2109 lines
82 KiB
HTML
2109 lines
82 KiB
HTML
<!DOCTYPE html>
|
||
<html class="writer-html5" lang="en" >
|
||
<head>
|
||
<meta charset="utf-8" /><meta name="generator" content="Docutils 0.17.1: http://docutils.sourceforge.net/" />
|
||
|
||
<meta name="viewport" content="width=device-width, initial-scale=1.0" />
|
||
<title>第4章 二元期权 — OTC Manual 1.0 documentation</title>
|
||
<link rel="stylesheet" href="_static/pygments.css" type="text/css" />
|
||
<link rel="stylesheet" href="_static/css/theme.css" type="text/css" />
|
||
<link rel="stylesheet" href="_static/css/custom.css" type="text/css" />
|
||
<!--[if lt IE 9]>
|
||
<script src="_static/js/html5shiv.min.js"></script>
|
||
<![endif]-->
|
||
|
||
<script data-url_root="./" id="documentation_options" src="_static/documentation_options.js"></script>
|
||
<script src="_static/jquery.js"></script>
|
||
<script src="_static/underscore.js"></script>
|
||
<script src="_static/doctools.js"></script>
|
||
<script src="_static/js/theme.js"></script>
|
||
<link rel="index" title="Index" href="genindex.html" />
|
||
<link rel="search" title="Search" href="search.html" />
|
||
<link rel="next" title="第5章 障碍期权" href="barrier.html" />
|
||
<link rel="prev" title="第3章 亚式期权" href="asian.html" />
|
||
</head>
|
||
|
||
<body class="wy-body-for-nav">
|
||
<div class="wy-grid-for-nav">
|
||
<nav data-toggle="wy-nav-shift" class="wy-nav-side">
|
||
<div class="wy-side-scroll">
|
||
<div class="wy-side-nav-search" >
|
||
<a href="index.html" class="icon icon-home"> OTC Manual
|
||
<img src="_static/logo_flower.png" class="logo" alt="Logo"/>
|
||
</a>
|
||
<div role="search">
|
||
<form id="rtd-search-form" class="wy-form" action="search.html" method="get">
|
||
<input type="text" name="q" placeholder="Search docs" />
|
||
<input type="hidden" name="check_keywords" value="yes" />
|
||
<input type="hidden" name="area" value="default" />
|
||
</form>
|
||
</div>
|
||
</div><div class="wy-menu wy-menu-vertical" data-spy="affix" role="navigation" aria-label="Navigation menu">
|
||
<p class="caption" role="heading"><span class="caption-text">Contents:</span></p>
|
||
<ul class="current">
|
||
<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>
|
||
<li class="toctree-l1"><a class="reference internal" href="european.html">第1章 欧式期权</a></li>
|
||
<li class="toctree-l1"><a class="reference internal" href="american.html">第2章 美式期权</a></li>
|
||
<li class="toctree-l1"><a class="reference internal" href="asian.html">第3章 亚式期权</a></li>
|
||
<li class="toctree-l1 current"><a class="current reference internal" href="#">第4章 二元期权</a><ul>
|
||
<li class="toctree-l2"><a class="reference internal" href="#id3">4.1 二元期权收益</a><ul>
|
||
<li class="toctree-l3"><a class="reference internal" href="#id4">4.1.1 欧式二元期权到期收益结构</a><ul>
|
||
<li class="toctree-l4"><a class="reference internal" href="#cash-or-nothing-binary-option">1.cash-or-nothing binary option</a></li>
|
||
<li class="toctree-l4"><a class="reference internal" href="#asset-or-nothing-binary-option">2.asset-or-nothing binary option</a></li>
|
||
</ul>
|
||
</li>
|
||
<li class="toctree-l3"><a class="reference internal" href="#my-reference-label9">4.1.2 美式二元的期权类型及其收益说明</a></li>
|
||
</ul>
|
||
</li>
|
||
<li class="toctree-l2"><a class="reference internal" href="#id6">4.2 欧式二元期权定价</a><ul>
|
||
<li class="toctree-l3"><a class="reference internal" href="#id7">4.2.1 欧式二元期权示例</a></li>
|
||
<li class="toctree-l3"><a class="reference internal" href="#id8">4.2.2 欧式二元期权定价条款录入</a></li>
|
||
<li class="toctree-l3"><a class="reference internal" href="#id9">4.2.3 系统定价结果及其说明</a></li>
|
||
<li class="toctree-l3"><a class="reference internal" href="#derivagem">4.2.4 系统定价结果与DerivaGem定价结果比较</a></li>
|
||
<li class="toctree-l3"><a class="reference internal" href="#id10">4.2.5 本案例的定价参数对应到定价公式</a></li>
|
||
</ul>
|
||
</li>
|
||
<li class="toctree-l2"><a class="reference internal" href="#uponetouch">4.3 美式二元期权(UpOneTouch)</a><ul>
|
||
<li class="toctree-l3"><a class="reference internal" href="#my-reference-label12">4.3.1 支付固定补偿金额的情形</a><ul>
|
||
<li class="toctree-l4"><a class="reference internal" href="#id12">1.定价案例</a></li>
|
||
<li class="toctree-l4"><a class="reference internal" href="#id13">2.条款录入</a></li>
|
||
<li class="toctree-l4"><a class="reference internal" href="#id14">3.系统定价结果及其说明</a></li>
|
||
<li class="toctree-l4"><a class="reference internal" href="#id15">4.本案例的定价参数对应到定价公式</a></li>
|
||
</ul>
|
||
</li>
|
||
<li class="toctree-l3"><a class="reference internal" href="#id16">4.3.2 支付固定票息的情形</a><ul>
|
||
<li class="toctree-l4"><a class="reference internal" href="#id17">1.定价示例</a></li>
|
||
<li class="toctree-l4"><a class="reference internal" href="#id18">2.条款录入</a></li>
|
||
<li class="toctree-l4"><a class="reference internal" href="#id19">3.系统定价结果及其说明</a></li>
|
||
</ul>
|
||
</li>
|
||
</ul>
|
||
</li>
|
||
<li class="toctree-l2"><a class="reference internal" href="#downonetouch">4.4 美式二元期权(DownOneTouch)</a></li>
|
||
<li class="toctree-l2"><a class="reference internal" href="#upnotouch">4.5 美式二元期权(UpNoTouch)</a></li>
|
||
<li class="toctree-l2"><a class="reference internal" href="#downnotouch">4.6 美式二元期权(DownNoTouch)</a></li>
|
||
<li class="toctree-l2"><a class="reference internal" href="#doubleonetouch">4.7 美式二元期权(DoubleOneTouch)</a><ul>
|
||
<li class="toctree-l3"><a class="reference internal" href="#id20">4.7.1 支付固定补偿金额的情形</a><ul>
|
||
<li class="toctree-l4"><a class="reference internal" href="#id21">1.定价案例</a></li>
|
||
<li class="toctree-l4"><a class="reference internal" href="#id22">2.条款录入</a></li>
|
||
<li class="toctree-l4"><a class="reference internal" href="#id23">3.系统定价结果及其说明</a></li>
|
||
</ul>
|
||
</li>
|
||
<li class="toctree-l3"><a class="reference internal" href="#id24">4.7.2 支付固定票息的情形</a><ul>
|
||
<li class="toctree-l4"><a class="reference internal" href="#id25">1.定价案例</a></li>
|
||
<li class="toctree-l4"><a class="reference internal" href="#id26">2.条款录入</a></li>
|
||
<li class="toctree-l4"><a class="reference internal" href="#id27">3.系统定价结果及其说明</a></li>
|
||
</ul>
|
||
</li>
|
||
</ul>
|
||
</li>
|
||
<li class="toctree-l2"><a class="reference internal" href="#doublenotouch">4.8 美式二元期权(DoubleNoTouch)</a><ul>
|
||
<li class="toctree-l3"><a class="reference internal" href="#id28">1.定价案例</a></li>
|
||
<li class="toctree-l3"><a class="reference internal" href="#id29">2.条款录入</a></li>
|
||
<li class="toctree-l3"><a class="reference internal" href="#id30">3.系统定价结果及其说明</a></li>
|
||
</ul>
|
||
</li>
|
||
</ul>
|
||
</li>
|
||
<li class="toctree-l1"><a class="reference internal" href="barrier.html">第5章 障碍期权</a></li>
|
||
<li class="toctree-l1"><a class="reference internal" href="snowball.html">第6章 雪球期权</a></li>
|
||
<li class="toctree-l1"><a class="reference internal" href="phoenix.html">第7章 凤凰期权</a></li>
|
||
<li class="toctree-l1"><a class="reference internal" href="airbag.html">第8章 气囊结构</a></li>
|
||
<li class="toctree-l1"><a class="reference internal" href="shuangsha.html">第9章 双鲨期权</a></li>
|
||
<li class="toctree-l1"><a class="reference internal" href="rangeaccrual.html">第10章 区间累积期权</a></li>
|
||
<li class="toctree-l1"><a class="reference internal" href="greeks.html">附录1:希腊值</a></li>
|
||
<li class="toctree-l1"><a class="reference internal" href="model.html">附录2:期权定价方法概述</a></li>
|
||
</ul>
|
||
|
||
</div>
|
||
</div>
|
||
</nav>
|
||
|
||
<section data-toggle="wy-nav-shift" class="wy-nav-content-wrap"><nav class="wy-nav-top" aria-label="Mobile navigation menu" >
|
||
<i data-toggle="wy-nav-top" class="fa fa-bars"></i>
|
||
<a href="index.html">OTC Manual</a>
|
||
</nav>
|
||
|
||
<div class="wy-nav-content">
|
||
<div class="rst-content">
|
||
<div role="navigation" aria-label="Page navigation">
|
||
<ul class="wy-breadcrumbs">
|
||
<li><a href="index.html" class="icon icon-home"></a> »</li>
|
||
<li>第4章 二元期权</li>
|
||
<li class="wy-breadcrumbs-aside">
|
||
<a href="_sources/binary.rst.txt" rel="nofollow"> </a>
|
||
</li>
|
||
</ul>
|
||
<hr/>
|
||
</div>
|
||
<div role="main" class="document" itemscope="itemscope" itemtype="http://schema.org/Article">
|
||
<div itemprop="articleBody">
|
||
|
||
<section id="id1">
|
||
<h1>第4章 二元期权<a class="headerlink" href="#id1" title="Permalink to this headline"></a></h1>
|
||
<p>二元期权是一种金融奇异期权,其到期收益要么是某个固定货币金额,要么为零。</p>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 15%" />
|
||
<col style="width: 16%" />
|
||
<col style="width: 68%" />
|
||
</colgroup>
|
||
<thead>
|
||
<tr class="row-odd"><th class="head"><p>行权方式</p></th>
|
||
<th class="head"><p>二元类型</p></th>
|
||
<th class="head"><p>定价模型及参考文献</p></th>
|
||
</tr>
|
||
</thead>
|
||
<tbody>
|
||
<tr class="row-even"><td><p>欧式</p></td>
|
||
<td><p>CashOrNothin</p></td>
|
||
<td><p>BSM;积分法;复制法;蒙特卡洛模拟</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td><p>AssetOrNothing</p></td>
|
||
<td><p>BSM;积分法;复制法;蒙特卡洛模拟</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>美式</p></td>
|
||
<td><p>UpOneTouch</p></td>
|
||
<td><p>Reiner Rubinstein(可参考文献 <a class="footnote-reference brackets" href="#f1" id="id2">1</a> Chapter4.19.5);积分法;蒙特卡洛模拟</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td><p>DownOneTouch</p></td>
|
||
<td><p>参考上述</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p></p></td>
|
||
<td><p>UpNoTouch</p></td>
|
||
<td><p>参考上述</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td><p>DownNoTouch</p></td>
|
||
<td><p>参考上述</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p></p></td>
|
||
<td><p>DoubleOneTouch</p></td>
|
||
<td><p>Antoon Pelsser;积分法;蒙特卡洛模拟</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td><p>DoubleNoTouch</p></td>
|
||
<td><p>Antoon Pelsser;积分法;蒙特卡洛模拟</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
<section id="id3">
|
||
<h2>4.1 二元期权收益<a class="headerlink" href="#id3" title="Permalink to this headline"></a></h2>
|
||
<section id="id4">
|
||
<h3>4.1.1 欧式二元期权到期收益结构<a class="headerlink" href="#id4" title="Permalink to this headline"></a></h3>
|
||
<section id="cash-or-nothing-binary-option">
|
||
<h4>1.cash-or-nothing binary option<a class="headerlink" href="#cash-or-nothing-binary-option" title="Permalink to this headline"></a></h4>
|
||
<img alt="_images/cash-or-nothingcalloption.png" class="align-center" src="_images/cash-or-nothingcalloption.png" />
|
||
<img alt="_images/cash-or-nothingputoption.png" class="align-center" src="_images/cash-or-nothingputoption.png" />
|
||
</section>
|
||
<section id="asset-or-nothing-binary-option">
|
||
<h4>2.asset-or-nothing binary option<a class="headerlink" href="#asset-or-nothing-binary-option" title="Permalink to this headline"></a></h4>
|
||
<img alt="_images/asset-or-nothingcalloptio.png" class="align-center" src="_images/asset-or-nothingcalloptio.png" />
|
||
<img alt="_images/asset-or-nothingputoption.png" class="align-center" src="_images/asset-or-nothingputoption.png" />
|
||
</section>
|
||
</section>
|
||
<section id="my-reference-label9">
|
||
<span id="id5"></span><h3>4.1.2 美式二元的期权类型及其收益说明<a class="headerlink" href="#my-reference-label9" title="Permalink to this headline"></a></h3>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 8%" />
|
||
<col style="width: 47%" />
|
||
<col style="width: 45%" />
|
||
</colgroup>
|
||
<thead>
|
||
<tr class="row-odd"><th class="head"><p>美式二元类型</p></th>
|
||
<th class="head"><p>收益条款简述</p></th>
|
||
<th class="head"><p>补偿情形</p></th>
|
||
</tr>
|
||
</thead>
|
||
<tbody>
|
||
<tr class="row-even"><td><p>UpOneTouch</p></td>
|
||
<td><p>在期权存续期,在指定的障碍观察日,如果标的价格大于障碍价格,则支付一笔固定的补偿金额或约定好的票息</p></td>
|
||
<td><p>①支付为一笔固定的补偿金额(支付金额无需年化,在系统内可选择按日离散观察或者连续观察)</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td><p>又称为Up-and-in cash(at-hit)-or-nothing</p></td>
|
||
<td><p>②支付的是约定好的票息[补偿金额为 <strong>年化票息</strong>,支付金额需在敲入日后将票息年化后计算,选择对应的补偿计息规则以及对应的观察频率(一般为按月观察)]</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>DownOneTouch</p></td>
|
||
<td><p>在期权存续期,在指定的障碍观察日,如果标的价格小于障碍价格,则支付一笔固定的补偿金额或约定好的票息</p></td>
|
||
<td><p>①支付为一笔固定的补偿金额(支付金额无需年化,在系统内可选择按日离散观察或者连续观察)</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td><p>又称为Down-and-in cash(at-hit) -or-nothing</p></td>
|
||
<td><p>②支付的是约定好的票息[补偿金额为 <strong>年化票息</strong>,支付金额需在敲入日后将票息年化后计算,选择对应的补偿计息规则以及对应的观察频率(一般为按月观察)]</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>UpNoTouch</p></td>
|
||
<td><p>在期权存续期,在指定的障碍观察日,如果标的价格都小于障碍价格,支付一笔固定的补偿金额</p></td>
|
||
<td><p>支付为一笔固定的补偿金额(支付金额无需年化,在系统内可选择按日离散观察或者连续观察)</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td><p>又称为Up-and-out cash(at-expiration)-or-nothing</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>DownNoTouch</p></td>
|
||
<td><p>在期权存续期,在指定的障碍观察日,如果标的价格都大于障碍价格,支付一笔固定的补偿金额</p></td>
|
||
<td><p>支付为一笔固定的补偿金额(支付金额无需年化,在系统内可选择按日离散观察或者连续观察)</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td><p>又称为Down-and-out cash(at-expiration)-or-nothing</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>DoubleOneTouch</p></td>
|
||
<td><p>在期权存续期,在指定的障碍观察日,如果标的价格向下越过低障碍价格或向上越过高障碍价格,支付一笔与约定障碍价格对应的固定的补偿金额或约定好的票息</p></td>
|
||
<td><p>①支付为一笔固定的补偿金额(支付金额无需年化,在系统内可选择按日离散观察或者连续观察)</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td><p>又称Up-in-down-in cash(at-hit)-or-nothing</p></td>
|
||
<td><p>②支付的是约定好的票息[补偿金额为 <strong>年化票息</strong>,支付金额需在敲入日后将票息年化后计算,选择对应的补偿计息规则以及对应的观察频率(一般为按月观察)]</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>DoubleNoTouch</p></td>
|
||
<td><p>在期权存续期,在指定的障碍观察日,如果标的价格在低障碍价格和高障碍价格之间,支付一笔固定的补偿金额</p></td>
|
||
<td><p>支付为一笔固定的补偿金额(支付金额无需年化,在系统内可选择按日离散观察或者连续观察)</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td><p>又称Up-out-down-out cash(at-expiration)-or-nothing</p></td>
|
||
<td></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
</section>
|
||
<section id="id6">
|
||
<h2>4.2 欧式二元期权定价<a class="headerlink" href="#id6" title="Permalink to this headline"></a></h2>
|
||
<section id="id7">
|
||
<h3>4.2.1 欧式二元期权示例<a class="headerlink" href="#id7" title="Permalink to this headline"></a></h3>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 62%" />
|
||
<col style="width: 38%" />
|
||
</colgroup>
|
||
<tbody>
|
||
<tr class="row-odd"><td><p>起始日</p></td>
|
||
<td><p>2021/2/1</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>到期日</p></td>
|
||
<td><p>2021/10/29</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>二元看跌</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>24.55</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>执行价格</p></td>
|
||
<td><p>24.55</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>到期收益</p></td>
|
||
<td><p>10</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
<section id="id8">
|
||
<h3>4.2.2 欧式二元期权定价条款录入<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->二元期权</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: 8%" />
|
||
<col style="width: 10%" />
|
||
<col style="width: 82%" />
|
||
</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>二元期权</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>公司卖出</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>看跌</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>交易日期</strong></p></td>
|
||
<td><p>2021/2/1</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>定价日期</p></td>
|
||
<td><p>2021/2/1</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>2021/10/29</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>结算日期</p></td>
|
||
<td><p>2021/10/29</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>期初标的价格</strong></p></td>
|
||
<td><p>24.55</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>24.55</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>24.55</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>40733.1976</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>有效成交数量</p></td>
|
||
<td><p>40733.1976</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>二元类型</strong></p></td>
|
||
<td><p>CashOrNothing</p></td>
|
||
<td><p><strong>有cash-or-nothing和asset-or-nothing两个选项,根据合约规定填写</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>补偿金额</strong></p></td>
|
||
<td><p>10</p></td>
|
||
<td><p><strong>只有在二元类型为“cash-or-nothing”时,才需要填写此项。</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td></td>
|
||
<td><p><strong>有数值(￥)和百分比(%)两种填写形式,此处为数值(￥),形态填写形式会自动和权利金保持同步,即若想更改填写形态,直接在权利金处更改。系统中,补偿金额为百分比(%)时,表示补偿金额/期初标的价格。</strong></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>33%</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><p>33%</p></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>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>定价方式</p></td>
|
||
<td><p>解析解(默认)</p></td>
|
||
<td></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
<section id="id9">
|
||
<h3>4.2.3 系统定价结果及其说明<a class="headerlink" href="#id9" title="Permalink to this headline"></a></h3>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 16%" />
|
||
<col style="width: 25%" />
|
||
<col style="width: 59%" />
|
||
</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>-250118.51</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>214.6873</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>1.2511</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>186.4664</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>103.8835</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>5827.0448</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>4.2.4 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: 33%" />
|
||
<col style="width: 35%" />
|
||
<col style="width: 33%" />
|
||
</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>欧式看涨期权</p></td>
|
||
<td><p>6.1404</p></td>
|
||
<td><p>6.14040951</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
<img alt="_images/DerivaGem.png" class="align-center" src="_images/DerivaGem.png" />
|
||
<img alt="_images/assetornothingDG.png" class="align-center" src="_images/assetornothingDG.png" />
|
||
</section>
|
||
<section id="id10">
|
||
<h3>4.2.5 本案例的定价参数对应到定价公式<a class="headerlink" href="#id10" title="Permalink to this headline"></a></h3>
|
||
<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=24.55</p></td>
|
||
<td><p>S=24.55</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>执行价格=24.55</p></td>
|
||
<td><p>X=24.55</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%,b=r-q</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>波动率=30%</p></td>
|
||
<td><p>σ=33%</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>补偿金额=10</p></td>
|
||
<td><p>K=10</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
</section>
|
||
<section id="uponetouch">
|
||
<span id="my-reference-label10"></span><h2>4.3 美式二元期权(UpOneTouch)<a class="headerlink" href="#uponetouch" title="Permalink to this headline"></a></h2>
|
||
<section id="my-reference-label12">
|
||
<span id="id11"></span><h3>4.3.1 支付固定补偿金额的情形<a class="headerlink" href="#my-reference-label12" title="Permalink to this headline"></a></h3>
|
||
<section id="id12">
|
||
<h4>1.定价案例<a class="headerlink" href="#id12" title="Permalink to this headline"></a></h4>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 27%" />
|
||
<col style="width: 73%" />
|
||
</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>二元期权</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>执行价格</p></td>
|
||
<td><p>100</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>到期收益</p></td>
|
||
<td><p>10%</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td><p>此处补偿金表示固定的补偿金额,即在任何敲出情况下支付金额为100*10%</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>障碍观察日</p></td>
|
||
<td><p>每天</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>敲入赔付</p></td>
|
||
<td><p>若期间标的价格大于执行价格,则到期获得固定现金额</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
<section id="id13">
|
||
<h4>2.条款录入<a class="headerlink" href="#id13" title="Permalink to this headline"></a></h4>
|
||
<p><strong>定价路径：报价管理->期权定价->新增单腿->二元期权</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: 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>公司卖出</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><strong>行权方式</strong></p></td>
|
||
<td><p><strong>美式</strong></p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>交易日期</strong></p></td>
|
||
<td><p>2021/1/4</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><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-odd"><td><p><strong>到期日期</strong></p></td>
|
||
<td><p>2021/12/27</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>结算日期</p></td>
|
||
<td><p>2021/12/27</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>期初标的价格</strong></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-even"><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-odd"><td><p><strong>执行价格</strong></p></td>
|
||
<td><p>100</p></td>
|
||
<td><p><strong>即障碍价格</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-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>10000</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>有效成交数量</p></td>
|
||
<td><p>10000</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>二元类型</strong></p></td>
|
||
<td><p>UpOneTouch</p></td>
|
||
<td><p><strong>共6类可选:UpOneTouch,DownOneTouch,UpNoTouch,DownNoTouch,DoubleOneTouch,DoubleNoTouch,每类具体含义详情请参考</strong> <a class="reference internal" href="#my-reference-label9"><span class="std std-ref">4.1.2 美式二元的期权类型及其收益说明</span></a></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>补偿金额</strong></p></td>
|
||
<td><p>10%</p></td>
|
||
<td><p><strong>此处补偿金表示固定的补偿金额,即在任何敲出情况下支付金额为100*10%。支付价格=有效名义本金*补偿金额(%)</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>观察方式</strong></p></td>
|
||
<td><p>离散</p></td>
|
||
<td><p><strong>有“离散”、“连续”两个选项</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p></p></td>
|
||
<td></td>
|
||
<td><p><strong>离散：在每一个观察日只观察当日的收盘价,离散观察情况下,默认为按日观察</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td></td>
|
||
<td><p><strong>连续：在每一个观察日实时观察盘中的数据,设置为连续时观察频率不起作用</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><strong>有“立即”、“递延”两个选项</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>补偿按敲出日年化</strong></p></td>
|
||
<td><p>否</p></td>
|
||
<td><p><strong>固定补偿金额填否,票息率填是</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>补偿计息规则</strong></p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>观察频率</strong></p></td>
|
||
<td><p>每一天</p></td>
|
||
<td><p><strong>离散观察情况下,默认为按日观察;可以通过弹出的编辑窗口手动调整具体的观察日。</strong></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>目标波动率</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></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>
|
||
<section id="id14">
|
||
<h4>3.系统定价结果及其说明<a class="headerlink" href="#id14" 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>-94135.25</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>-34.3822</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>-0.2604</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>6.9841</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>-1.9621</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>801.4019</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="id15">
|
||
<h4>4.本案例的定价参数对应到定价公式<a class="headerlink" href="#id15" 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>H=100 (障碍价格)</p></td>
|
||
</tr>
|
||
<tr class="row-even"><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-odd"><td><p>无风险利率=2%</p></td>
|
||
<td><p>r=2%</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>分红率=5%</p></td>
|
||
<td><p>q=5%,b=r-q</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>波动率=30%</p></td>
|
||
<td><p>σ=30%</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>补偿金额=10%</p></td>
|
||
<td><p>K=100*10%</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
</section>
|
||
<section id="id16">
|
||
<h3>4.3.2 支付固定票息的情形<a class="headerlink" href="#id16" title="Permalink to this headline"></a></h3>
|
||
<section id="id17">
|
||
<h4>1.定价示例<a class="headerlink" href="#id17" title="Permalink to this headline"></a></h4>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 20%" />
|
||
<col style="width: 80%" />
|
||
</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>二元期权</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>执行价格</p></td>
|
||
<td><p>100</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>到期收益</p></td>
|
||
<td><p>10%</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td><p>此处补偿金为 <strong>年化票息</strong>,支付的补偿金额需要根据在敲出日后将票息进行年化计算(按自然日/365年化)</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>障碍观察日</p></td>
|
||
<td><p>每月</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>敲入赔付</p></td>
|
||
<td><p>当标的价格大于执行价格时获得固定现金额</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
<section id="id18">
|
||
<h4>2.条款录入<a class="headerlink" href="#id18" title="Permalink to this headline"></a></h4>
|
||
<p><strong>定价路径：报价管理->期权定价->新增单腿->二元期权</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: 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>公司卖出</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><strong>行权方式</strong></p></td>
|
||
<td><p>美式</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>交易日期</strong></p></td>
|
||
<td><p>2021/1/4</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><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-odd"><td><p><strong>到期日期</strong></p></td>
|
||
<td><p>2021/12/27</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>结算日期</p></td>
|
||
<td><p>2021/12/27</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>期初标的价格</strong></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-even"><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-odd"><td><p><strong>执行价格</strong></p></td>
|
||
<td><p>100</p></td>
|
||
<td><p><strong>即障碍价格</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-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>10000</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>有效成交数量</p></td>
|
||
<td><p>10000</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>二元类型</strong></p></td>
|
||
<td><p>UpOneTouch</p></td>
|
||
<td><p><strong>共6类可选:UpOneTouch,DownOneTouch,UpNoTouch,DownNoTouch,DoubleOneTouch,DoubleNoTouch,每类具体含义详情请参考 :ref:`my-reference-label9`</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>补偿金额</strong></p></td>
|
||
<td><p>10%</p></td>
|
||
<td><p><strong>此处补偿金为年化票息,支付的补偿金额需要根据在敲出日后将票息进行年化计算,支付价格=有效名义本金*补偿金额(%)*(存续自然日/365)</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>观察方式</strong></p></td>
|
||
<td></td>
|
||
<td><p><strong>当观察频率一栏中指定了具体观察日时,此字段无效</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p></p></td>
|
||
<td></td>
|
||
<td><p><strong>离散：在每一个观察日只观察当日的收盘价,离散观察情况下,默认为按日观察</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td></td>
|
||
<td><p><strong>连续：在每一个观察日实时观察盘中的数据,设置为连续时观察频率不起作用</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>补偿支付</strong></p></td>
|
||
<td><p>立即</p></td>
|
||
<td><p><strong>有“立即”、“递延”两个选项</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>补偿按敲出日年化</strong></p></td>
|
||
<td><p>是</p></td>
|
||
<td><p><strong>固定补偿金额填否,票息率填是</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>补偿计息规则</strong></p></td>
|
||
<td><p>Act365</p></td>
|
||
<td><p><strong>支付的补偿金额需要根据在敲出日后将票息进行年化计算(按自然日/365年化)</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>观察频率</strong></p></td>
|
||
<td><p>每1月</p></td>
|
||
<td><p><strong>当支付补偿为票息时,一般观察频率为按月观察;可以通过弹出的编辑窗口手动调整具体的观察日。</strong></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>
|
||
<section id="id19">
|
||
<h4>3.系统定价结果及其说明<a class="headerlink" href="#id19" 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>-13650.49</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>6.8025</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>0.0836</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>6.2668</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>-7.6819</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>-72.7899</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>
|
||
<section id="downonetouch">
|
||
<h2>4.4 美式二元期权(DownOneTouch)<a class="headerlink" href="#downonetouch" title="Permalink to this headline"></a></h2>
|
||
<div class="admonition note">
|
||
<p class="admonition-title">Note</p>
|
||
<p>期权收益条款说明详情请参考 <a class="reference internal" href="#my-reference-label9"><span class="std std-ref">4.1.2 美式二元的期权类型及其收益说明</span></a></p>
|
||
<p>DownOneTouch 的定价过程可参考 <a class="reference internal" href="#my-reference-label10"><span class="std std-ref">4.3 美式二元期权(UpOneTouch)</span></a></p>
|
||
</div>
|
||
</section>
|
||
<section id="upnotouch">
|
||
<h2>4.5 美式二元期权(UpNoTouch)<a class="headerlink" href="#upnotouch" title="Permalink to this headline"></a></h2>
|
||
<div class="admonition note">
|
||
<p class="admonition-title">Note</p>
|
||
<p>期权收益条款说明详情请参考 <a class="reference internal" href="#my-reference-label9"><span class="std std-ref">4.1.2 美式二元的期权类型及其收益说明</span></a></p>
|
||
<p>UpNoTouch 的定价过程可参考 <a class="reference internal" href="#my-reference-label12"><span class="std std-ref">4.3.1 支付固定补偿金额的情形</span></a></p>
|
||
</div>
|
||
</section>
|
||
<section id="downnotouch">
|
||
<h2>4.6 美式二元期权(DownNoTouch)<a class="headerlink" href="#downnotouch" title="Permalink to this headline"></a></h2>
|
||
<div class="admonition note">
|
||
<p class="admonition-title">Note</p>
|
||
<p>期权收益条款说明详情请参考 <a class="reference internal" href="#my-reference-label9"><span class="std std-ref">4.1.2 美式二元的期权类型及其收益说明</span></a></p>
|
||
<p>UpNoTouch 的定价过程可参考上节 <a class="reference internal" href="#my-reference-label12"><span class="std std-ref">4.3.1 支付固定补偿金额的情形</span></a></p>
|
||
</div>
|
||
</section>
|
||
<section id="doubleonetouch">
|
||
<h2>4.7 美式二元期权(DoubleOneTouch)<a class="headerlink" href="#doubleonetouch" title="Permalink to this headline"></a></h2>
|
||
<section id="id20">
|
||
<h3>4.7.1 支付固定补偿金额的情形<a class="headerlink" href="#id20" title="Permalink to this headline"></a></h3>
|
||
<section id="id21">
|
||
<h4>1.定价案例<a class="headerlink" href="#id21" title="Permalink to this headline"></a></h4>
|
||
<table class="docutils align-default">
|
||
<colgroup>
|
||
<col style="width: 35%" />
|
||
<col style="width: 65%" />
|
||
</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>二元期权</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>高障碍价格</p></td>
|
||
<td><p>120</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>低障碍价格</p></td>
|
||
<td><p>80</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>低障碍补偿支付</p></td>
|
||
<td><p>10%</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>高障碍补偿支付</p></td>
|
||
<td><p>10%</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>障碍观察日</p></td>
|
||
<td><p>每天</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>敲入赔付</p></td>
|
||
<td><p>若期间越过低障碍或高障碍价格,获得固定现金额</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
<section id="id22">
|
||
<h4>2.条款录入<a class="headerlink" href="#id22" title="Permalink to this headline"></a></h4>
|
||
<p><strong>定价路径：报价管理->期权定价->新增单腿->二元期权</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: 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>公司卖出</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><strong>行权方式</strong></p></td>
|
||
<td><p>美式</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>交易日期</strong></p></td>
|
||
<td><p>2021/1/4</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><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-odd"><td><p><strong>到期日期</strong></p></td>
|
||
<td><p>2021/12/27</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>结算日期</p></td>
|
||
<td><p>2021/12/27</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>期初标的价格</strong></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-even"><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-odd"><td><p><strong>执行价格</strong></p></td>
|
||
<td><p>80</p></td>
|
||
<td><p><strong>表示低障碍价格</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-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>10000</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>有效成交数量</p></td>
|
||
<td><p>10000</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>二元类型</strong></p></td>
|
||
<td><p><strong>DoubleOneTouch</strong></p></td>
|
||
<td><p><strong>共6类可选:UpOneTouch,DownOneTouch,UpNoTouch,DownNoTouch,DoubleOneTouch,DoubleNoTouch,每类具体含义详情请参考 :ref:`my-reference-label9`</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>补偿金额</strong></p></td>
|
||
<td><p>10%</p></td>
|
||
<td><p><strong>表示低障碍补偿金额</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>高障碍价格</strong></p></td>
|
||
<td><p>120</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>高障碍补偿金额</strong></p></td>
|
||
<td><p>10%</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>观察方式</strong></p></td>
|
||
<td><p>离散</p></td>
|
||
<td><p><strong>有“离散”、“连续”两个选项，</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p></p></td>
|
||
<td></td>
|
||
<td><p><strong>离散：在每一个观察日只观察当日的收盘价,离散观察情况下,默认为按日观察，</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p></p></td>
|
||
<td></td>
|
||
<td><p><strong>连续：在每一个观察日实时观察盘中的数据,设置为连续时观察频率不起作用。</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>补偿支付</strong></p></td>
|
||
<td><p>立即</p></td>
|
||
<td><p>有“立即”、“递延”两个选项</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>补偿按敲出日年化</strong></p></td>
|
||
<td><p>否</p></td>
|
||
<td><p><strong>固定补偿金额填否,票息率填是</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>补偿计息规则</strong></p></td>
|
||
<td></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>观察频率</strong></p></td>
|
||
<td><p>每一天</p></td>
|
||
<td><p><strong>离散观察情况下,默认为按日观察;可以通过弹出的编辑窗口手动调整具体的观察日。</strong></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>
|
||
<section id="id23">
|
||
<h4>3.系统定价结果及其说明<a class="headerlink" href="#id23" 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>-88304.47</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>-0.330</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>-0.630</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>-1707.664</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>109.147</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>402.392</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 id="id24">
|
||
<h3>4.7.2 支付固定票息的情形<a class="headerlink" href="#id24" title="Permalink to this headline"></a></h3>
|
||
<section id="id25">
|
||
<h4>1.定价案例<a class="headerlink" href="#id25" title="Permalink to this headline"></a></h4>
|
||
<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>二元期权</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>高障碍价格</p></td>
|
||
<td><p>120</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>低障碍价格</p></td>
|
||
<td><p>80</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>低障碍补偿支付</p></td>
|
||
<td><p>10%（年化票息）</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>高障碍补偿支付</p></td>
|
||
<td><p>10%（年化票息）</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>障碍观察日</p></td>
|
||
<td><p>每月</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>敲入赔付</p></td>
|
||
<td><p>若期间越过低障碍或高障碍价格,获得一笔固定票息</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
<section id="id26">
|
||
<h4>2.条款录入<a class="headerlink" href="#id26" title="Permalink to this headline"></a></h4>
|
||
<p><strong>定价路径：报价管理->期权定价->新增单腿->二元期权</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: 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>公司卖出</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><strong>行权方式</strong></p></td>
|
||
<td><p>美式</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>交易日期</strong></p></td>
|
||
<td><p>2021/1/4</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><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-odd"><td><p><strong>到期日期</strong></p></td>
|
||
<td><p>2021/12/27</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>结算日期</p></td>
|
||
<td><p>2021/12/27</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>期初标的价格</strong></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-even"><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-odd"><td><p><strong>执行价格</strong></p></td>
|
||
<td><p>80</p></td>
|
||
<td><p><strong>表示低障碍价格</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-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>10000</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>有效成交数量</p></td>
|
||
<td><p>10000</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>二元类型</strong></p></td>
|
||
<td><p><strong>DoubleOneTouch</strong></p></td>
|
||
<td><p><strong>共6类可选:UpOneTouch,DownOneTouch,UpNoTouch,DownNoTouch,DoubleOneTouch,DoubleNoTouch,每类具体含义详情请参考 :ref:`my-reference-label9`</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>补偿金额</strong></p></td>
|
||
<td><p>10%</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>高障碍价格</strong></p></td>
|
||
<td><p>120</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>高障碍补偿金额</strong></p></td>
|
||
<td><p>10%</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>观察方式</strong></p></td>
|
||
<td></td>
|
||
<td><p><strong>当观察频率一栏中指定了具体观察日时,此字段无效</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>补偿支付</strong></p></td>
|
||
<td><p>立即</p></td>
|
||
<td><p>有“立即”、“递延”两个选项，根据合约规定填写</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>补偿按敲出日年化</strong></p></td>
|
||
<td><p>是</p></td>
|
||
<td><p><strong>固定补偿金额填否,票息率填是</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>补偿计息规则</strong></p></td>
|
||
<td><p>Act365</p></td>
|
||
<td><p><strong>支付的补偿金额需要根据在敲出日后将票息进行年化计算(按自然日/365年化)</strong></p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>观察频率</strong></p></td>
|
||
<td><p>每1月</p></td>
|
||
<td><p><strong>当支付补偿为票息时,一般观察频率为按月观察;可以通过弹出的编辑窗口手动调整具体的观察日。</strong></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>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-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>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-odd"><td><p>分红率</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>TTM(Days)</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>
|
||
<section id="id27">
|
||
<h4>3.系统定价结果及其说明<a class="headerlink" href="#id27" 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>-36984.16</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>0.8057</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>0.8811</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>-175.5644</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>-162.2889</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>289.8001</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>
|
||
<section id="doublenotouch">
|
||
<h2>4.8 美式二元期权(DoubleNoTouch)<a class="headerlink" href="#doublenotouch" title="Permalink to this headline"></a></h2>
|
||
<section id="id28">
|
||
<h3>1.定价案例<a class="headerlink" href="#id28" 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>2021/1/4</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>二元期权</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>高障碍价格</p></td>
|
||
<td><p>120</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>低障碍价格</p></td>
|
||
<td><p>80</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>补偿支付</p></td>
|
||
<td><p>10%</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p></p></td>
|
||
<td><p>此处补偿金表示固定的补偿金额,即在到期前未发生敲入也未敲出的情况下补偿金额为100*10%=10</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>障碍观察日</p></td>
|
||
<td><p>连续观察</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>敲入赔付</p></td>
|
||
<td><p>若期间从未触碰任一障碍价格,到期获得固定现金额,否则不能获得</p></td>
|
||
</tr>
|
||
</tbody>
|
||
</table>
|
||
</section>
|
||
<section id="id29">
|
||
<h3>2.条款录入<a class="headerlink" href="#id29" 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->二元期权</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: 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>公司卖出</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><strong>行权方式</strong></p></td>
|
||
<td><p>美式</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>交易日期</strong></p></td>
|
||
<td><p>2021/1/4</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><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-odd"><td><p><strong>到期日期</strong></p></td>
|
||
<td><p>2021/12/27</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p>结算日期</p></td>
|
||
<td><p>2021/12/27</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>期初标的价格</strong></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-even"><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-odd"><td><p><strong>执行价格</strong></p></td>
|
||
<td><p>80</p></td>
|
||
<td><p><strong>表示低障碍价格</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-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>10000</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p>有效成交数量</p></td>
|
||
<td><p>10000</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>二元类型</strong></p></td>
|
||
<td><p>DoubleNoTouch</p></td>
|
||
<td><p><strong>共6类可选:UpOneTouch,DownOneTouch,UpNoTouch,DownNoTouch,DoubleOneTouch,DoubleNoTouch,每类具体含义详情请参考 :ref:`my-reference-label9`</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>补偿金额</strong></p></td>
|
||
<td><p>10%</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>高障碍价格</strong></p></td>
|
||
<td><p>120</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><strong>观察方式</strong></p></td>
|
||
<td><p>连续</p></td>
|
||
<td></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>补偿支付</strong></p></td>
|
||
<td><p>递延</p></td>
|
||
<td><p><strong>二元类型为DoubleNoTouch时,若期间从未触碰任一障碍价格,到期获得固定现金额</strong></p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>补偿按敲出日年化</strong></p></td>
|
||
<td></td>
|
||
<td><p>无需填写</p></td>
|
||
</tr>
|
||
<tr class="row-odd"><td><p><strong>补偿计息规则</strong></p></td>
|
||
<td></td>
|
||
<td><p>无需填写</p></td>
|
||
</tr>
|
||
<tr class="row-even"><td><p><strong>观察频率</strong></p></td>
|
||
<td></td>
|
||
<td><p>连续观察下，此字段不起作用无需填写</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></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>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-odd"><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-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="id30">
|
||
<h3>3.系统定价结果及其说明<a class="headerlink" href="#id30" 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>-51013.52</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>-24.0615</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>0.1749</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>711.7748</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>-58.5794</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>-499.6372</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"><a class="fn-backref" href="#id2">1</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="asian.html" class="btn btn-neutral float-left" title="第3章 亚式期权" accesskey="p" rel="prev"><span class="fa fa-arrow-circle-left" aria-hidden="true"></span> Previous</a>
|
||
<a href="barrier.html" class="btn btn-neutral float-right" title="第5章 障碍期权" accesskey="n" rel="next">Next <span class="fa fa-arrow-circle-right" aria-hidden="true"></span></a>
|
||
</div>
|
||
|
||
<hr/>
|
||
|
||
<div role="contentinfo">
|
||
<p>© Copyright YieldChain OTC_Manual.</p>
|
||
</div>
|
||
|
||
Built with <a href="https://www.sphinx-doc.org/">Sphinx</a> using a
|
||
<a href="https://github.com/readthedocs/sphinx_rtd_theme">theme</a>
|
||
provided by <a href="https://readthedocs.org">Read the Docs</a>.
|
||
|
||
|
||
</footer>
|
||
</div>
|
||
</div>
|
||
</section>
|
||
</div>
|
||
<script>
|
||
jQuery(function () {
|
||
SphinxRtdTheme.Navigation.enable(true);
|
||
});
|
||
</script>
|
||
|
||
</body>
|
||
</html> |