td><p>2021/1/5</p></td>
|
||
<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>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>到期日期</strong></p></td>
|
||
<td><p>2021/4/6</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>结算日期</p></td>
|
||
<td><p>2021/4/6</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>期初标的价格</strong></p></td>
|
||
<td><p>18.17</p></td>
|
||
<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;小数点位数另有约定</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>标的价格</p></td>
|
||
<td><p>18.17</p></td>
|
||
<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>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>执行价格</strong></p></td>
|
||
<td></td>
|
||
<td><p><strong>浮动行权价下,此字段无需也无法填写</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>权利金</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>参与率</p></td>
|
||
<td><p>100%</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>保底收益</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>保底收益总额</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>成交数量</p></td>
|
||
<td><p>55035.7733股</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>有效成交数量</p></td>
|
||
<td><p>55035.7733股</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>名义本金</p></td>
|
||
<td><p>1000000</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>有效名义本金</p></td>
|
||
<td><p>1000000</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>成交金额</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>均价起算日</strong></p></td>
|
||
<td><p>2021/1/5</p></td>
|
||
<td><p><strong>均价期包含均价起算日当天</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>均价计算</strong></p></td>
|
||
<td><p>算数平均</p></td>
|
||
<td><p>共有四个选项:算数平均、几何平均、算数平均(离散)、增强算数平均,详情请参考 <a class="reference internal" href="#my-reference-label7"><span class="std std-ref">3.2.4 浮动行权价欧式：不同均价计算方式下的定价字段填写区别</span></a></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>行权价类型</strong></p></td>
|
||
<td><p>浮动行权价</p></td>
|
||
<td><p>共有三个选项:固定行权价、浮动行权价、分段式,根据合约规定选择</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>杠杆率</p></td>
|
||
<td></td>
|
||
<td><p>无需填写,不影响此处定价</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><strong>成交波动率</strong></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></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>无风险利率</strong></p></td>
|
||
<td><p>3%</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><strong>分红率</strong></p></td>
|
||
<td><p>10%</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><strong>TTM(Days)</strong></p></td>
|
||
<td><p>61</p></td>
|
||
<td><p>默认交易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>定价模型</p></td>
|
||
<td><p>解析解(默认)</p></td>
|
||
<td></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
<section id="id15">
|
||
<h3>3.2.3 系统定价结果及说明<a class="headerlink" href="#id15" 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>29820.25</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>16.4118</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>0.0000</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>1126.9744</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>0.0000</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>535.7488</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 id="my-reference-label7">
|
||
<span id="id16"></span><h3>3.2.4 浮动行权价欧式：不同均价计算方式下的定价字段填写区别<a class="headerlink" href="#my-reference-label7" title="Permalink to this headline"></a></h3>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 23%" />
|
||
<col style="width: 77%" />
|
||
</colgroup>
|
||
<thead>
|
||
<tr class="row-odd"><th class="head"><p>均价计算方式</p></th>
|
||
<th class="head"><p>定价字段填写区别</p></th>
|
||
</tr>
|
||
</thead>
|
||
<tbody>
|
||
<tr class="row-even"><td><p>算数平均</p></td>
|
||
<td><p>如案例所示</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>几何平均</p></td>
|
||
<td><p>选此计算方式时,无需对“均价起算日”进行填写,不影响定价,其它字段填写均同“算数平均”</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>算数平均(离散)</p></td>
|
||
<td><p><strong>合约定价相关字段录入逻辑同算数平均</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>增强算数平均</p></td>
|
||
<td><p><strong>均价计算方式为“增强算数平均”时行权价类型不能为“浮动行权价”</strong></p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
</section>
|
||
<section id="id17">
|
||
<h2>3.3 固定行权价美式行权<a class="headerlink" href="#id17" title="Permalink to this headline"></a></h2>
|
||
<div class="admonition note">
|
||
<p class="admonition-title">Note</p>
|
||
<p>定价系统中均价计算方式有四个选项:算数平均、几何平均、算数平均(离散)、增强算数平均,
|
||
此节演示的定价案例选择“算数平均”,在不同均价计算方式下,其它字段填写略有不同,详情请参考 <a class="reference internal" href="#my-reference-label8"><span class="std std-ref">3.3.4 固定行权价美式：不同均价计算方式下的定价字段填写区别</span></a>.</p>
|
||
</div>
|
||
<section id="id18">
|
||
<h3>3.3.1 期权定价案例<a class="headerlink" href="#id18" title="Permalink to this headline"></a></h3>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 22%" />
|
||
<col style="width: 78%" />
|
||
</colgroup>
|
||
<tbody>
|
||
<tr class="row-odd"><td><p>起始日</p></td>
|
||
<td><p>2021/1/5</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>到期日</p></td>
|
||
<td><p>2021/4/6</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>标的资产</p></td>
|
||
<td><p>000001.SZ</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>交易方向</p></td>
|
||
<td><p>公司买入</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>期权类型</p></td>
|
||
<td><p>亚式看涨</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>名义金额</p></td>
|
||
<td><p>1000000</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>期初价格</p></td>
|
||
<td><p>18.17</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>执行价格</p></td>
|
||
<td><p>20</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>结算价</p></td>
|
||
<td><p>均价期【2021/1/5】至【2021/4/6】期间,所有交易日标的资产每日收盘价的 <strong>算数平均</strong></p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
<section id="id19">
|
||
<h3>3.3.2 条款录入<a class="headerlink" href="#id19" title="Permalink to this headline"></a></h3>
|
||
<p><strong>定价路径：报价管理->期权定价->新增单腿->亚式期权</strong></p>
|
||
<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>
|
||
<img alt="_images/fuchuang.jpg" class="align-left" src="_images/fuchuang.jpg" />
|
||
<div class="line-block">
|
||
<div class="line"><br /></div>
|
||
</div>
|
||
<div class="admonition note">
|
||
<p class="admonition-title">Note</p>
|
||
<ol class="arabic simple">
|
||
<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>
|
||
<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>
|
||
</ol>
|
||
</div>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 9%" />
|
||
<col style="width: 12%" />
|
||
<col style="width: 79%" />
|
||
</colgroup>
|
||
<thead>
|
||
<tr class="row-odd"><th class="head"><p>系统字段</p></th>
|
||
<th class="head"><p>录入内容</p></th>
|
||
<th class="head"><p>备注</p></th>
|
||
</tr>
|
||
</thead>
|
||
<tbody>
|
||
<tr class="row-even"><td><p><strong>期权类型</strong></p></td>
|
||
<td><p>亚式期权</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>标的代码</p></td>
|
||
<td><p>000001.SZ</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>交易方向</p></td>
|
||
<td><p>公司买入</p></td>
|
||
<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>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>行权方式</strong></p></td>
|
||
<td><p>美式</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>看涨看跌</strong></p></td>
|
||
<td><p>看涨</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>交易日期</strong></p></td>
|
||
<td><p>2021/1/5</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>定价日期</p></td>
|
||
<td><p>2021/1/5</p></td>
|
||
<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>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>到期日期</strong></p></td>
|
||
<td><p>2021/4/6</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>结算日期</p></td>
|
||
<td><p>2021/4/6</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>期初标的价格</strong></p></td>
|
||
<td><p>18.17</p></td>
|
||
<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;小数点位数另有约定</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>标的价格</p></td>
|
||
<td><p>18.17</p></td>
|
||
<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>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>执行价格</strong></p></td>
|
||
<td><p>20</p></td>
|
||
<td><p>有百分比(%)和数值(￥)两种形态可填,此处是数值(￥)形态</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>权利金</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>参与率</p></td>
|
||
<td><p>100%</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>保底收益</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>保底收益总额</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>成交数量</p></td>
|
||
<td><p>55035.7733股</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>有效成交数量</p></td>
|
||
<td><p>55035.7733股</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>名义本金</p></td>
|
||
<td><p>1000000</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>有效名义本金</p></td>
|
||
<td><p>1000000</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>成交金额</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>均价起算日</strong></p></td>
|
||
<td><p>2021/1/4</p></td>
|
||
<td><p><strong>均价起算日不包含在均价期内。合约规定均价期从2021/1/5开始,所以此处均价起算日应填2021/1/4</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>均价计算</strong></p></td>
|
||
<td><p>算数平均</p></td>
|
||
<td><p>共有四个选项:算数平均、几何平均、算数平均(离散)、增强算数平均,详情请参考 <a class="reference internal" href="#my-reference-label8"><span class="std std-ref">3.3.4 固定行权价美式：不同均价计算方式下的定价字段填写区别</span></a></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>行权价类型</strong></p></td>
|
||
<td><p>固定行权价</p></td>
|
||
<td><p><strong>行权方式为美式时,行权价类型默认为“固定行权价”,不可更改。</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>杠杆率</p></td>
|
||
<td></td>
|
||
<td><p>无需填写,不影响此处定价</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><strong>成交波动率</strong></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>成交波动率</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>61</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>无风险利率</strong></p></td>
|
||
<td><p>3%</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><strong>分红率</strong></p></td>
|
||
<td><p>10%</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><strong>TTM(Days)</strong></p></td>
|
||
<td><p>61</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>定价模型</p></td>
|
||
<td><p>解析解(默认)</p></td>
|
||
<td></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
<section id="id20">
|
||
<h3>3.3.3 系统定价结果及说明<a class="headerlink" href="#id20" 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>6803.57</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>86.5864</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>87.2866</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>707.1018</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>-182.2094</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>174.7045</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 id="my-reference-label8">
|
||
<span id="id21"></span><h3>3.3.4 固定行权价美式：不同均价计算方式下的定价字段填写区别<a class="headerlink" href="#my-reference-label8" title="Permalink to this headline"></a></h3>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 18%" />
|
||
<col style="width: 82%" />
|
||
</colgroup>
|
||
<thead>
|
||
<tr class="row-odd"><th class="head"><p>均价计算方式</p></th>
|
||
<th class="head"><p>定价字段填写区别</p></th>
|
||
</tr>
|
||
</thead>
|
||
<tbody>
|
||
<tr class="row-even"><td><p>算数平均</p></td>
|
||
<td><p>如案例所示</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>几何平均</p></td>
|
||
<td><p>字段填写方式同“算数平均”。</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>算数平均(离散)</p></td>
|
||
<td><p><strong>合约定价相关字段录入逻辑同算数平均</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>增强算数平均</p></td>
|
||
<td><p>字段填写方式同“算数平均”。</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p></p></td>
|
||
<td><p>亚式期权的增强算术平均表示:如果是看涨,在每个均价观察日,取标的价格和增强价格中的较大值作为当日的fixing价格;</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td><p>如果是看跌,在每个均价观察日,去标的价格和增强价格中较小值作为当日的fixing价格。</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
<p class="rubric"><em>参考文献</em></p>
|
||
<dl class="footnote brackets">
|
||
<dt class="label" id="f1"><span class="brackets">1</span><span class="fn-backref">(<a href="#id2">1</a>,<a href="#id3">2</a>,<a href="#id4">3</a>,<a href="#id5">4</a>)</span></dt>
|
||
<dd><p>Haug, Espen Gaarder. The complete guide to option pricing formulas. McGraw-Hill Companies, Second Edition.</p>
|
||
</dd>
|
||
</dl>
|
||
</section>
|
||
</section>
|
||
</section>
|
||
|
||
|
||
</div>
|
||
</div>
|
||
<footer><div class="rst-footer-buttons" role="navigation" aria-label="Footer">
|
||
<a href="american.html" class="btn btn-neutral float-left" title="第2章 美式期权" accesskey="p" rel="prev"><span class="fa fa-arrow-circle-left" aria-hidden="true"></span> Previous</a>
|
||
<a href="binary.html" class="btn btn-neutral float-right" title="第4章 二元期权" accesskey="n" rel="next">Next <span class="fa fa-arrow-circle-right" aria-hidden="true"></span></a>
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|
||
|
||
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|
||
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||
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