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1、ListofSymbolsα¼alpha,unsystematicreturnA0,AT¼marketvalueoffirmassetsattime0andTAI,AIt,AIT¼accruedinteresttoday,attimet,andattimeTb,bt,bT¼basistoday,attimet,andatexpiration,TB¼marketvalueofbondportfolioβ,βs,βf,βT,βy¼beta,betaofspotassetorportfolio,betaoffutures,targetbeta,andyieldbetaB0,BT¼marketval
2、ueoffirmdebtattime0andTB0(ti)¼priceofzerocouponbondobservedattime0,maturesintidaysC¼(abbreviated)priceofcallC1,C2,C3¼(abbreviated)priceofcallforexercisepricesX1,X2,X3C(S0,T,X)¼priceofeitherEuropeanorAmericancallonassetwithpriceS0,expirationT,andexercisepriceXCe(S0,T,X)¼priceofEuropeancallonassetwit
3、hpriceS0,expirationT,andexercisepriceXCa(S0,T,X)¼priceofAmericancallonassetwithpriceS0,expirationT,andexercisepriceXC(f0,T,X)¼priceofeitherEuropeanorAmericancallonfutureswithpricef0,expirationT,andexercisepriceXCe(f0,T,X)¼priceofEuropeancallonfutureswithpricef0,expirationT,andexercisepriceXCa(f0,T,
4、X)¼priceofAmericancallonfutureswithpricef0,expirationT,andexercisepriceX22Cu,Cd,Cu,Cud,Cd¼callpricesequenceinbinomialmodelχ¼convenienceyieldCIt¼couponinterestpaidattimetCovΔS,Δf¼covarianceofthechangeinthespotpriceandchangeinthefuturespriceCovrS,rf¼covarianceoftherateofreturnonthespotandfuturesρΔS,Δ
5、f¼correlationofthechangeinthespotpriceandchangeinthefuturespriceCPt¼cashpayment(principalorinterest)onbondattimetCF¼conversionfactoronCBOTT-bondcontractCF(t),CF(T)¼conversionfactoronCBOTT-bondcontractsdeliverableattimestandTc¼couponrateΔ¼deltaofanoptionΔB,ΔM,ΔS,Δf,ΔyB,Δyf¼changeinbondprice,changein
6、marketportfoliovalue,changeinspotprice,changeinfuturesprice,changeinbondyield,changeinfuturesyieldδc¼dividendyieldd¼(withoutsubscript)1.0+downwardreturnonstockinbinomialmodeld1,d2¼variablesinBlack-Scholes-MertonmodelD0,D¼presentvalueofdividendstotime0,presentvalueofdividendsDj,Dt¼dividendpaidattime
7、jortimetDT¼compoundfuturevalueofreinvesteddividendsDURB¼Macaulay’sdurationε¼standardnormalrandomvariableinMonteCarlosimulationE(x)¼expectedvalueoftheargumentxe*¼measureofhedgingeffectivenessf0,ft,fT,f¼(abbr
