中金所飞马系统计算公式.docVIP

中金所飞马系统计算公式 绗?绔?璧勯噾璁＄畻鐩稿叧鍏紡 - 濮旀墭鍐荤粨淇濊瘉閲慉 锛?瀹㈡埛褰撴棩淇濊瘉閲戞寜姣斾緥*濮旀墭浠?濮旀墭閲?鍚堢害涔樻暟+濮旀墭閲?淇濊瘉閲戞寜鎵嬫暟 澶氬ご淇濊瘉閲戝叕寮忎负锛? - 澶氬ご濮旀墭鍐荤粨淇濊瘉閲慉 锛?瀹㈡埛褰撴棩澶氬ご淇濊瘉閲戞寜姣斾緥*濮旀墭浠?濮旀墭閲?鍚堢害涔樻暟+瀹㈡埛濮旀墭閲?澶氬ご淇濊瘉閲戞寜鎵嬫暟 绌哄ご淇濊瘉閲戝叕寮忎负锛? - 绌哄ご濮旀墭鍐荤粨淇濊瘉閲慉 锛?瀹㈡埛褰撴棩绌哄ご淇濊瘉閲戞寜姣斾緥*濮旀墭浠?濮旀墭閲?鍚堢害涔樻暟+瀹㈡埛濮旀墭閲?绌哄ご淇濊瘉閲戞寜鎵嬫暟 鍏朵腑锛? 锛?锛?瀹㈡埛褰撴棩浜ゆ槗淇濊瘉閲戠巼鍒嗕负澶氬ご鍜岀┖澶翠繚璇侀噾鐜囷細longmarginrate 鍜?shortmarginrate銆? 锛?锛?瀹㈡埛褰撴棩浜ゆ槗淇濊瘉閲戞寜鎵嬫暟鍒嗕负澶氬ご鍜岀┖澶翠繚璇侀噾鐜囷紝 longmarginamt 鍜?shortmarginamt銆? 锛?锛?濮旀墭浠蜂腑锛屽鏋滄姤鍗曚负甯備环鍗曪紝鍒欏鎵樹环鍙栨槰缁撶畻浠?presettlementprice銆? 锛?锛?鍚堢害涔樻暟涓篣nderlyingMultiple銆? - 濮旀墭鍐荤粨鎵嬬画璐笲 锛?瀹㈡埛褰撴棩浜ゆ槗鎵嬬画璐圭巼*濮旀墭浠?濮旀墭閲?鍚堢害涔樻暟 + 瀹㈡埛褰撴棩浜ゆ槗鎵嬬画璐规寜鎵嬫暟*濮旀墭閲? 锛堝競浠峰崟鍏蜂綋鍙傝€冨喕缁撲繚璇侀噾绠楁硶锛屾墜缁垂鐜囧垎寮€浠撱€佸钩浠婁粨锛屽钩浠撲笁绉嶏級 - 鎴愪氦鍗犵敤淇濊瘉閲慍 锛?褰撴棩浜ゆ槗淇濊瘉閲戠巼*鎴愪氦浠?鎴愪氦閲?鍚堢害涔樻暟+鎴愪氦閲?淇濊瘉閲戞寜鎵嬫暟 杩欓噷鐨勨€滃綋鏃ヤ氦鏄撲繚璇侀噾鐜団€濆悓鏍峰垎澶氬ご鍜岀┖澶寸殑淇濊瘉閲戠巼銆? - 鎴愪氦鍗犵敤鎵嬬画璐笵 锛?褰撴棩浜ゆ槗鎵嬬画璐圭巼*鎴愪氦浠?鎴愪氦閲?鍚堢害涔樻暟+瀹㈡埛濮旀墭閲?鎵嬬画璐规寜鎵嬫暟 (杩欓噷鐨勬墜缁垂鐜囦篃鍒嗗紑浠撱€佸钩浠婁粨銆佸钩浠撲笁绉嶏級 - 鎴愪氦閲婃斁鍐荤粨淇濊瘉閲慐 = 濮旀墭鍗犵敤淇濊瘉閲?鎴愪氦閲?濮旀墭閲? - 骞充粨鐩堜簭F= 涔板钩浠撶泩浜?+ 鍗栧钩浠撶泩浜? = 锛堢┖澶存寔浠撳潎浠?锛?鎴愪氦浠凤級脳鎴愪氦鎵嬫暟脳鍚堢害涔樻暟 + (鎴愪氦浠? 锛?澶氬ご鎸佷粨鍧囦环) 脳鎴愪氦鎵嬫暟脳鍚堢害涔樻暟 鍏朵腑鎸佷粨鍧囦环G= 鎬绘寔浠撴垚鏈紙PositionCost锛?鎸佷粨锛圥osition锛?/鍚堢害涔樻暟 - 缁撶畻鍑嗗閲慔 = 涓婃缁撶畻鍑嗗閲戯紙PreBalance锛? - - 浠婃棩鍑洪噾锛圖eposit锛? - + 浠婃棩鍏ラ噾锛圵ithdraw锛? - + 骞充粨鐩堜簭锛圕loseProfit ) - + 鎸佷粨鐩堜簭锛圥ositionProfit锛? - + 鏉冨埄閲戯紙Premium锛? - - 鎵嬬画璐癸紙Fee锛? - 鍏朵粬璐圭敤锛圤therFee锛? - - 瀹㈡埛鍙敤璧勯噾I 锛濈粨绠楀噯澶囬噾锛圔alance锛? - - 淇濊瘉閲戝崰鐢紙Margin 锛? - - 鍐荤粨淇濊瘉閲戯紙FrozenMargin锛? - - 鍐荤粨鎵嬬画璐癸紙FrozenFee锛? - - 鍐荤粨鏉冨埄閲戯紙FrozenPremium锛? - - 鎸佷粨鎴愭湰澧炲姞J = 鎴愪氦浠访楁垚浜ら噺脳鍚堢害涔樻暟 - 骞充粨鎴愪氦閲婃斁淇濊瘉閲慘 = 鎸佷粨鍧囦环脳鎴愪氦閲徝楀悎绾︿箻鏁懊椾繚璇侀噾鐜?鎴愪氦閲?瀹㈡埛淇濊瘉閲戞寜鎵嬫暟 - 鎸佷粨鐩堜簭L = 璇ヨ祫閲戣处鎴蜂笅鎵€鏈夊鎴锋寔浠撶殑鎸佷粨鐩堜簭 澶氬ご鎸佷粨璁板綍鐨勬寔浠撶泩浜?= (琛屾儏褰撳墠浠?鎸佷粨鍧囦环)脳鎸佷粨閲徝楀悎绾︿箻鏁? 绌哄ご鎸佷粨璁板綍鐨勬寔浠撶泩浜?= (鎸佷粨鍧囦环鈥撹鎯呭綋鍓嶄环)脳鎸佷粨閲徝楀悎绾︿箻鏁? - 瀹㈡埛鎸佷粨璁板綍锛?鎸佷粨鎴愭湰鍒濆鍖? = 鎸佷粨閲徝楁槰缁撶畻浠访楀悎绾︿箻鏁帮級 绗?绔?鎸佷粨閲忚绠楁柟寮? 濮旀墭: 寮€浠? 1)鏇存敼鍐荤粨鎸佷粨FROZENPOSITION= FROZENPOSITION + 濮旀墭閲? 2)鏇存柊淇濊瘉閲戝