{"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":0,"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":12,"n_cols":12,"rows_kept":12,"cut":false,"hidden":false,"merged":[]}
["Delta 对冲",null,null,null,null,null,null,"横坐标","时间",null,"说明：","输入(模拟)每周的股价，输入Strike，点击按钮"]
["周数","股价","每个期权的价格","当期利润","Delta","补仓数量","累计利润","纵坐标","利润"]
[1,133.08982065677642,6.5672490389747287,2356.9786206907393,0.50100980269635698,-173.55415122226049,2356.9786206907393,"Strike",133]
[2,136.3300769662857,8.0609618798897955,1225.3933797880022,0.57544445640622877,744.34653709871793,3582.5177134502255,"初始投资",621787.9321953404]
[3,140.32005671024322,10.294207856542851,543.95658649141865,0.66809550997014489,926.51053563916116,4126.5389824606482,"当前股价",{"$f":"Hedging!C13","v":132.91}]
[4,141.64277533054351,10.961537953161978,2064.4878089187559,0.70504392066936816,369.4841069922328,6191.2722820587169,"初始期权数量",10000]
[5,144.09654882907867,12.536662646855399,1443.2185266647934,0.76649989639911376,614.55975729745592,7634.6624235400168,"初始股票数量",1234]
[6,148.14434126377105,15.626465926978833,11.862125515023081,0.85166936595933063,851.69469560216874,7646.5259595943699,"初始应买入股票数量",3776.0980269635702]
[7,149.32353046894073,16.507496626200229,1101.0376186182214,0.88649142072228437,348.22054762953746,8747.6945038939029]
[8,152.74317196369171,19.54997960230364,-247.77954988707052,0.94202951495670506,555.38094234420691,8499.8854902484327]
[9,150.41252592563629,17.298352379991496,413.04616435269281,0.94096207595048642,-10.674390062186401,8912.9807704074956]
[10,146.79453352451324,13.823672143938664,555.13768621921145,0.92600124456121857,-149.60831389267847,9468.1844687034627]

{"sheet":"Hedging","index":1,"n_rows":38,"n_cols":4,"rows_kept":38,"cut":false,"hidden":false,"merged":[]}
[]
[null,{"$f":"\"European \" & C22 & \" with strike price \" & C23","v":"European Call with strike price 133"}]
[]
[null,"估值日","2016-01-14"]
[null,"估值日设定",{"$f":"_xll.qpSettingsSetEvaluationDate(C4)","v":true}]
[]
[null,"清算日",{"$f":"C4","v":"2016-01-14"}]
[null,"交易日历","UnitedStates::NYSE"]
[null,"波动率",0.27572000000000002]
[null,"日期计数","Actual/365 (Fixed)"]
[null,"波动率对象",{"$f":"_xll.qpBlackConstantVol(\"BlackVol\",C7,C8,C9,C10,,,TRUE)","v":"BlackVol#2367"}]
[]
[null,"标的股票当前股价",132.91]
[null,"无风险利率",6.1999999999999998E-3]
[null,"红利",3.9100000000000003E-2]
[null,"随机过程对象",{"$f":"_xll.qpGeneralizedBlackScholesProcess(\"blackscholes\",C11,C13,C10,C7,C14,C15,,,TRUE)","v":"blackscholes#4732"}]
[]
[null,"行权日期","2016-04-15"]
[null,"行权对象",{"$f":"_xll.qpEuropeanExercise(\"Eu_Ex\",C18,,,TRUE)","v":"Eu_Ex#0002"}]
[]
[null,"交易类型","Vanilla"]
[null,"期权类型","Call"]
[null,"敲定价格",{"$f":"利润!I3","v":133}]
[null,"敲定交易对象",{"$f":"_xll.qpStrikedTypePayoff(\"StrikeType\",C21,C22,C23,,,,TRUE)","v":"StrikeType#0017"},{"$f":"_xll.ooRangeRetrieveError(C24)","v":""}]
[null,"定价引擎类型","ADE"]
[null,"定价引擎",{"$f":"_xll.qpPricingEngine(\"PriceEngine\",C25,C16,,,TRUE)","v":"PriceEngine#4732"}]
[]
[null,"欧式期权对象",{"$f":"_xll.qpVanillaOption(\"Eu_Option\",C24,C19,,30,TRUE)","v":"Eu_Option#0017"},{"$f":"_xll.ooRangeRetrieveError(C28)","v":""}]
[null,"设定引擎",{"$f":"_xll.qpInstrumentSetPricingEngine(C28,C26)","v":true},{"$f":"_xll.ooRangeRetrieveError(C29)","v":""}]
[null,"NPV",{"$f":"_xll.qpInstrumentNPV(C28)","v":6.7171278807338242}]
[]
[null,null,{"$f":"_xll.ooRangeRetrieveError(C30)","v":""}]
[]
[null,"Delta",0.51836521781858302]
[]
[]
[]
[null,"初始投资",62.178793219534043]