{"text_format":"1","workbook":"xlsx","n_sheets":2,"sheets":["利润","Hedging"],"not_rendered":{"charts":1,"images":1,"macros":1,"external_links":0,"defined_names":18,"comments":0,"pivot_tables":0},"unopened":[],"bounds":{"document_bytes":16777216,"sheet_cells":100000,"rows_first":2000,"rows_last":500,"rows_between":2000,"halvings":0,"cell_chars":16384,"cell_head_chars":4096},"cells_cut":0,"cells_raw":0,"read":"whole","date_system":"1900"}

{"sheet":"利润","index":0,"n_rows":203,"n_cols":8,"rows_kept":203,"cut":false,"hidden":false,"merged":[]}
["Delta Gamma 对冲",null,"Strike1",132,"Call"]
["股价","累计利润","Strike2",139,"Put"]
[20,-6118.7189944502361,"股票数量",600]
[21,-6054.8456189585604,"当前股价",132.91]
[22,-5990.9722434668993,"初始期权1数量",1000,"保持delta, gamma中性应持有的期权1数量",null,null,-514.68560276339565]
[23,-5927.0988679752236,"初始期权2数量",1000,"保持delta, gamma中性应持有的期权1数量",null,null,539.81487857856473]
[24,-5863.2254924835479,"初始投资",82309.770258594755]
[25,-5799.3521169918577,"周数",4]
[26,-5735.4787415001965]
[27,-5671.6053660085208]
[28,-5607.7319905168451]
[29,-5543.858615025184]
[30,-5479.9852395335083]
[31,-5416.1118640418326]
[32,-5352.2384885501569]
[33,-5288.3651130584813]
[34,-5224.4917375668056]
[35,-5160.6183620751299]
[36,-5096.7449865834542]
[37,-5032.8716110917785]
[38,-4968.9982356001028]
[39,-4905.1248601084271]
[40,-4841.251484616766]
[41,-4777.3781091250903]
[42,-4713.5047336334146]
[43,-4649.6313581417244]
[44,-4585.7579826500632]
[45,-4521.8846071583876]
[46,-4458.0112316667119]
[47,-4394.1378561750362]
[48,-4330.2644806833605]
[49,-4266.3911051916848]
[50,-4202.5177297000091]
[51,-4138.644354208348]
[52,-4074.7709787166577]
[53,-4010.8976032249966]
[54,-3947.0242277333064]
[55,-3883.1508522416598]
[56,-3819.2774767499841]
[57,-3755.4041012583666]
[58,-3691.5307257668801]
[59,-3627.6573502756846]
[60,-3563.7839747854059]
[61,-3499.9105992974992]
[62,-3436.0372238156897]
[63,-3372.1638483489851]
[64,-3308.2904729184274]
[65,-3244.4170975715433]
[66,-3180.5437224125244]
[67,-3116.6703476627345]
[68,-3052.7969737791618]
[69,-2988.9236016788391]
[70,-2925.0502331528451]
[71,-2861.1768716087727]
[72,-2797.303523368585]
[73,-2733.4301998785131]
[74,-2669.5569213802419]
[75,-2605.6837228655686]
[76,-2541.8106635081249]
[77,-2477.9378412685373]
[78,-2414.0654150125674]
[79,-2350.1936372884857]
[80,-2286.3229018828179]
[81,-2222.4538114010402]
[82,-2158.5872713714534]
[83,-2094.7246186869061]
[84,-2030.8677934900961]
[85,-1967.0195647573173]
[86,-1903.1838206846487]
[87,-1839.3659353592857]
[88,-1775.5732229131872]
[89,-1711.8154892154898]
[90,-1648.1056889912043]
[91,-1584.4606929221527]
[92,-1520.9021647199015]
[93,-1457.4575423638789]
[94,-1394.1611107820399]
[95,-1331.0551454267743]
[96,-1268.1910977925918]
[97,-1205.6307853642838]
[98,-1143.4475402880098]
[99,-1081.7272637980832]
[100,-1020.5693277033616]
[101,-960.08726061530353]
[102,-900.40915559501912]
[103,-841.67773791043612]
[104,-784.05003688121099]
[105,-727.69661442150129]
[106,-672.80031474525924]
[107,-619.55451444861421]
[108,-568.16086930427002]
[109,-518.82657289773226]
[110,-471.7611618777492]
[111,-427.17292215854565]
[112,-385.26496894685721]
[113,-346.23109003983433]
[114,-310.2514555908902]
[115,-277.48830774448749]
[116,-248.08174963911469]
[117,-222.14575491562309]
[118,-199.76451591097165]
[119,-180.98924125625226]
[120,-165.83550194022709]
[121,-154.28120954605865]
[122,-146.26529198597299]
[123,-141.68711143639402]
[124,-140.40664717728677]
[125,-142.24544357214936]
[126,-146.98830136729984]
[127,-154.38566967788674]
[128,-164.15667719809161]
[129,-175.9927249442454]
[130,-189.56154968355722]
[131,-204.51165744316413]
[132,-220.47702029350793]
[133,-237.08192697176591]
[134,-253.94587872084693]
[135,-270.68842571898591]
[136,-286.93384630379029]
[137,-302.31558042407147]
[138,-316.48033989365382]
[139,-329.09183056332864]
[140,-339.83403495097178]
[141,-348.4140176767151]
[142,-354.5642297751811]
[143,-358.04430118322949]
[144,-358.64232307546359]
[145,-356.17563295054885]
[146,-350.49112524050457]
[147,-341.46511857174215]
[148,-329.00281756961073]
[149,-313.03741224229913]
[150,-293.52886154175673]
[151,-270.46240975286224]
[152,-243.84688502914386]
[153,-213.71282881247052]
[154,-180.11050321472166]
[155,-143.10782087484139]
[156,-102.78823851451043]
[157,-59.248651576713279]
[158,-12.597323116370795]
[159,37.048124328483858]
[160,89.562629675153318]
[161,144.81550731067082]
[162,202.67213877771692]
[163,262.99553082165488]
[164,325.64773228312964]
[165,390.49110576638026]
[166,457.38945307822263]
[167,526.20899609908054]
[168,596.81921701176441]
[169,669.09356368498527]
[170,742.91002749681763]
[171,818.15160202132654]
[172,894.70663180791132]
[173,972.46906099734304]
[174,1051.3385917708029]
[175,1131.2207626556437]
[176,1212.0269565481531]
[177,1293.6743479928509]
[178,1376.0857988122689]
[179,1459.189710639107]
[180,1542.9198422919681]
[181,1627.2150992791676]
[182,1712.0193020343822]
[183,1797.2809387997358]
[184,1882.9529083914922]
[185,1968.9922574239272]
[186,2055.3599159349642]
[187,2142.0204347648933]
[188,2228.9417274848047]
[189,2316.0948191658781]
[190,2403.453603819532]
[191,2490.9946119248152]
[192,2578.6967890938349]
[193,2666.5412866039651]
[194,2754.5112642478007]
[195,2842.5917057136639]
[196,2930.7692465100945]
[197,3019.0320142806113]
[198,3107.3694812210697]
[199,3195.7723282050965]
[200,3284.2323201396894]
[201,3372.7421920135484]
[202,3461.295545057651]
[203,3549.8867524117622]
[204,3638.5108736778739]
[205,3727.1635777394504]
[206,3815.8410732341681]
[207,3904.5400460808405]
[208,3993.2576034835611]
[209,4081.9912238599454]
[210,4170.7387121684978]
[211,4259.4981601403369]
[212,4348.2679109519913]
[213,4437.0465279065493]
[214,4525.8327667243093]
[215,4614.6255510723959]
[216,4703.4239509959398]
[217,4792.2271639396158]
[218,4881.0344980783511]
[219,4969.8453577002319]
[220,5058.659230410175]

{"sheet":"Hedging","index":1,"n_rows":38,"n_cols":6,"rows_kept":38,"cut":false,"hidden":false,"merged":[]}
[]
[null,{"$f":"\"European \" & C22 & \" with strike price \" & C23","v":"European Call with strike price 132"},null,null,{"$f":"\"European \" & F22 & \" with strike price \" & F23","v":"European Put with strike price 139"}]
[]
[null,"估值日","2016-01-14",null,"估值日",{"$f":"C4","v":"2016-01-14"}]
[null,"估值日设定",{"$f":"_xll.qpSettingsSetEvaluationDate(C4)","v":true},null,"估值日设定",{"$f":"_xll.qpSettingsSetEvaluationDate(F4)","v":true}]
[]
[null,"清算日","2016-01-14",null,"清算日",{"$f":"C7","v":"2016-01-14"}]
[null,"交易日历","UnitedStates::NYSE",null,"交易日历",{"$f":"C8","v":"UnitedStates::NYSE"}]
[null,"波动率",0.27572000000000002,null,"波动率",{"$f":"C9","v":0.27572000000000002}]
[null,"日期计数","Actual/365 (Fixed)",null,"日期计数","Actual/365 (Fixed)"]
[null,"波动率对象",{"$f":"_xll.qpBlackConstantVol(\"BlackVol\",C7,C8,C9,C10,,,TRUE)","v":"BlackVol#0614"},null,"波动率对象",{"$f":"_xll.qpBlackConstantVol(\"BlackVol\",F7,F8,F9,F10,,,TRUE)","v":"BlackVol#0614"}]
[]
[null,"标的股票当前股价",132.91,null,"标的股票当前股价",{"$f":"C13","v":132.91}]
[null,"无风险利率",6.1999999999999998E-3,null,"无风险利率",{"$f":"C14","v":6.1999999999999998E-3}]
[null,"红利",3.9100000000000003E-2,null,"红利",{"$f":"C15","v":3.9100000000000003E-2}]
[null,"随机过程对象",{"$f":"_xll.qpGeneralizedBlackScholesProcess(\"blackscholes\",C11,C13,C10,C7,C14,C15,,,TRUE)","v":"blackscholes#1829"},null,"随机过程对象",{"$f":"_xll.qpGeneralizedBlackScholesProcess(\"blackscholes\",F11,F13,F10,F7,F14,F15,,,TRUE)","v":"blackscholes#1829"}]
[]
[null,"行权日期","2016-04-15",null,"行权日期",{"$f":"C18","v":"2016-04-15"}]
[null,"行权对象",{"$f":"_xll.qpEuropeanExercise(\"Eu_Ex\",C18,,,TRUE)","v":"Eu_Ex#0608"},null,"行权对象",{"$f":"_xll.qpEuropeanExercise(\"Eu_Ex\",F18,,,TRUE)","v":"Eu_Ex#0608"}]
[]
[null,"交易类型","Vanilla",null,"交易类型","Vanilla"]
[null,"期权类型",{"$f":"利润!E1","v":"Call"},null,"期权类型",{"$f":"利润!E2","v":"Put"}]
[null,"敲定价格",{"$f":"利润!D1","v":132},null,"敲定价格",{"$f":"利润!D2","v":139}]
[null,"敲定交易对象",{"$f":"_xll.qpStrikedTypePayoff(\"StrikeType\",C21,C22,C23,,,,TRUE)","v":"StrikeType#0609"},{"$f":"_xll.ooRangeRetrieveError(C24)","v":""},"敲定交易对象",{"$f":"_xll.qpStrikedTypePayoff(\"StrikeType\",F21,F22,F23,,,,TRUE)","v":"StrikeType#0609"}]
[null,"定价引擎类型","ADE",null,"定价引擎类型","ADE"]
[null,"定价引擎",{"$f":"_xll.qpPricingEngine(\"PriceEngine\",C25,C16,,,TRUE)","v":"PriceEngine#2438"},null,"定价引擎",{"$f":"_xll.qpPricingEngine(\"PriceEngine\",F25,F16,,,TRUE)","v":"PriceEngine#2438"}]
[]
[null,"欧式期权对象",{"$f":"_xll.qpVanillaOption(\"Eu_Option133\",C24,C19,,30,TRUE)","v":"Eu_Option133#1827"},{"$f":"_xll.ooRangeRetrieveError(C28)","v":""},"欧式期权对象",{"$f":"_xll.qpVanillaOption(\"Eu_Option133\",F24,F19,,30,TRUE)","v":"Eu_Option133#1827"}]
[null,"设定引擎",{"$f":"_xll.qpInstrumentSetPricingEngine(C28,C26)","v":true},{"$f":"_xll.ooRangeRetrieveError(C29)","v":""},"设定引擎",{"$f":"_xll.qpInstrumentSetPricingEngine(F28,F26)","v":true}]
[null,"NPV",{"$f":"_xll.qpInstrumentNPV(C28,30)","v":7.173899368170721},null,"NPV",{"$f":"_xll.qpInstrumentNPV(F28,30)","v":11.589293343560803}]
[]
[null,"初始应持有的数量",-514.68560276339565,null,"初始应持有的数量",539.81487857856473]
[]
[null,"Delta",{"$f":"_xll.qpDelta(C28,30)","v":0.51836521781858258},null,"Delta",{"$f":"_xll.qpDelta(F28,30)","v":-0.61725769080847825}]
[null,"Gamma",{"$f":"_xll.qpGamma(C28)","v":2.1433951380217083E-2},null,"Gamma",{"$f":"_xll.qpGamma(F28)","v":2.0436165477278119E-2}]
[]
[]
[null,"初始投资",82309.770258594755]