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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 current"><a class="current reference internal" href="#">第5章 障碍期权</a><ul>
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<li class="toctree-l2"><a class="reference internal" href="#id4">5.1 单障碍期权</a><ul>
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<li class="toctree-l3"><a class="reference internal" href="#id5">5.1.1 期权案例</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#id6">5.1.2 条款录入</a><ul>
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<li class="toctree-l4"><a class="reference internal" href="#id7">5.1.3 系统定价结果及其说明</a></li>
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<li class="toctree-l4"><a class="reference internal" href="#id8">5.1.4 本案例的定价参数对应到定价公式</a></li>
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</li>
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</ul>
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</li>
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<li class="toctree-l2"><a class="reference internal" href="#id9">5.2 双障碍期权</a><ul>
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<li class="toctree-l3"><a class="reference internal" href="#id10">5.2.1 期权案例</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#id11">5.2.2 条款录入</a><ul>
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<li class="toctree-l4"><a class="reference internal" href="#id12">5.2.3 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="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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<section id="id1">
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<h1>第5章 障碍期权<a class="headerlink" href="#id1" title="Permalink to this headline"></a></h1>
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<p>障碍期权是指在其生效过程中受到一定限制的期权,其目的是把投资者的收益或损失控制在一
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定范围之内。障碍期权一般归为两类,即敲出期权和敲入期权。敲出期权是指当标的资产价格达到一个特定障碍水平时,该期权作废；敲入期权当只有当标的资产价格达到一个特定障碍水平时,该期权才有效。</p>
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<col style="width: 84%" />
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<thead>
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<tr class="row-odd"><th class="head"><p>障碍类型</p></th>
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<th class="head"><p>定价模型及参考文献</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>单障碍期权</p></td>
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<td><p>Reiner and Rubinstein (1991) [可参考文献 <a class="footnote-reference brackets" href="#f1" id="id2">1</a> Chapter4.17.1];积分法;PDE;二叉树;蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-odd"><td><p>双障碍期权</p></td>
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<td><p>Ikeda and Kunitomo model(1992)(可参考文献 <a class="footnote-reference brackets" href="#f1" id="id3">1</a> Chapter4.17.3)、fourier pricing model、积分法、蒙特卡洛模拟</p></td>
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<section id="id4">
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<h2>5.1 单障碍期权<a class="headerlink" href="#id4" title="Permalink to this headline"></a></h2>
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<section id="id5">
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<h3>5.1.1 期权案例<a class="headerlink" href="#id5" 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: 43%" />
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<col style="width: 57%" />
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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>2021/1/4</p></td>
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</tr>
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<tr class="row-even"><td><p>到期日</p></td>
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<td><p>2021/12/27</p></td>
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</tr>
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<tr class="row-odd"><td><p>标的资产</p></td>
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<td><p>000001.SZ</p></td>
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</tr>
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<tr class="row-even"><td><p>期权类型</p></td>
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<td><p>障碍期权</p></td>
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</tr>
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<tr class="row-odd"><td><p>名义金额</p></td>
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<td><p>1000000</p></td>
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</tr>
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<tr class="row-even"><td><p>期初价格</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>行权价</p></td>
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<td><p>100%</p></td>
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</tr>
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<tr class="row-even"><td><p>敲出障碍价格</p></td>
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<td><p>120%</p></td>
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</tr>
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<tr class="row-odd"><td><p>敲出补偿</p></td>
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<td><p>5%（不年化）</p></td>
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</tr>
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<tr class="row-even"><td><p>敲出观察日</p></td>
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<td><p>按日观察</p></td>
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</tr>
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<tr class="row-odd"><td><p>到期赔付</p></td>
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<td><p>未敲出到期客户获得看涨期权收益</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="id6">
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<h3>5.1.2 条款录入<a class="headerlink" href="#id6" 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->障碍期权</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="line-block">
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<div class="line"><br /></div>
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</div>
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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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<table class="docutils align-default">
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<colgroup>
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<col style="width: 11%" />
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<col style="width: 12%" />
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<col style="width: 77%" />
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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>000001.SZ</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><strong>行权方式</strong></p></td>
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<td><p>欧式</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p><strong>看涨看跌</strong></p></td>
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<td><p><strong>看涨</strong></p></td>
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<td><p>敲出/敲入后的期权类型</p></td>
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</tr>
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<tr class="row-even"><td><p><strong>交易日期</strong></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-odd"><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-even"><td><p><strong>到期日期</strong></p></td>
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<td><p>2021/12/27</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p>结算日期</p></td>
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<td><p>2021/12/27</p></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p><strong>期初标的价格</strong></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-odd"><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-even"><td><p><strong>执行价格</strong></p></td>
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<td><p>100</p></td>
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<td><p><strong>看涨期权的执行价格</strong> 有百分比(%)和数值(￥)两种形态可填,此处是数值(￥)形态</p></td>
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</tr>
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<tr class="row-odd"><td><p>权利金</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>参与率</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>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>
|
||
<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>
|
||
<td><p>10000</p></td>
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||
<td></td>
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||
</tr>
|
||
<tr class="row-odd"><td><p>名义本金</p></td>
|
||
<td><p>1000000</p></td>
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||
<td></td>
|
||
</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>1000000</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>
|
||
<tr class="row-even"><td><p><strong>障碍类型</strong></p></td>
|
||
<td><p>上升敲出</p></td>
|
||
<td><p><strong>支持“上升敲入”“上升敲出”“下降敲入”“下降敲出”</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>障碍价格</strong></p></td>
|
||
<td><p>120%</p></td>
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||
<td><p>必填</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>高障碍价格</p></td>
|
||
<td></td>
|
||
<td><p>障碍类型为双障碍期权时才需填写</p></td>
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||
</tr>
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||
<tr class="row-odd"><td><p><strong>补偿金额</strong></p></td>
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||
<td><p>5%</p></td>
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<td><p>根据所给合约,5%(<strong>不年化</strong>)</p></td>
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||
</tr>
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<tr class="row-even"><td><p>障碍偏移</p></td>
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<td></td>
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||
<td><p>非必填项,数值,例如填写“2” ,表示障碍价格上升2元</p></td>
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</tr>
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<tr class="row-odd"><td><p><strong>观察方式</strong></p></td>
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<td><p>离散</p></td>
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<td><p><strong>选择“离散”时默认每日观察，无需手动设置观察频率</strong></p></td>
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</tr>
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<tr class="row-even"><td><p><strong>补偿支付</strong></p></td>
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<td><p>立即</p></td>
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<td><p>必填,立即/递延</p></td>
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||
</tr>
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||
<tr class="row-odd"><td><p><strong>补偿按敲出日年化</strong></p></td>
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||
<td><p>否</p></td>
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||
<td><p>根据所给合约,5%(<strong>不年化</strong>)</p></td>
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||
</tr>
|
||
<tr class="row-even"><td><p><strong>补偿计息规则</strong></p></td>
|
||
<td></td>
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||
<td></td>
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||
</tr>
|
||
<tr class="row-odd"><td><p><strong>观察频率</strong></p></td>
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<td></td>
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<td><p><strong>观察方式为离散时，默认每日观察，无需填写此项</strong></p></td>
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</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>目标波动率</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>平滑过渡天数</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>无风险利率</strong></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-odd"><td><p><strong>分红率</strong></p></td>
|
||
<td><p>5%</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>244</p></td>
|
||
<td><p>定价日期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>定价方式</p></td>
|
||
<td><p>解析解(默认)</p></td>
|
||
<td></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
<section id="id7">
|
||
<h4>5.1.3 系统定价结果及其说明<a class="headerlink" href="#id7" title="Permalink to this headline"></a></h4>
|
||
<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>26540.41</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>9.868</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>0.124</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>274.649</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>-8.560</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>496.313</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="id8">
|
||
<h4>5.1.4 本案例的定价参数对应到定价公式<a class="headerlink" href="#id8" title="Permalink to this headline"></a></h4>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 21%" />
|
||
<col style="width: 79%" />
|
||
</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=100</p></td>
|
||
<td><p>S=100</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>执行价格=100</p></td>
|
||
<td><p>X=100</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>障碍价格</p></td>
|
||
<td><p>H=120</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>TTM(Days)=244</p></td>
|
||
<td><p><strong>T=244/244, 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-even"><td><p>无风险利率=2%</p></td>
|
||
<td><p>r=2%</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>分红率=5%</p></td>
|
||
<td><p>q=5%,b=r-q</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>波动率=30%</p></td>
|
||
<td><p>σ=30%</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>补偿金额=5%</p></td>
|
||
<td><p>K=100*5%*（期权存续时间/365）</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
</section>
|
||
</section>
|
||
<section id="id9">
|
||
<h2>5.2 双障碍期权<a class="headerlink" href="#id9" title="Permalink to this headline"></a></h2>
|
||
<section id="id10">
|
||
<h3>5.2.1 期权案例<a class="headerlink" href="#id10" title="Permalink to this headline"></a></h3>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 34%" />
|
||
<col style="width: 66%" />
|
||
</colgroup>
|
||
<tbody>
|
||
<tr class="row-odd"><td><p>起始日</p></td>
|
||
<td><p>2021/1/4</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>到期日</p></td>
|
||
<td><p>2021/12/27</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>期权类型</p></td>
|
||
<td><p>障碍期权</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>100</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>行权价</p></td>
|
||
<td><p>100%</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>低障碍价格</p></td>
|
||
<td><p>90%</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>高障碍价格</p></td>
|
||
<td><p>100%</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>观察方式</p></td>
|
||
<td><p>连续观察</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>未敲入到期补偿</p></td>
|
||
<td><p>5%（非年化）</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>到期赔付</p></td>
|
||
<td><p>期间触碰任一障碍价格到期赔付一笔看涨期权收益</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
<section id="id11">
|
||
<h3>5.2.2 条款录入<a class="headerlink" href="#id11" 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->障碍期权</strong></p>
|
||
<p><strong>障碍类型：双障碍敲入</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: 11%" />
|
||
<col style="width: 12%" />
|
||
<col style="width: 77%" />
|
||
</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>标的代码</p></td>
|
||
<td><p>000001.SZ</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><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-even"><td><p>行权方式</p></td>
|
||
<td><p>欧式</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>看涨看跌</strong></p></td>
|
||
<td><p><strong>看涨</strong></p></td>
|
||
<td><p>敲入后的期权类型</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>交易日期</p></td>
|
||
<td><p>2021/1/4</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>定价日期</p></td>
|
||
<td><p>2021/1/4</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-even"><td><p>到期日期</p></td>
|
||
<td><p>2021/12/27</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>结算日期</p></td>
|
||
<td><p>2021/12/27</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>期初标的价格</p></td>
|
||
<td><p>100</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-odd"><td><p>标的价格</p></td>
|
||
<td><p>100</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-even"><td><p>执行价格</p></td>
|
||
<td><p>100</p></td>
|
||
<td><p><strong>看涨期权的执行价格</strong> 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-odd"><td><p>权利金</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>参与率</p></td>
|
||
<td><p>100%</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>保底收益</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>保底收益总额</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>成交数量</p></td>
|
||
<td><p>10000</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>有效成交数量</p></td>
|
||
<td><p>10000</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>名义本金</p></td>
|
||
<td><p>1000000</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>有效名义本金</p></td>
|
||
<td><p>1000000</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>成交金额</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>障碍类型</strong></p></td>
|
||
<td><p>双障碍敲入</p></td>
|
||
<td><p><strong>支持“双障碍敲入”“双障碍敲出”</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>障碍价格</strong></p></td>
|
||
<td><p>90%</p></td>
|
||
<td><p><strong>必填,表示低障碍价格</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>高障碍价格</strong></p></td>
|
||
<td><p>120%</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>补偿金额</strong></p></td>
|
||
<td><p>5%</p></td>
|
||
<td><p>必填,根据合约规定5%（年化）,表示未敲入补偿金额</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>障碍偏移</p></td>
|
||
<td></td>
|
||
<td><p>非必填项,数值,例如填写“2” ,表示障碍价格上升2元</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>观察方式</strong></p></td>
|
||
<td><p>连续</p></td>
|
||
<td><p><strong>选择连续观察后,不必设置观察频率</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>补偿支付</strong></p></td>
|
||
<td><p>递延</p></td>
|
||
<td><p>必填,立即/递延</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>补偿按敲出日年化</p></td>
|
||
<td></td>
|
||
<td><p><strong>障碍类型为敲入时,不可填</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>补偿计息规则</p></td>
|
||
<td></td>
|
||
<td><p><strong>障碍类型为敲入时,不可填</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>观察频率</strong></p></td>
|
||
<td></td>
|
||
<td><p>观察方式为连续时,无需设置观察频率</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>目标波动率</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>平滑过渡天数</p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>无风险利率</strong></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-odd"><td><p><strong>分红率</strong></p></td>
|
||
<td><p>5%</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>244</p></td>
|
||
<td><p>定价日期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>定价方式</p></td>
|
||
<td><p>解析解(默认)</p></td>
|
||
<td></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
<section id="id12">
|
||
<h4>5.2.3 系统定价结果及其说明<a class="headerlink" href="#id12" title="Permalink to this headline"></a></h4>
|
||
<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>101233.56</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>49.457</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>1.263</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>3790.107</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>-164.159</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>3937.824</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>
|
||
<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>)</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>
|
||
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|
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