金融工程学工程名词

1、第一章标的芝加哥套期保值者者 投机者卖空风险中性状态价格回报图 损益图 对手风险第二章远期利率协议远期外汇协议underlying ChicagoBoard hedgers arbitrageurs speculators short-selling risk-neutral交易所OptionsExchange，CBOEsepripayoffgainorlosscountartriskforward forwardrateagreements， FRA exchangeagreements， FXA本金不交割远期non-deliverableforwards， NDF本金可交割但不交割远期 n

2、on-deliveryforwards汇率协议exchangerateagreements，ERA equityforwardsfinanlfuturescontracts远期金融合约合约盯市结算保证金芝加哥商品交易所markor margin Chicago ChicagomarketanddailysettlementMercantileExchange，CME BoardofTrade，CBOT芝加哥交易所国民抵押ernmentNational MortgageAssotion，GNMA堪萨斯交易所KansasCity valueline KRXCMEGroup EurexBoardof

3、Trade，KCBT indexfuture价格线综合指数韩国交易所芝加哥商品交易所欧洲交易所纽约一泛欧交易所多商品交易所交易合约规模交割月 交割日现金结算日道琼斯工业平均指数涨停板板 熔断机制头寸限额初始保证金NYSEEuronext MCX-SXtradeunitcontract delivery deliverysize month daycashsettlementdayTheDowJonesIndustrialAverage，DJIA limituplimitdowncircuitition initialbreaker limit margin维持保证金保证金追加通知变动保证金保证

4、金基于总值 基于净值maenancemarginmargincall variationmargin clearingmargingross net open open openbasisbasis开立头寸a a afuture future futurea futures or cashitionitionwitha itionwitha itionition买入建仓卖出建仓purchase sale结清头寸closing delivery offset到期交割或现金结算平仓卖出平仓买入平仓未平仓合约数第三章远期价值远期价格价格现货-远期平价定理第四章多头套期保值空头套期保值基差风险数量风险

5、指数第五章道琼斯工业股价平均数标准普尔 500 指数close close opena afutures futures erestition with itionwithasaleapurchaseforward forward futurevalue price prispot-forwardparitytheoremlong short basishedge hedge risktyriskindexfuturesstockDowJonesindustrialaverage，DJIAStandard&Poors500index，S&P500纽约证交所综合股价指数 NewYorkStock

6、Exchangecomiteindex日经 225 股价指数恒生指数指数程序交易 短期国库券组合远期利率Nikkei225index，NK225 HangSengindexindexarbitrage programtradingsynthetic synthetic forwardT-bill equityitionerestratenational asso国民抵押抵押凭证ernment合约 13-tion13 周短期国库券kT-billfutures欧洲eurodollar futures伦敦国际金融交易 The London ernational Finanl Futures AndO

7、ptions Exchange伦敦间同业拆放利率 Londonerb OfferedRaIBOR序列月serialmonths英国家TheBritishBersAssotion合约价格contractprice交割最合算的债权chest-tiverbond隐含回购利率impdreporate，IRR货币久期修正久期dollarduration modifiedduration久期Macaulayduration第六章互换swaps利率互换erestrate swap，IRS货币互换currencyswap交叉货币利率互换gross- currencyerestrateswaps基点互换basi

8、sswaps商业票据利率commerlprrates常期限利率互换常期限国债利率互换增长型互换减少型互换指数化本金互换滑道型互换可延长互换可赎回互换零息互换后期确定互换差额互换远期互换延迟生效互换constant constant accretingmaturity maturity swapsswap，CMStreasuryswap，CMTamortizingswaps indexedprincipalswapsroller-coasterswaps extendableswaps puttableswapszero-couponswaps back-setswaps differentia

9、lswaps forwardswaps delayed-startswaps互换swaption互换equityswaps国际互换商ernationalSwapsDealers Assotion，ISDA国际互换与衍生产品ernational Swaps and Derivatives Assotion交易确认书债券等价收益率中间价第七章互换收益率曲线confirmationsbondequivalentyield，BEY middleratetheterm structure of swap rate or the swap curve新ontherun以前的offtherun信用增强第八章

10、澳元预扣税第九章creditenhancementwithholdingtaxoption执行价格exercisepritrikingprice看涨calloption看跌putoptionfuturesoptions利率erestrateoptions信用creditoptions货币currencyoptions交易型开放式指数基金 exchangetradedfund，ETF看跌和看涨经纪商和自营商 put and call broker and dealersassotion公司option clearingcorporation，OCC国际交易所ernationalSecuritie

11、sExchange，ISE另类市场AlternativeMarket费城交易所ThePhiladelphiaStockExchange，PHLX洲际交易所ercontinentalExchange堪萨斯交易所theKansasCityBoardOfTrade，KCBT明尼阿波利斯谷物交易所 theMinneapolisGrainExchange，MGE周klys季节Quarterlys灵活Flexoption合约规模执行限额对冲指令被指定者contractsize exerciselimitoffsettingordertheassigned有担保的coveredoptions催付通知认购权证

12、认沽权证第十章 盈亏margincallcall putwarrant warrantgainorloss零和zero-sumganes费premium的内在价值rinsicvalueout of the money历史波动率 history volatility隐含波动率 imp d volatility第十一章标的资产underlyingassets实值平价inthemoney atthemoney虚值价格optionprice/premium多方buyer/holder/upside空方seller/writer/downsidestockoptions股价指数indexoptions两

13、值binaryoption现金看涨cash-or-nothingcall资产看涨asset-or-nothingcall打包packagesoptions延迟支付deferredpaymentoptionsbarrieroptions敲出knock-outoptions敲出knock-inoptions向下敲出看涨down-and-outcalloptions向下敲入看跌down-and-inupoptions向上敲出看涨up-and-outcalloptions向上敲入看跌up-and-input o ptions被保护或是部分 protectedorpartialbarrieroption

14、s双重doublebarrier多次触及水平repeatedhittingofthebarrier重设restbarrieroptions上卷roll-upoptions下卷roll-downoptions标准布朗运动standardBrownianmotion、维纳运动Wienerpros飘移率driftrate方差率variancerate波动率微笑volatilitys期限结构volatilitytermstructure第十三章差价spreads牛市差价组合bullspreads熊市差价bearspreads碟式差价butterflyspreads对角组合diagonalspreads

15、看多波动率策略longvolatility 看空波动率策略shortvolatility条式组合strip勒式组合strangle第十四十六章在均衡rebalancing利率上限caps利率下限floors利率双限collars利率互换swaption外部彩虹outsidebarrieroptions rainbowbarrieroptions折扣返还rebate亚式Asianoptions平均资产价averagepriceoptions平均执行价averagestrikeoptions尾部亚式Asiantailoptions回溯lookbackoptions固定执行价fixedstrikeo

16、ptions 浮动执行价floatingstrikeoptions远期开始forwardstartoptions复合compoundedoptions选择者chooseroptions资产交换exchangeoptions股权收购要约stocktenderoffer路径依赖path dependence弱式路径依赖weakpathdependence 强式路径依赖strongpathdependence时间上非均匀time-inhomogeneous时间依赖timedependence信用衍生产品creditderivatives市场性风险marketliquidityrisk性风险fundi

17、ng liquidityrisk敏感性分析sensitivityysis 在险值valueatrisk情景分析scenarioysis压力测试stresstest基于市场交易组合market-basedtradingportfolio违约风险probabilitiesofdefault违约损失率lossgivendefault，LGD性缺口分析liquiditygapysis历史模拟法historicalsimulationmethod模型设定法m buildingmethod边际风险贡献marginal riskcontribution违约距离distancetodefault预期违约频率expecteddefaultfrequency，EDF无融资的信用衍生产品 unfundedcreditderivatives 融资的信用衍生产 品 funde