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<li class="toctree-l1"><a class="reference internal" href="system%20settings.html">第0章 与定价相关的系统全局设置</a></li>
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<li class="toctree-l1"><a class="reference internal" href="european.html">第1章 欧式期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="american.html">第2章 美式期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="asian.html">第3章 亚式期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="binary.html">第4章 二元期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="barrier.html">第5章 障碍期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="snowball.html">第6章 雪球期权</a></li>
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<li class="toctree-l1 current"><a class="current reference internal" href="#">第7章 凤凰期权</a><ul>
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<li class="toctree-l2"><a class="reference internal" href="#id2">7.1 凤凰结构</a></li>
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<li class="toctree-l2"><a class="reference internal" href="#id3">7.2 定价演示</a><ul>
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<li class="toctree-l3"><a class="reference internal" href="#id4">7.2.1 凤凰期权示例</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#id5">7.2.2 期权条款录入</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#id6">7.2.3 系统定价结果及其说明</a></li>
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<li class="toctree-l3"><a class="reference internal" href="#my-reference-label14">7.2.4 自定义观察日的设置</a></li>
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</ul>
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</li>
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</ul>
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</li>
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<li class="toctree-l1"><a class="reference internal" href="airbag.html">第8章 气囊结构</a></li>
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<li class="toctree-l1"><a class="reference internal" href="shuangsha.html">第9章 双鲨期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="rangeaccrual.html">第10章 区间累积期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="greeks.html">附录1:希腊值</a></li>
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<li class="toctree-l1"><a class="reference internal" href="model.html">附录2:期权定价方法概述</a></li>
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<li>第7章 凤凰期权</li>
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<a href="_sources/phoenix.rst.txt" rel="nofollow"> </a>
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<section id="id1">
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<h1>第7章 凤凰期权<a class="headerlink" href="#id1" title="Permalink to this headline"></a></h1>
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<p>凤凰期权定价模型系统支持积分法（默认）和蒙特卡洛模拟方法。</p>
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<section id="id2">
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<h2>7.1 凤凰结构<a class="headerlink" href="#id2" title="Permalink to this headline"></a></h2>
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<table class="docutils align-default">
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<col style="width: 14%" />
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<col style="width: 25%" />
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<col style="width: 61%" />
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<thead>
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<tr class="row-odd"><th class="head"><p>结构单元</p></th>
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<th class="head"><p>结构要素</p></th>
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<th class="head"><p>说明</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>敲出条款</p></td>
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<td><p>敲出方向</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p></p></td>
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<td><p>敲出障碍价格</p></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p></p></td>
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<td><p>敲出观察日</p></td>
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<td><p>一般为按月观察</p></td>
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</tr>
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<tr class="row-odd"><td><p>敲入条款</p></td>
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<td><p>敲入方向</p></td>
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<td><p>敲入方向和敲出方向是成对出现的，向上敲出向下敲入或者向下敲出向上敲入</p></td>
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</tr>
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<tr class="row-even"><td><p></p></td>
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<td><p>敲入障碍价格</p></td>
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<td></td>
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<tr class="row-odd"><td><p></p></td>
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<td><p>敲入观察日</p></td>
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<td><p>美式（按日观察）；欧式（到期观察）</p></td>
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</tr>
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<tr class="row-even"><td><p></p></td>
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<td><p>敲入到期后的赔付类型</p></td>
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<td><p>敲入且未敲出到期以后，凤凰结构持有者需按敲入到期后的赔付类型产生赔付，一般是-Max(K-ST,0)</p></td>
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</tr>
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<tr class="row-odd"><td><p>票息条款</p></td>
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<td><p>票息支付日期</p></td>
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<td><p>票息支付日一般与敲出观察日相同，也可以不同</p></td>
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</tr>
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<tr class="row-even"><td><p></p></td>
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<td><p>票息障碍价格</p></td>
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<td><p>一般同敲入障碍价格，也可不同</p></td>
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</tr>
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<tr class="row-odd"><td><p></p></td>
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<td><p>票息形式</p></td>
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<td><p>一般是一笔年化票息收益</p></td>
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</tr>
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</tbody>
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</table>
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<p><strong>凤凰结构对应系统字段</strong></p>
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<col style="width: 21%" />
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<col style="width: 39%" />
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<col style="width: 40%" />
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</colgroup>
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<thead>
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<tr class="row-odd"><th class="head"><p>结构单元</p></th>
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<th class="head"><p>系统字段</p></th>
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<th class="head"><p>填写选项/内容</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></p></td>
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<td><p>看涨看跌</p></td>
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<td><p>看涨：向上敲出向下敲入</p></td>
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</tr>
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<tr class="row-odd"><td><p></p></td>
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<td></td>
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<td><p>看跌：向下敲出向上敲入</p></td>
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</tr>
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<tr class="row-even"><td><p>敲出条款</p></td>
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<td><p>敲出障碍价格</p></td>
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<td><p>有百分比或绝对值两种形式可填</p></td>
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</tr>
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<tr class="row-odd"><td><p></p></td>
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<td><p>敲出观察频率</p></td>
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<td><p>详情可见 <a class="reference internal" href="#my-reference-label14"><span class="std std-ref">7.2.4 自定义观察日的设置</span></a></p></td>
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</tr>
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<tr class="row-even"><td><p>敲入条款</p></td>
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<td><p>敲入观察频率</p></td>
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<td><p>详情可见 <a class="reference internal" href="#my-reference-label14"><span class="std std-ref">7.2.4 自定义观察日的设置</span></a></p></td>
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</tr>
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<tr class="row-odd"><td><p></p></td>
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<td><p>敲入障碍价格</p></td>
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<td><p>有百分比、绝对值两种形式可填</p></td>
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</tr>
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<tr class="row-even"><td><p></p></td>
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<td><p>敲入到期是否支付票息</p></td>
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<td><p>是</p></td>
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</tr>
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<tr class="row-odd"><td><p></p></td>
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<td><p>敲入到期支付类别</p></td>
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<td><p>敲入转看跌/敲入转熊市价差</p></td>
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</tr>
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<tr class="row-even"><td><p></p></td>
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<td><p>敲入行权价</p></td>
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<td></td>
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</tr>
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<tr class="row-odd"><td><p></p></td>
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<td><p>封顶/封底行权价</p></td>
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<td><p>敲入转价差时才会出现此条款字段</p></td>
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</tr>
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<tr class="row-even"><td><p>票息条款</p></td>
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<td><p>票息年化</p></td>
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<td><p>是/否，一般为一笔年化票息</p></td>
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</tr>
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<tr class="row-odd"><td><p></p></td>
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<td><p>票息率</p></td>
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<td></td>
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</tr>
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<tr class="row-even"><td><p></p></td>
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<td><p>票息障碍价格</p></td>
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<td><p>一般同敲入障碍价格</p></td>
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</tr>
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<tr class="row-odd"><td><p></p></td>
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<td><p>票息日历规则</p></td>
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<td><p>一般为Act365</p></td>
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</tr>
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<tr class="row-even"><td><p></p></td>
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<td><p>票息包含首日</p></td>
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<td><p>是/否</p></td>
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</tr>
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<tr class="row-odd"><td><p></p></td>
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<td><p>票息结算方式</p></td>
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<td><p>产生时支付/敲出时支付/期末支付</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="id3">
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<h2>7.2 定价演示<a class="headerlink" href="#id3" title="Permalink to this headline"></a></h2>
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<section id="id4">
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<h3>7.2.1 凤凰期权示例<a class="headerlink" href="#id4" 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: 25%" />
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<col style="width: 75%" />
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</colgroup>
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<tbody>
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<tr class="row-odd"><td><p>标的代码</p></td>
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<td><p>000905.SH中证500</p></td>
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</tr>
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<tr class="row-even"><td><p>期初标的价格</p></td>
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<td><p>100</p></td>
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</tr>
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<tr class="row-odd"><td><p>期限</p></td>
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<td><p>12个月</p></td>
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</tr>
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<tr class="row-even"><td><p>敲出障碍</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>敲入障碍</p></td>
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<td><p>70%</p></td>
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</tr>
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<tr class="row-even"><td><p>票息障碍</p></td>
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<td><p>70%</p></td>
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</tr>
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<tr class="row-odd"><td><p>票息率</p></td>
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<td><p>2.5%/月（绝对）</p></td>
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</tr>
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<tr class="row-even"><td><p>月度派息事件</p></td>
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<td><p>在任何一个月度观察日,挂钩标的收盘价/期初价格高于票息障碍（如约定为期初价格的70%）,则可以进行派息</p></td>
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</tr>
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<tr class="row-odd"><td><p>敲出事件</p></td>
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<td><p>对标的收盘价每月观察一次,在任意敲出观察日,挂钩标的当日收盘价格/期初价格高于敲出障碍</p></td>
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</tr>
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<tr class="row-even"><td><p>敲入事件</p></td>
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<td><p>对标的收盘价每日观察一次,在任意敲入观察日,挂钩标的当日收盘价格/期初价格低于敲入障碍</p></td>
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</tr>
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<tr class="row-odd"><td><p>投资收益</p></td>
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<td><p>敲出：提前结束,票息率*有效月数</p></td>
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</tr>
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<tr class="row-even"><td><p></p></td>
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<td><p>发生派息：票息率*有效月数</p></td>
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</tr>
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<tr class="row-odd"><td><p></p></td>
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<td><p>未敲出且未敲入：票息率*有效月数</p></td>
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</tr>
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<tr class="row-even"><td><p></p></td>
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<td><p>未敲出但有敲入：票息率*有效月数,并承担标的下跌的损失</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="id5">
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<h3>7.2.2 期权条款录入<a class="headerlink" href="#id5" title="Permalink to this headline"></a></h3>
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<p><strong>1. 为提升定价结果的计算速度，凤凰期权定价时默认不计算所有Greeks值，如需计算所有Greeks值，则需在定价前自行选择，路径：报价管理->期权定价->选项 ->计算凤凰和雪球的所有Greeks值</strong></p>
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<img alt="_images/雪球-凤凰.png" class="align-left" src="_images/雪球-凤凰.png" />
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<p><strong>2. 定价路径：报价管理->期权定价->新增单腿->凤凰期权</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="admonition note">
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<p class="admonition-title">Note</p>
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<ol class="arabic simple">
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<li><p>本次定价案例中我们采用一年按 244 个交易日计算的交易日规则,具体设置请参考 <a class="reference internal" href="system%20settings.html#my-reference-label1"><span class="std std-ref">0.1 定价参数</span></a>.</p></li>
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<li><p>系统结构条款录入请按以下表格对应的字段进行填写,并注意备注中的相关说明。 <strong>本表中未说明的字段,则是试定价非必要字段或无须修改的字段,具体请参考</strong> <a class="reference internal" href="system%20settings.html#my-reference-label2"><span class="std std-ref">0.2 公共定价字段</span></a>.</p></li>
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</ol>
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</div>
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<table class="docutils align-default">
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<colgroup>
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<col style="width: 12%" />
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<col style="width: 12%" />
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<col style="width: 76%" />
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</colgroup>
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<thead>
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<tr class="row-odd"><th class="head"><p>系统字段</p></th>
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<th class="head"><p>录入内容</p></th>
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<th class="head"><p>备注</p></th>
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</tr>
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</thead>
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<tbody>
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<tr class="row-even"><td><p><strong>标的代码</strong></p></td>
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<td><p>000905.SH中证500</p></td>
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<td></td>
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</tr>
|
|
<tr class="row-odd"><td><p><strong>交易方向</strong></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><strong>看涨看跌</strong></p></td>
|
|
<td><p>看涨</p></td>
|
|
<td><p>看涨,即向上敲出,向下敲入</p></td>
|
|
</tr>
|
|
<tr class="row-odd"><td><p></p></td>
|
|
<td></td>
|
|
<td><p>看跌,即向上敲入,向下敲出</p></td>
|
|
</tr>
|
|
<tr class="row-even"><td><p><strong>交易日期</strong></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><strong>到期日期</strong></p></td>
|
|
<td><p>2021/12/31</p></td>
|
|
<td></td>
|
|
</tr>
|
|
<tr class="row-odd"><td><p>结算日期</p></td>
|
|
<td><p>2021/12/31</p></td>
|
|
<td></td>
|
|
</tr>
|
|
<tr class="row-even"><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-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>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点</p></td>
|
|
<td></td>
|
|
</tr>
|
|
<tr class="row-even"><td><p>有效成交数量</p></td>
|
|
<td><p>10000点</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>票息年化</strong></p></td>
|
|
<td><p>否</p></td>
|
|
<td><p>必选,选择“是”,票息率填写年化值；选择“否”,填写绝对值。此处选择“否”</p></td>
|
|
</tr>
|
|
<tr class="row-odd"><td><p><strong>票息率</strong></p></td>
|
|
<td><p>2.5%</p></td>
|
|
<td><p>必填,此处填写“2.5%”（绝对票息，非年化）</p></td>
|
|
</tr>
|
|
<tr class="row-even"><td><p><strong>票息障碍价格</strong></p></td>
|
|
<td><p>70%</p></td>
|
|
<td><p>必填,“百分比” 、“绝对值”可切换,此处填写“70%”</p></td>
|
|
</tr>
|
|
<tr class="row-odd"><td><p><strong>票息日历规则</strong></p></td>
|
|
<td><p>Act365</p></td>
|
|
<td><p>必选,此处选择“Act365”</p></td>
|
|
</tr>
|
|
<tr class="row-even"><td><p>票息包含首日</p></td>
|
|
<td><p>否</p></td>
|
|
<td></td>
|
|
</tr>
|
|
<tr class="row-odd"><td><p><strong>票息结算方式</strong></p></td>
|
|
<td><p>产生时支付</p></td>
|
|
<td><p>必选,“产生时支付”或“敲出时支付”或“期末支付”,不影响定价结果</p></td>
|
|
</tr>
|
|
<tr class="row-even"><td><p><strong>敲出障碍价格</strong></p></td>
|
|
<td><p>100%</p></td>
|
|
<td><p>必填,“百分比” 、“绝对值”可切换,此处填写“100%”</p></td>
|
|
</tr>
|
|
<tr class="row-odd"><td><p><strong>敲出观察频率</strong></p></td>
|
|
<td><p>每1月</p></td>
|
|
<td><p>可自定义,此处选择按月生成观察日 <a class="reference internal" href="#my-reference-label14"><span class="std std-ref">7.2.4 自定义观察日的设置</span></a></p></td>
|
|
</tr>
|
|
<tr class="row-even"><td><p><strong>敲入观察频率</strong></p></td>
|
|
<td><p>每1天</p></td>
|
|
<td><p>可自定义,默认“每日观察” <a class="reference internal" href="#my-reference-label14"><span class="std std-ref">7.2.4 自定义观察日的设置</span></a></p></td>
|
|
</tr>
|
|
<tr class="row-odd"><td><p><strong>敲入观察价格</strong></p></td>
|
|
<td><p>70%</p></td>
|
|
<td><p>必填,“百分比” 、“绝对值”可切换,此处填写“70%”</p></td>
|
|
</tr>
|
|
<tr class="row-even"><td><p>敲入到期是否支付票息</p></td>
|
|
<td><p>是</p></td>
|
|
<td></td>
|
|
</tr>
|
|
<tr class="row-odd"><td><p><strong>敲入到期支付类别</strong></p></td>
|
|
<td><p>敲入转看跌</p></td>
|
|
<td><p>必填,可选“敲入转看跌”或“敲入转熊市价差”,此处选“敲入转看跌”</p></td>
|
|
</tr>
|
|
<tr class="row-even"><td><p><strong>敲入行权价</strong></p></td>
|
|
<td><p>100%</p></td>
|
|
<td><p>必填</p></td>
|
|
</tr>
|
|
<tr class="row-odd"><td><p>收益结算</p></td>
|
|
<td><p>收盘价</p></td>
|
|
<td></td>
|
|
</tr>
|
|
<tr class="row-even"><td><p><strong>成交波动率</strong></p></td>
|
|
<td><p>30%</p></td>
|
|
<td><p>这是一个定价参数,可以按需修改,测试定价结果</p></td>
|
|
</tr>
|
|
<tr class="row-odd"><td><p>目标波动率</p></td>
|
|
<td><p>30%</p></td>
|
|
<td></td>
|
|
</tr>
|
|
<tr class="row-even"><td><p>平滑过渡天数</p></td>
|
|
<td><p>244</p></td>
|
|
<td></td>
|
|
</tr>
|
|
<tr class="row-odd"><td><p><strong>无风险利率</strong></p></td>
|
|
<td><p>1%</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>1%</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>248</p></td>
|
|
<td><p>定价日到到期日的之间的交易日天数(包含期初和期末)</p></td>
|
|
</tr>
|
|
<tr class="row-even"><td><p><strong>是否年化</strong></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>积分法(默认)</p></td>
|
|
<td></td>
|
|
</tr>
|
|
</tbody>
|
|
</table>
|
|
</section>
|
|
<section id="id6">
|
|
<h3>7.2.3 系统定价结果及其说明<a class="headerlink" href="#id6" 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>44496.87</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>-6.870</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>-0.764</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>-3378.512</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>279.527</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>1479.138</p></td>
|
|
<td><p>每报价单位Rho*交易份额*100</p></td>
|
|
</tr>
|
|
</tbody>
|
|
</table>
|
|
<div class="admonition note">
|
|
<p class="admonition-title">Note</p>
|
|
<p>有关系统中希腊值的说明,详情请参考 <a class="reference internal" href="greeks.html#my-reference-label3"><span class="std std-ref">附录1:希腊值</span></a></p>
|
|
</div>
|
|
</section>
|
|
<section id="my-reference-label14">
|
|
<span id="id7"></span><h3>7.2.4 自定义观察日的设置<a class="headerlink" href="#my-reference-label14" title="Permalink to this headline"></a></h3>
|
|
<a class="reference internal image-reference" href="_images/观察日设置.png"><img alt="_images/观察日设置.png" class="align-center" src="_images/观察日设置.png" style="width: 500px;" /></a>
|
|
<div class="line-block">
|
|
<div class="line"><br /></div>
|
|
</div>
|
|
<table class="docutils align-default">
|
|
<colgroup>
|
|
<col style="width: 10%" />
|
|
<col style="width: 90%" />
|
|
</colgroup>
|
|
<thead>
|
|
<tr class="row-odd"><th class="head"><p>字段</p></th>
|
|
<th class="head"><p>说明</p></th>
|
|
</tr>
|
|
</thead>
|
|
<tbody>
|
|
<tr class="row-even"><td><p>观察日间隔</p></td>
|
|
<td><p>选择单位“天/周/月/年”并填写数值</p></td>
|
|
</tr>
|
|
<tr class="row-odd"><td><p>首日观察</p></td>
|
|
<td><p>可勾选</p></td>
|
|
</tr>
|
|
<tr class="row-even"><td><p>票息支付日间隔</p></td>
|
|
<td><p>可以不填,默认与敲出观察日相同（T+0）,也可以设置为敲出观察日不同的日期,如T+1支付票息,表示在敲出观察日后一天支付票息</p></td>
|
|
</tr>
|
|
<tr class="row-odd"><td><p>节假日调整</p></td>
|
|
<td><p>向后调整到下一个交易日</p></td>
|
|
</tr>
|
|
<tr class="row-even"><td><p></p></td>
|
|
<td><p>向前调整到上一个交易日</p></td>
|
|
</tr>
|
|
<tr class="row-odd"><td><p></p></td>
|
|
<td><p>不调整：若观察日为节假日,不进行调整,在当日观察标的资产价格</p></td>
|
|
</tr>
|
|
<tr class="row-even"><td><p>对齐规则</p></td>
|
|
<td><p>向到期日对齐：若到期日为2022年7月25号,每月观察,则之前的观察日以25号为基础往前推</p></td>
|
|
</tr>
|
|
<tr class="row-odd"><td><p></p></td>
|
|
<td><p>向开始日对齐：若初始日为2021年8月10号,每月观察,则之后的观察日以10号为基础往后推,同时,最后的一个的敲出观察日要和到期日统一,否则无法计算。</p></td>
|
|
</tr>
|
|
<tr class="row-even"><td><p>生成观察日</p></td>
|
|
<td><p>根据已经设置的规则,生成一系列的观察日期</p></td>
|
|
</tr>
|
|
<tr class="row-odd"><td><p>编辑观察日</p></td>
|
|
<td><p>可以通过手动修改观察日,来达到期初一段时间内不观察的设置,如期初3个月内不观察</p></td>
|
|
</tr>
|
|
<tr class="row-even"><td><p>备注</p></td>
|
|
<td></td>
|
|
</tr>
|
|
</tbody>
|
|
</table>
|
|
<div class="admonition note">
|
|
<p class="admonition-title">Note</p>
|
|
<ol class="arabic simple">
|
|
<li><p>未设置观察日的障碍、双鲨等,默认为每个交易日都是观察日</p></li>
|
|
<li><p>雪球凤凰的敲入观察日,不设置则默认为每个交易日</p></li>
|
|
<li><p>备注信息用于观察日规律的描述,会在交易报送等其他相关页面需要展示观察日列表时展示。</p></li>
|
|
</ol>
|
|
<p>展示逻辑为:</p>
|
|
<p>未设置观察日列表->每日观察</p>
|
|
<p>已设置观察日列表;未设置备注->展示观察日列表</p>
|
|
<p>已设置观察日列表;已设置备注->展示备注内容</p>
|
|
</div>
|
|
</section>
|
|
</section>
|
|
</section>
|
|
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