{"id":11451,"date":"2026-09-24T09:00:00","date_gmt":"2026-09-24T00:00:00","guid":{"rendered":"https:\/\/triumphmind.com\/cfa\/?p=11451"},"modified":"2026-09-29T09:01:38","modified_gmt":"2026-09-29T00:01:38","slug":"cfa-l3-drm-formulas","status":"publish","type":"post","link":"https:\/\/triumphmind.com\/cfa\/2026\/09\/24\/cfa-l3-drm-formulas\/","title":{"rendered":"\u3010CFA\u00ae\ufe0e L3 Derivatives and Risk Management \u516c\u5f0f\u96c6\u3011Derivatives and Risk Management \u306e\u91cd\u8981\u516c\u5f0f28\u672c\uff5c\u8a18\u53f7\u306e\u610f\u5473\u3068\u4f7f\u3044\u3069\u3053\u308d\u3092\u5358\u5143\u5225\u306b\u6574\u7406"},"content":{"rendered":"<link rel=\"stylesheet\" href=\"https:\/\/cdn.jsdelivr.net\/npm\/katex@0.18.9\/dist\/katex.min.css\">\n<style> .cfagl-nav{background:#f6f7fb;border-radius:6px;padding:1em 1.2em;margin:1em 0;line-height:1.9;word-break:normal;overflow-wrap:anywhere} .cfagl-nav a{display:block;margin:.15em 0} .cfagl-lm{font-size:.9em;margin:.2em 0 1em} .cfagl-t{border:1px solid #d5d9e3;border-left:4px solid #172152;border-radius:4px;padding:.75em 1em;margin:0 0 .8em;background:#fff} .cfagl-t .en{display:block;font-weight:bold;color:#172152;line-height:1.5;word-break:normal;overflow-wrap:anywhere} .cfagl-t .ja{display:block;font-size:.9em;color:#555;margin:.15em 0 .4em;line-height:1.5} .cfagl-t .df{display:block;line-height:1.75} .cfafm-c{border:1px solid #d5d9e3;border-top:4px solid #172152;border-radius:4px;padding:.9em 1em;margin:0 0 1.2em;background:#fff} .cfafm-c .nm{display:block;font-weight:bold;color:#172152;line-height:1.5} .cfafm-c .ne{display:block;font-size:.85em;color:#667;margin-bottom:.5em;word-break:normal;overflow-wrap:anywhere} .cfafm-x{background:#f6f7fb;border-radius:4px;padding:.6em .8em;margin:.4em 0 .7em;overflow-x:auto;overflow-y:hidden;-webkit-overflow-scrolling:touch} .cfafm-x .katex-display{margin:.3em 0!important} .cfafm-lg{margin:.3em 0 .6em;padding:0;font-size:.92em} .cfafm-lg div{display:flex;gap:.8em;padding:.25em 0;border-bottom:1px dotted #d5d9e3;line-height:1.6} .cfafm-lg .s{flex:0 0 auto;min-width:4.5em;max-width:45%;overflow-x:auto} .cfafm-lg .d{flex:1 1 auto} .cfafm-x .katex-display+.katex-display{margin-top:.2em!important} @media (max-width:600px){.cfafm-x .katex-display>.katex{font-size:.9em}.cfafm-lg div{flex-wrap:wrap;gap:.1em .8em}.cfafm-lg .s{max-width:100%}} .cfafm-u{display:block;line-height:1.75;font-size:.95em} .cfafm-u b{color:#172152} .cfahub-g{display:grid;grid-template-columns:repeat(auto-fill,minmax(250px,1fr));gap:.8em;margin:1em 0} .cfahub-g a{display:block;border:1px solid #d5d9e3;border-left:4px solid #172152;border-radius:4px;padding:.8em 1em;background:#fff;text-decoration:none;color:#172152;line-height:1.5} .cfahub-g a .n{display:block;font-weight:bold} .cfahub-g a .j{display:block;font-size:.88em;color:#555} .cfagl-t p:empty,.cfafm-c p:empty,.cfahub-g p:empty,.cfagl-nav p:empty{display:none} .cfagl-lsc{border:2px solid #c9a227;background:#fffbea;border-radius:6px;padding:.9em 1.1em;margin:1em 0 1.4em;line-height:1.75} .cfagl-lsc b{display:block;color:#8a6d1d;margin-bottom:.3em} .cfagl-lsc a{display:inline-block;margin-top:.4em;font-weight:bold} .cfahub-g a .c{display:block;font-size:.82em;color:#8a6d1d;margin-top:.3em} <\/style>\n<div class=\"box05\">CFA\u00ae\ufe0e Level 3\u300cDerivatives and Risk Management\uff08\u30c7\u30ea\u30d0\u30c6\u30a3\u30d6\u3068\u30ea\u30b9\u30af\u7ba1\u7406\uff09\u300d\u306e\u91cd\u8981\u516c\u5f0f28\u672c\u3092\u3001\u5b66\u7fd2\u5358\u5143\uff08Learning Module\uff09\u3054\u3068\u306b\u6574\u7406\u3057\u307e\u3057\u305f\u3002\u516c\u5f0f\u3054\u3068\u306b<strong>\u6570\u5f0f\u30fb\u8a18\u53f7\u306e\u610f\u5473\u30fb\u4f7f\u3044\u3069\u3053\u308d<\/strong>\u3092\u307e\u3068\u3081\u3066\u3044\u307e\u3059\u3002\u6570\u5f0f\u304c\u6a2a\u306b\u9577\u3044\u5834\u5408\u306f\u3001\u6a2a\u306b\u30b9\u30af\u30ed\u30fc\u30eb\u3057\u3066\u3054\u89a7\u304f\u3060\u3055\u3044\u3002<\/div>\n<div class=\"cfagl-lsc\"><b>Leveraged Support Course \u3092\u3054\u5229\u7528\u306e\u65b9\u3078<\/b>FA-Academy \u306e Leveraged Support Course\uff08LSC\uff09\u3092\u3054\u5229\u7528\u306e\u65b9\u306b\u306f\u3001\u3053\u306e\u7528\u8a9e\u96c6\u3068\u516c\u5f0f\u96c6\u3092\u30ec\u30d9\u30eb\u5225\u306b\u6574\u7406\u3057\u305f\u8cc7\u6599\uff08PDF\uff09\u3092\u304a\u6e21\u3057\u3057\u3066\u3044\u307e\u3059\u3002\u30aa\u30d5\u30e9\u30a4\u30f3\u3067\u306e\u78ba\u8a8d\u3084\u8a66\u9a13\u76f4\u524d\u306e\u898b\u76f4\u3057\u306b\u3054\u6d3b\u7528\u304f\u3060\u3055\u3044\u3002<a href=\"https:\/\/triumphmind.com\/cfa\/gokuhi\/\">Level 3 Leveraged Support Course \u306e\u8a73\u7d30\u3092\u898b\u308b<\/a><\/div>\n<h2>\u5358\u5143\uff08LM\uff09\u4e00\u89a7<\/h2>\n<div class=\"cfagl-nav\"><a href=\"#l3-drm-f-lm1\">LM1 \u30aa\u30d7\u30b7\u30e7\u30f3\u6226\u7565<\/a><a href=\"#l3-drm-f-lm2\">LM2 \u30b9\u30ef\u30c3\u30d7\u30fb\u30d5\u30a9\u30ef\u30fc\u30c9\u30fb\u5148\u7269\u306e\u6226\u7565<\/a><a href=\"#l3-drm-f-lm3\">LM3 \u901a\u8ca8\u30de\u30cd\u30b8\u30e1\u30f3\u30c8\u5165\u9580<\/a><\/div>\n<h2>Derivatives and Risk Management \u306e\u91cd\u8981\u516c\u5f0f\uff08LM\u5225\uff09<\/h2>\n<h3 id=\"l3-drm-f-lm1\">LM1 Options Strategies\uff08\u30aa\u30d7\u30b7\u30e7\u30f3\u6226\u7565\uff09<\/h3>\n<div class=\"cfagl-lm\">\u3053\u306e\u5358\u5143\u306e\u8981\u70b9\u89e3\u8aac\uff1a<a href=\"https:\/\/triumphmind.com\/cfa\/2026\/09\/22\/cfa-l3-drm-lm1\/\">LM1 \u30aa\u30d7\u30b7\u30e7\u30f3\u6226\u7565<\/a><\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">1. \u30ab\u30d0\u30fc\u30c9\u30b3\u30fc\u30eb\u306e\u6700\u5927\u5229\u76ca\u30fb\u640d\u76ca\u5206\u5c90\u70b9\u30fb\u6700\u5927\u640d\u5931<\/div>\n<div class=\"ne\">Covered Call: Maximum Gain \/ Breakeven \/ Maximum Loss<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Max\u00a0gain<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Breakeven<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Max\u00a0loss<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\">\u03a0<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mop\">min<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.5806em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Max\u00a0gain<\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Breakeven<\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Max\u00a0loss<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6700\u5927\u5229\u76ca\u30fb\u640d\u76ca\u5206\u5c90\u70b9\uff08\u6e80\u671f\u6642\u306e\u682a\u4fa1\uff09\u30fb\u6700\u5927\u640d\u5931<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30b3\u30fc\u30eb\u306e\u884c\u4f7f\u4fa1\u683c<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6226\u7565\u958b\u59cb\u6642\u306e\u682a\u4fa1<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.5806em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u53d7\u3051\u53d6\u3063\u305f\u30b3\u30fc\u30eb\u30d7\u30ec\u30df\u30a2\u30e0<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord\">\u03a0<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6e80\u671f\u6642\u306e\u640d\u76ca\uff081\u682a\u3042\u305f\u308a\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6e80\u671f\u6642\u306e\u682a\u4fa1<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u539f\u8cc7\u7523\u306e\u4fdd\u6709\u3068\u30b3\u30fc\u30eb\u306e\u58f2\u308a\u3092\u7d44\u307f\u5408\u308f\u305b\u305f\u30ab\u30d0\u30fc\u30c9\u30fb\u30b3\u30fc\u30eb\u306e\u6700\u5927\u5229\u76ca\u3001\u640d\u76ca\u5206\u5c90\u70b9\u3001\u6700\u5927\u640d\u5931\u3001\u6e80\u671f\u6642\u306e\u640d\u76ca\u3092\u6c42\u3081\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">2. \u30d7\u30ed\u30c6\u30af\u30c6\u30a3\u30d6\u30d7\u30c3\u30c8\u306e\u6700\u5927\u640d\u5931\u30fb\u640d\u76ca\u5206\u5c90\u70b9<\/div>\n<div class=\"ne\">Protective Put: Maximum Loss \/ Breakeven<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Max\u00a0loss<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7667em;vertical-align:-0.0833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Breakeven<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\">\u03a0<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mop\">max<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.625em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Max\u00a0loss<\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Breakeven<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6700\u5927\u640d\u5931\u30fb\u640d\u76ca\u5206\u5c90\u70b9\uff08\u6e80\u671f\u6642\u306e\u682a\u4fa1\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6226\u7565\u958b\u59cb\u6642\u306e\u682a\u4fa1<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30d7\u30c3\u30c8\u306e\u884c\u4f7f\u4fa1\u683c<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.625em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u652f\u6255\u3063\u305f\u30d7\u30c3\u30c8\u30d7\u30ec\u30df\u30a2\u30e0<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord\">\u03a0<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6e80\u671f\u6642\u306e\u640d\u76ca\uff081\u682a\u3042\u305f\u308a\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6e80\u671f\u6642\u306e\u682a\u4fa1<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u539f\u8cc7\u7523\u306e\u4fdd\u6709\u3068\u30d7\u30c3\u30c8\u306e\u8cb7\u3044\u3092\u7d44\u307f\u5408\u308f\u305b\u305f\u30d7\u30ed\u30c6\u30af\u30c6\u30a3\u30d6\u30fb\u30d7\u30c3\u30c8\u306e\u6700\u5927\u640d\u5931\u3001\u640d\u76ca\u5206\u5c90\u70b9\u3001\u6e80\u671f\u6642\u306e\u640d\u76ca\u3092\u6c42\u3081\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">3. \u30dd\u30b8\u30b7\u30e7\u30f3\u30c7\u30eb\u30bf(\u30ab\u30d0\u30fc\u30c9\u30b3\u30fc\u30eb\u30fb\u30d7\u30ed\u30c6\u30af\u30c6\u30a3\u30d6\u30d7\u30c3\u30c8\u30fb\u5148\u6e21\u7b49\u4fa1)<\/div>\n<div class=\"ne\">Position Delta (Covered Call \/ Protective Put \/ Forward Equivalence)<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3175em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">position<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"minner\">\u22ef<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">covered\u00a0call<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"mopen\">(<\/span><span class=\"mord\">1<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">call<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">stock<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\">+<\/span><span class=\"mord\">1<\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">forward<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7278em;vertical-align:-0.0833em;\"><\/span><span class=\"mord\">\u00b1<\/span><span class=\"mord\">1<\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3175em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">position<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30dd\u30b8\u30b7\u30e7\u30f3\u5168\u4f53\u306e\u30c7\u30eb\u30bf<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3117em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">i<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5404\u30dd\u30b8\u30b7\u30e7\u30f3\u306e\u6570\u91cf\uff08\u682a\u6570\u30fb\u679a\u6570\u3002\u30b7\u30e7\u30fc\u30c8\u306f\u8ca0\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3117em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">i<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5404\u5546\u54c1\u306e\u30c7\u30eb\u30bf\uff08\u682a\u5f0f +1\u3001\u30a2\u30c3\u30c8\u30fb\u30b6\u30fb\u30de\u30cd\u30fc\uff08ATM\uff09\u306e\u30b3\u30fc\u30eb \u2248 +0.5\u3001ATM\u30d7\u30c3\u30c8 \u2248 \u22120.5\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">covered\u00a0call<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30ab\u30d0\u30fc\u30c9\u30b3\u30fc\u30eb\uff08\u682a\u5f0f\u30ed\u30f3\u30b0\uff0b\u30b3\u30fc\u30eb\u58f2\u308a\uff09\u306e\u30c7\u30eb\u30bf<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30ab\u30d0\u30fc\u30c9\u30b3\u30fc\u30eb\u306e\u682a\u6570\uff08=\u58f2\u5374\u30b3\u30fc\u30eb\u306e\u6570\u91cf\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">call<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u58f2\u5374\u3057\u305f\u30b3\u30fc\u30eb\u306e\u30c7\u30eb\u30bf<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">stock<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">forward<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u682a\u5f0f\u306e\u30c7\u30eb\u30bf\uff08+1\uff09\u30fb\u30d5\u30a9\u30ef\u30fc\u30c9\u306e\u30c7\u30eb\u30bf\uff08\u30ed\u30f3\u30b0+1\u3001\u30b7\u30e7\u30fc\u30c8\u22121\uff09<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u5404\u69cb\u6210\u8981\u7d20\u306e\u30c7\u30eb\u30bf\u3092\u6570\u91cf\u3067\u5408\u8a08\u3057\u3001\u30aa\u30d7\u30b7\u30e7\u30f3\u3092\u7d44\u307f\u5408\u308f\u305b\u305f\u30dd\u30b8\u30b7\u30e7\u30f3\u5168\u4f53\u306e\u539f\u8cc7\u7523\u4fa1\u683c\u3078\u306e\u611f\u5fdc\u5ea6\u3092\u6c42\u3081\u308b\u5f0f\u3002\u540c\u7b49\u306e\u30d5\u30a9\u30ef\u30fc\u30c9\u30fb\u30dd\u30b8\u30b7\u30e7\u30f3\u3078\u306e\u7f6e\u304d\u63db\u3048\u306b\u3082\u4f7f\u3046\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">4. \u30ab\u30e9\u30fc\u306e\u6700\u5927\u5229\u76ca\u30fb\u30ab\u30e9\u30fc\u306e\u30c7\u30eb\u30bf<\/div>\n<div class=\"ne\">Collar: Maximum Profit \/ Collar Delta<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Max\u00a0profit<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0785em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">call<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">collar<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">stock<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2806em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">put<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">call<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Max\u00a0profit<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6700\u5927\u5229\u76ca<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0785em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">call<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u58f2\u5374\u30b3\u30fc\u30eb\u306e\u884c\u4f7f\u4fa1\u683c\uff08\u4e0a\u9650\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u73fe\u5728\u306e\u682a\u4fa1<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.625em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u652f\u6255\u30d7\u30c3\u30c8\u30d7\u30ec\u30df\u30a2\u30e0\u30fb\u53d7\u53d6\u30b3\u30fc\u30eb\u30d7\u30ec\u30df\u30a2\u30e0<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">collar<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30ab\u30e9\u30fc\u5168\u4f53\u306e\u30c7\u30eb\u30bf<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">stock<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2806em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">put<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord\">\u0394<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">call<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u682a\u5f0f\uff08+1\uff09\u30fb\u30d7\u30c3\u30c8\u30fb\u30b3\u30fc\u30eb\u306e\u30c7\u30eb\u30bf\uff08\u30b3\u30fc\u30eb\u306f\u58f2\u308a\u306e\u305f\u3081\u5f0f\u4e2d\u3067\u5dee\u3057\u5f15\u304f\uff09<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u539f\u8cc7\u7523\u306e\u4fdd\u6709\u306b\u30d7\u30c3\u30c8\u306e\u8cb7\u3044\u3068\u30b3\u30fc\u30eb\u306e\u58f2\u308a\u3092\u52a0\u3048\u305f\u30ab\u30e9\u30fc\u306e\u6700\u5927\u5229\u76ca\u3068\u3001\u30dd\u30b8\u30b7\u30e7\u30f3\u5168\u4f53\u306e\u30c7\u30eb\u30bf\u3092\u6c42\u3081\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">5. \u30d6\u30eb\u30b3\u30fc\u30eb\u30b9\u30d7\u30ec\u30c3\u30c9\u306e\u6700\u5927\u5229\u76ca\u30fb\u640d\u76ca\u5206\u5c90\u70b9<\/div>\n<div class=\"ne\">Bull Call Spread: Maximum Profit \/ Breakeven<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Max\u00a0profit<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0785em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0813em;\">H<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0785em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">L<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">L<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0813em;\">H<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Breakeven<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0785em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">L<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">L<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0813em;\">H<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Max\u00a0loss<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">L<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.5806em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0813em;\">H<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Max\u00a0profit<\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Breakeven<\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Max\u00a0loss<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6700\u5927\u5229\u76ca\u30fb\u640d\u76ca\u5206\u5c90\u70b9\uff08\u6e80\u671f\u6642\u306e\u682a\u4fa1\uff09\u30fb\u6700\u5927\u640d\u5931<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0785em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">L<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0785em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0813em;\">H<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u4f4e\u3044\uff08L\uff09\/\u9ad8\u3044\uff08H\uff09\u884c\u4f7f\u4fa1\u683c<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.5806em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">L<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u8cb7\u3063\u305f\u4f4e\u884c\u4f7f\u4fa1\u683c\u30b3\u30fc\u30eb\u306e\u30d7\u30ec\u30df\u30a2\u30e0<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.5806em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0813em;\">H<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u58f2\u3063\u305f\u9ad8\u884c\u4f7f\u4fa1\u683c\u30b3\u30fc\u30eb\u306e\u30d7\u30ec\u30df\u30a2\u30e0<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u4f4e\u3044\u884c\u4f7f\u4fa1\u683c\u306e\u30b3\u30fc\u30eb\u306e\u8cb7\u3044\u3068\u9ad8\u3044\u884c\u4f7f\u4fa1\u683c\u306e\u30b3\u30fc\u30eb\u306e\u58f2\u308a\u3092\u7d44\u307f\u5408\u308f\u305b\u305f\u30d6\u30eb\u30fb\u30b3\u30fc\u30eb\u30fb\u30b9\u30d7\u30ec\u30c3\u30c9\u306e\u6700\u5927\u5229\u76ca\u3001\u640d\u76ca\u5206\u5c90\u70b9\u3001\u6700\u5927\u640d\u5931\u3092\u6c42\u3081\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">6. \u30d9\u30a2\u30d7\u30c3\u30c8\u30b9\u30d7\u30ec\u30c3\u30c9\u306e\u640d\u76ca\u30fb\u6700\u5927\u5229\u76ca\u30fb\u640d\u76ca\u5206\u5c90\u70b9<\/div>\n<div class=\"ne\">Bear Put Spread: Profit \/ Maximum Profit \/ Breakeven<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord\">\u03a0<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mop\">max<\/span><span class=\"mopen\">(<\/span><span class=\"mord\">0<\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0785em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0813em;\">H<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mop\">max<\/span><span class=\"mopen\">(<\/span><span class=\"mord\">0<\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0785em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">L<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0813em;\">H<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">L<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><\/span><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Max\u00a0profit<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0785em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0813em;\">H<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0785em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">L<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0813em;\">H<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">L<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><\/span><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Breakeven<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0785em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0813em;\">H<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0813em;\">H<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">L<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord\">\u03a0<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6e80\u671f\u6642\u306e\u640d\u76ca\uff081\u682a\u3042\u305f\u308a\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0785em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0813em;\">H<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0785em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">L<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u9ad8\u3044\uff08H\u3001\u8cb7\u3044\uff09\/\u4f4e\u3044\uff08L\u3001\u58f2\u308a\uff09\u884c\u4f7f\u4fa1\u683c<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6e80\u671f\u6642\u306e\u682a\u4fa1<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.625em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0813em;\">H<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">L<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u9ad8\u884c\u4f7f\u4fa1\u683c\u30d7\u30c3\u30c8\u306e\u652f\u6255\u30d7\u30ec\u30df\u30a2\u30e0\u30fb\u4f4e\u884c\u4f7f\u4fa1\u683c\u30d7\u30c3\u30c8\u306e\u53d7\u53d6\u30d7\u30ec\u30df\u30a2\u30e0<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Max\u00a0profit<\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Breakeven<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6700\u5927\u5229\u76ca\u30fb\u640d\u76ca\u5206\u5c90\u70b9\uff08\u6e80\u671f\u6642\u306e\u682a\u4fa1\uff09<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u9ad8\u3044\u884c\u4f7f\u4fa1\u683c\u306e\u30d7\u30c3\u30c8\u306e\u8cb7\u3044\u3068\u4f4e\u3044\u884c\u4f7f\u4fa1\u683c\u306e\u30d7\u30c3\u30c8\u306e\u58f2\u308a\u3092\u7d44\u307f\u5408\u308f\u305b\u305f\u30d9\u30a2\u30fb\u30d7\u30c3\u30c8\u30fb\u30b9\u30d7\u30ec\u30c3\u30c9\u306e\u640d\u76ca\u3001\u6700\u5927\u5229\u76ca\u3001\u640d\u76ca\u5206\u5c90\u70b9\u3092\u6c42\u3081\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">7. \u30b9\u30c8\u30e9\u30c9\u30eb\u306e\u30b3\u30b9\u30c8\u30fb\u640d\u76ca\u5206\u5c90\u70b9\u30fb\u30b7\u30e7\u30fc\u30c8\u30b9\u30c8\u30e9\u30c9\u30eb\u306e\u6700\u5927\u5229\u76ca<\/div>\n<div class=\"ne\">Straddle: Cost \/ Breakeven Points \/ Short Straddle Maximum Gain<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Cost<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Breakevens<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7667em;vertical-align:-0.0833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00b1<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Short\u00a0straddle\u00a0max\u00a0gain<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.625em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Cost<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30b9\u30c8\u30e9\u30c9\u30eb\u306e\u69cb\u7bc9\u30b3\u30b9\u30c8<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.625em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30b3\u30fc\u30eb\u30fb\u30d7\u30c3\u30c8\u306e\u30d7\u30ec\u30df\u30a2\u30e0<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Breakevens<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u4e0a\u4e0b2\u3064\u306e\u640d\u76ca\u5206\u5c90\u70b9\uff08\u6e80\u671f\u6642\u306e\u682a\u4fa1\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5171\u901a\u306e\u884c\u4f7f\u4fa1\u683c\uff08\u901a\u5e38\u306f\u30a2\u30c3\u30c8\u30fb\u30b6\u30fb\u30de\u30cd\u30fc\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Short\u00a0straddle\u00a0max\u00a0gain<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30b7\u30e7\u30fc\u30c8\u30fb\u30b9\u30c8\u30e9\u30c9\u30eb\u306e\u6700\u5927\u5229\u76ca<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u540c\u3058\u884c\u4f7f\u4fa1\u683c\u306e\u30b3\u30fc\u30eb\u3068\u30d7\u30c3\u30c8\u3092\u7d44\u307f\u5408\u308f\u305b\u305f\u30b9\u30c8\u30e9\u30c9\u30eb\u306e\u30b3\u30b9\u30c8\u3068\u4e0a\u4e0b\u306e\u640d\u76ca\u5206\u5c90\u70b9\u3001\u30b7\u30e7\u30fc\u30c8\u30fb\u30b9\u30c8\u30e9\u30c9\u30eb\u306e\u6700\u5927\u5229\u76ca\u3092\u6c42\u3081\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">8. \u30d7\u30c3\u30c8\u30fb\u30b3\u30fc\u30eb\u30fb\u30d1\u30ea\u30c6\u30a3\u3068\u5408\u6210\u30dd\u30b8\u30b7\u30e7\u30f3<\/div>\n<div class=\"ne\">Put-Call Parity and Synthetic Positions<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.625em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.2963em;vertical-align:-0.936em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3603em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mopen\">(<\/span><span class=\"mord\">1<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"mclose\"><span class=\"mclose\">)<\/span><span class=\"msupsub\"><span class=\"vlist-t\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.7673em;\"><span style=\"top:-2.989em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.936em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.2963em;vertical-align:-0.936em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3603em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mopen\">(<\/span><span class=\"mord\">1<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"mclose\"><span class=\"mclose\">)<\/span><span class=\"msupsub\"><span class=\"vlist-t\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.7673em;\"><span style=\"top:-2.989em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.936em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.2963em;vertical-align:-0.936em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3603em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mopen\">(<\/span><span class=\"mord\">1<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"mclose\"><span class=\"mclose\">)<\/span><span class=\"msupsub\"><span class=\"vlist-t\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.7673em;\"><span style=\"top:-2.989em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.936em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.1389em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mopen\">(<\/span><span class=\"mord\">1<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1.1413em;vertical-align:-0.25em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"mclose\"><span class=\"mclose\">)<\/span><span class=\"msupsub\"><span class=\"vlist-t\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.8913em;\"><span style=\"top:-3.113em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u73fe\u5728\u306e\u682a\u4fa1\uff08\u5408\u6210\u30ed\u30f3\u30b0\u682a = \u30b3\u30fc\u30eb\u8cb7\u3044 + \u30d7\u30c3\u30c8\u58f2\u308a + \u7121\u30ea\u30b9\u30af\u50b5\u3001\u540c\u4e00\u884c\u4f7f\u4fa1\u683c\u30fb\u6e80\u671f\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.625em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">p<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">c<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u540c\u4e00\u884c\u4f7f\u4fa1\u683cX\u30fb\u540c\u4e00\u6e80\u671f\u306e\u30d7\u30c3\u30c8\/\u30b3\u30fc\u30eb\u306e\u30d7\u30ec\u30df\u30a2\u30e0<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0785em;\">X<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u884c\u4f7f\u4fa1\u683c<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u7121\u30ea\u30b9\u30af\u91d1\u5229\u3068\u6e80\u671f\u307e\u3067\u306e\u671f\u9593<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.1389em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5148\u6e21\u4fa1\u683c\uff08\u5408\u6210\u30ed\u30f3\u30b0\u5148\u6e21 = \u30b3\u30fc\u30eb\u8cb7\u3044 + \u30d7\u30c3\u30c8\u58f2\u308a\uff09<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u30d7\u30c3\u30c8\u30fb\u30b3\u30fc\u30eb\u30fb\u30d1\u30ea\u30c6\u30a3\u3092\u7528\u3044\u3066\u3001\u30aa\u30d7\u30b7\u30e7\u30f3\u3068\u539f\u8cc7\u7523\u3001\u7121\u30ea\u30b9\u30af\u50b5\u306e\u7d44\u5408\u305b\u304b\u3089\u5408\u6210\u30d5\u30a9\u30ef\u30fc\u30c9\u3084\u5408\u6210\u30d7\u30c3\u30c8\u30fb\u30b3\u30fc\u30eb\u3092\u69cb\u6210\u3059\u308b\u95a2\u4fc2\u3092\u8868\u3059\u5f0f\u3002<\/div>\n<\/div>\n<h3 id=\"l3-drm-f-lm2\">LM2 Swaps, Forwards, and Futures Strategies\uff08\u30b9\u30ef\u30c3\u30d7\u30fb\u30d5\u30a9\u30ef\u30fc\u30c9\u30fb\u5148\u7269\u306e\u6226\u7565\uff09<\/h3>\n<div class=\"cfagl-lm\">\u3053\u306e\u5358\u5143\u306e\u8981\u70b9\u89e3\u8aac\uff1a<a href=\"https:\/\/triumphmind.com\/cfa\/2026\/09\/22\/cfa-l3-drm-lm2\/\">LM2 \u30b9\u30ef\u30c3\u30d7\u30fb\u30d5\u30a9\u30ef\u30fc\u30c9\u30fb\u5148\u7269\u306e\u6226\u7565<\/a><\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">9. \u76ee\u6a19\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u9054\u6210\u306e\u305f\u3081\u306e\u91d1\u5229\u30b9\u30ef\u30c3\u30d7\u60f3\u5b9a\u5143\u672c<\/div>\n<div class=\"ne\">Interest Rate Swap Notional for Target Duration<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">MV<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">P<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">MDUR<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">P<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">MDUR<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">MV<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">P<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">MDUR<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">\u21d2<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.1963em;vertical-align:-0.836em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3603em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">MDUR<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">MDUR<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">MDUR<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">P<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.836em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">MV<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">P<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">MV<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">P<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u50b5\u5238\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\uff08P = Portfolio\uff09\u306e\u6642\u4fa1\uff08MV = Market Value\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">MDUR<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">P<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">MDUR<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u73fe\u5728\uff08P\uff09\/\u76ee\u6a19\uff08T = Target\uff09\u306e\u4fee\u6b63\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\uff08MDUR = Modified Duration\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30b9\u30ef\u30c3\u30d7\uff08S = Swap\uff09\u306e\u60f3\u5b9a\u5143\u672c<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">MDUR<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30b9\u30ef\u30c3\u30d7\u306e\u4fee\u6b63\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\uff08\u53d7\u3051\u56fa\u5b9a\u306f\u30d7\u30e9\u30b9\u3001\u6255\u3044\u56fa\u5b9a\u306f\u30de\u30a4\u30ca\u30b9\uff09<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u73fe\u7269\u50b5\u5238\u3092\u58f2\u8cb7\u305b\u305a\u306b\u91d1\u5229\u30b9\u30ef\u30c3\u30d7\u3067\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306e\u4fee\u6b63\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u3092\u76ee\u6a19\u5024\u306b\u5909\u3048\u308b\u305f\u3081\u306b\u5fc5\u8981\u306a\u60f3\u5b9a\u5143\u672c\u3092\u6c42\u3081\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">10. \u91d1\u5229\u30b9\u30ef\u30c3\u30d7\u306e\u30cd\u30c3\u30c8\u6c7a\u6e08\u984d<\/div>\n<div class=\"ne\">Interest Rate Swap Net Settlement Payment<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Net\u00a0payment<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7667em;vertical-align:-0.0833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3175em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">receive<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1.0361em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.1514em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">pay<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.0574em;vertical-align:-0.686em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3714em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\">360<\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">days<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.686em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Net\u00a0payment<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6c7a\u6e08\u65e5\u306e\u30cd\u30c3\u30c8\u6c7a\u6e08\u984d\uff08\u6b63\u306a\u3089\u53d7\u53d6\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u60f3\u5b9a\u5143\u672c<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7167em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3175em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">receive<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.1514em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">pay<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u53d7\u53d6\uff08receive\uff09\/\u652f\u6255\uff08pay\uff09\u306e\u5e74\u7387<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">days<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6c7a\u6e08\u671f\u9593\u306e\u65e5\u6570\uff08\u534a\u5e74\u6255\u3044\u306a\u3089180\uff09<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u53d7\u53d6\u91d1\u5229\u3068\u652f\u6255\u91d1\u5229\u306e\u5dee\u306b\u60f3\u5b9a\u5143\u672c\u3068\u65e5\u6570\u3092\u639b\u3051\u3001\u91d1\u5229\u30b9\u30ef\u30c3\u30d7\u306e\u6c7a\u6e08\u65e5\u306e\u30cd\u30c3\u30c8\u652f\u6255\u984d\u3092\u6c42\u3081\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">11. BPV\u3068\u50b5\u5238\u5148\u7269\u306b\u3088\u308b\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u8abf\u6574\u679a\u6570(BPVHR)<\/div>\n<div class=\"ne\">BPV and Basis Point Value Hedge Ratio (Bond Futures)<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord text\"><span class=\"mord\">BPV<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7667em;vertical-align:-0.0833em;\"><\/span><span class=\"mord text\"><span class=\"mord\">MDUR<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.0833em;\"><\/span><span class=\"mord\">0.01%<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">MV<\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">BPVHR<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.1963em;vertical-align:-0.836em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3603em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">BPV<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">CTD<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">BPV<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">BPV<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">P<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.836em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord text\"><span class=\"mord\">CF<\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord text\"><span class=\"mord\">BPV<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30d9\u30fc\u30b7\u30b9\u30fb\u30dd\u30a4\u30f3\u30c8\u30fb\u30d0\u30ea\u30e5\u30fc\uff08BPV = Basis Point Value\uff09\uff1a\u5229\u56de\u308a1bp\u5909\u5316\u6642\u306e\u4fa1\u5024\u5909\u5316\u984d<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord text\"><span class=\"mord\">MDUR<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u4fee\u6b63\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\uff08MDUR = Modified Duration\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord text\"><span class=\"mord\">MV<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306e\u6642\u4fa1\uff08MV = Market Value\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord text\"><span class=\"mord\">BPVHR<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5fc5\u8981\u306a\u50b5\u5238\u5148\u7269\u306e\u679a\u6570\uff08BPVHR = BPV Hedge Ratio\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">BPV<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">P<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">BPV<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u73fe\u5728\uff08P\uff09\/\u76ee\u6a19\uff08T\uff09\u306eBPV\uff08\u30d5\u30eb\u30d8\u30c3\u30b8\u306a\u3089BPV_T=0\u3001\u73fe\u91d1\u304b\u3089\u306e\u8ee2\u63db\u306a\u3089BPV_P=0\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">BPV<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">CTD<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6700\u5272\u5b89\u53d7\u6e21\u9298\u67c4\uff08CTD = Cheapest-to-Deliver\uff09\u306eBPV\uff08=CTD\u306e\u4fee\u6b63\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u00d70.0001\u00d7(CTD\u4fa1\u683c\/100)\u00d7\u5951\u7d04\u30b5\u30a4\u30ba\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord text\"><span class=\"mord\">CF<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">CTD\u306e\u30b3\u30f3\u30d0\u30fc\u30b8\u30e7\u30f3\u30fb\u30d5\u30a1\u30af\u30bf\u30fc\uff08CF = Conversion Factor\uff09<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u3068\u76ee\u6a19\u306eBPV\u306e\u5dee\u3092CTD\u306eBPV\u3067\u5272\u308a\u4ea4\u63db\u6bd4\u7387\u3092\u639b\u3051\u3066\u3001\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u8abf\u6574\u306b\u5fc5\u8981\u306a\u50b5\u5238\u5148\u7269\u306e\u679a\u6570\u3092\u6c42\u3081\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">12. \u76ee\u6a19\u30d9\u30fc\u30bf\u9054\u6210\u306e\u305f\u3081\u306e\u682a\u4fa1\u6307\u6570\u5148\u7269\u679a\u6570<\/div>\n<div class=\"ne\">Number of Equity Index Futures for Target Beta<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1076em;\">f<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.4221em;vertical-align:-0.9721em;\"><\/span><span class=\"minner\"><span class=\"mopen delimcenter\" style=\"top:0em;\"><span class=\"delimsizing size3\">(<\/span><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3714em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0528em;\">\u03b2<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0528em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1076em;\">f<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0528em;\">\u03b2<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0528em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0528em;\">\u03b2<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0528em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.9721em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mclose delimcenter\" style=\"top:0em;\"><span class=\"delimsizing size3\">)<\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.0463em;vertical-align:-0.686em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3603em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.686em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.1076em;\">f<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.4306em;\"><\/span><span class=\"mord mathnormal\">m<\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1076em;\">f<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5fc5\u8981\u306a\u5148\u7269\uff08f = futures\uff09\u306e\u679a\u6570\uff08\u6b63\u306a\u3089\u8cb7\u3044\u3001\u8ca0\u306a\u3089\u58f2\u308a\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9805em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0528em;\">\u03b2<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0528em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0528em;\">\u03b2<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0528em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0528em;\">\u03b2<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0528em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1076em;\">f<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u76ee\u6a19\uff08T\uff09\u30d9\u30fc\u30bf\u30fb\u73fe\u5728\u306e\u682a\u5f0f\uff08S\uff09\u30d9\u30fc\u30bf\u30fb\u5148\u7269\uff08f\uff09\u30d9\u30fc\u30bf<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5bfe\u8c61\u3068\u306a\u308b\u682a\u5f0f\u30dd\u30b8\u30b7\u30e7\u30f3\u306e\u6642\u4fa1<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5148\u72691\u679a\u306e\u4fa1\u5024 = \u5148\u7269\u4fa1\u683c f \u00d7 \u4e57\u6570 m<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.1076em;\">f<\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord mathnormal\">m<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5148\u7269\u4fa1\u683c\u30fb\u5951\u7d04\u4e57\u6570<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u76ee\u6a19\u30d9\u30fc\u30bf\u3068\u73fe\u5728\u306e\u30d9\u30fc\u30bf\u306e\u5dee\u3001\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u6642\u4fa1\u3068\u5148\u7269\u306e\u4fa1\u683c\u00d7\u4e57\u6570\u304b\u3089\u3001\u30d9\u30fc\u30bf\u8abf\u6574\u306b\u5fc5\u8981\u306a\u682a\u4fa1\u6307\u6570\u5148\u7269\u306e\u679a\u6570\u3092\u6c42\u3081\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">13. \u30ad\u30e3\u30c3\u30b7\u30e5\u306e\u30a8\u30af\u30a4\u30bf\u30a4\u30ba(\u682a\u5f0f\u5316)\u306b\u5fc5\u8981\u306a\u5148\u7269\u679a\u6570<\/div>\n<div class=\"ne\">Cash Equitization: Number of Futures<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1076em;\">f<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.4221em;vertical-align:-0.9721em;\"><\/span><span class=\"minner\"><span class=\"mopen delimcenter\" style=\"top:0em;\"><span class=\"delimsizing size3\">(<\/span><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3714em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0528em;\">\u03b2<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0528em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1076em;\">f<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0528em;\">\u03b2<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0528em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.9721em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mclose delimcenter\" style=\"top:0em;\"><span class=\"delimsizing size3\">)<\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.0463em;vertical-align:-0.686em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3603em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.686em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1076em;\">f<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5fc5\u8981\u306a\u5148\u7269\uff08f = futures\uff09\u306e\u8cb7\u3044\u679a\u6570<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0528em;\">\u03b2<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0528em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u76ee\u6a19\uff08T = Target\uff09\u30d9\u30fc\u30bf\uff08\u6307\u6570\u9023\u52d5\u306a\u30891.0\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9805em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0528em;\">\u03b2<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0528em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1076em;\">f<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5148\u7269\u306e\u30d9\u30fc\u30bf<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30a8\u30af\u30a4\u30bf\u30a4\u30ba\u3059\u308b\u73fe\u91d1\u984d<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5148\u72691\u679a\u306e\u4fa1\u5024\uff08\u5148\u7269\u4fa1\u683c\u00d7\u4e57\u6570\uff09<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u4f59\u5270\u73fe\u91d1\u306b\u682a\u5f0f\u30a8\u30af\u30b9\u30dd\u30fc\u30b8\u30e3\u30fc\u3092\u6301\u305f\u305b\u308b\u305f\u3081\u306b\u5fc5\u8981\u306a\u682a\u4fa1\u6307\u6570\u5148\u7269\u306e\u679a\u6570\u3092\u3001\u76ee\u6a19\u30d9\u30fc\u30bf\u3068\u73fe\u91d1\u984d\u304b\u3089\u6c42\u3081\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">14. \u6700\u5272\u5b89\u53d7\u6e21\u9298\u67c4(CTD)\u306e\u5224\u5b9a<\/div>\n<div class=\"ne\">Cheapest-to-Deliver Bond Determination<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Principal\u00a0invoice<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.0463em;vertical-align:-0.686em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3603em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\">100<\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.1389em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">settle<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.686em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7667em;vertical-align:-0.0833em;\"><\/span><span class=\"mord text\"><span class=\"mord\">CF<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Contract\u00a0size<\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Delivery\u00a0gain<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7667em;vertical-align:-0.0833em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Invoice<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Dirty\u00a0price\u00a0purchase\u00a0cost<\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Principal\u00a0invoice<\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Invoice<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u53d7\u6e21\u6642\u306b\u5148\u7269\u306e\u8cb7\u3044\u624b\u304b\u3089\u53d7\u3051\u53d6\u308b\u5143\u672c\u53d7\u6e21\u4ee3\u91d1\uff08invoice amount\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.1389em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">settle<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5148\u7269\u6c7a\u6e08\uff08settle\uff09\u4fa1\u683c<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord text\"><span class=\"mord\">CF<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5404\u9298\u67c4\u306e\u30b3\u30f3\u30d0\u30fc\u30b8\u30e7\u30f3\u30fb\u30d5\u30a1\u30af\u30bf\u30fc\uff08CF = Conversion Factor\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Contract\u00a0size<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5148\u72691\u679a\u3042\u305f\u308a\u306e\u984d\u9762\uff08\u5951\u7d04\u30b5\u30a4\u30ba\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Delivery\u00a0gain<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u53d7\u6e21\u306b\u3088\u308b\u58f2\u308a\u624b\u306e\u640d\u76ca<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Dirty\u00a0price\u00a0purchase\u00a0cost<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u7d4c\u904e\u5229\u606f\u8fbc\u307f\uff08\u30c0\u30fc\u30c6\u30a3\u4fa1\u683c\uff09\u306e\u8cfc\u5165\u30b3\u30b9\u30c8 = (\u30c0\u30fc\u30c6\u30a3\u4fa1\u683c\/100) \u00d7 \u5951\u7d04\u30b5\u30a4\u30ba<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u5148\u7269\u4fa1\u683c\u3068\u4ea4\u63db\u6bd4\u7387\u304b\u3089\u53d7\u6e21\u4ee3\u91d1\u3092\u6c42\u3081\u3001\u8cfc\u5165\u30b3\u30b9\u30c8\u3068\u6bd4\u8f03\u3057\u3066\u53d7\u6e21\u640d\u76ca\u3092\u7b97\u51fa\u3059\u308b\u5f0f\u3002\u50b5\u5238\u5148\u7269\u306e\u58f2\u308a\u624b\u304c\u6700\u3082\u6709\u5229\u306a\u53d7\u6e21\u9298\u67c4\u3092\u5224\u5b9a\u3059\u308b\u5834\u9762\u3067\u4f7f\u3046\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">15. \u30c8\u30fc\u30bf\u30eb\u30ea\u30bf\u30fc\u30f3\u30fb\u30a8\u30af\u30a4\u30c6\u30a3\u30b9\u30ef\u30c3\u30d7\u306e\u6c7a\u6e08\u984d<\/div>\n<div class=\"ne\">Total Return Equity Swap Settlement<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3175em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">equity<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.263em;vertical-align:-0.836em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.427em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mopen\">(<\/span><span class=\"mord\">1<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3175em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">price<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">D<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.836em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Settlement<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7667em;vertical-align:-0.0833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.4em;vertical-align:-0.95em;\"><\/span><span class=\"minner\"><span class=\"mopen delimcenter\" style=\"top:0em;\"><span class=\"delimsizing size3\">(<\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">float<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.2921em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\">360<\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">t<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.686em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3175em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">equity<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose delimcenter\" style=\"top:0em;\"><span class=\"delimsizing size3\">)<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3175em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">equity<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u682a\u5f0f\uff08equity\uff09\u306e\u30c8\u30fc\u30bf\u30eb\u30ea\u30bf\u30fc\u30f3\uff08\u4fa1\u683c\u5909\u5316+\u914d\u5f53\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u671f\u521d\u306e\u682a\u4fa1<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7167em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3175em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">price<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u671f\u9593\u4e2d\u306e\u682a\u4fa1\u5909\u5316\u7387\uff08price return\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">D<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u671f\u9593\u4e2d\u306e1\u682a\u5f53\u305f\u308a\u914d\u5f53<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Settlement<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5909\u52d5\u91d1\u5229\u53d7\u53d6\u30fb\u682a\u5f0f\u30ea\u30bf\u30fc\u30f3\u652f\u6255\u5074\u306e\u6c7a\u6e08\u984d\uff08\u6b63\u306a\u3089\u53d7\u53d6\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u60f3\u5b9a\u5143\u672c\uff08\u682a\u6570\u00d7\u5f53\u521d\u682a\u4fa1\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.5806em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">float<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u53d7\u53d6\u5909\u52d5\uff08float\uff09\u91d1\u5229\uff08\u5e74\u7387\u3001\u671f\u9593\u6309\u5206\u3059\u308b\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6151em;\"><\/span><span class=\"mord mathnormal\">t<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6c7a\u6e08\u671f\u9593\u306e\u65e5\u6570<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u914d\u5f53\u3092\u542b\u3080\u682a\u5f0f\u306e\u30c8\u30fc\u30bf\u30eb\u30fb\u30ea\u30bf\u30fc\u30f3\u3068\u5909\u52d5\u91d1\u5229\u3092\u4ea4\u63db\u3059\u308b\u30a8\u30af\u30a4\u30c6\u30a3\u30fb\u30b9\u30ef\u30c3\u30d7\u306e\u6c7a\u6e08\u984d\u3092\u6c42\u3081\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">16. \u30d0\u30ea\u30a2\u30f3\u30b9\u30b9\u30ef\u30c3\u30d7\u306e\u60f3\u5b9a\u5143\u672c(\u30d0\u30ea\u30a2\u30f3\u30b9\u30ce\u30fc\u30b7\u30e7\u30ca\u30eb)\u3068\u6e80\u671f\u6c7a\u6e08\u984d<\/div>\n<div class=\"ne\">Variance Swap: Variance Notional \/ Settlement at Expiration<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.1514em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">var<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.1297em;vertical-align:-0.7693em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3603em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\">2<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0715em;\">K<\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.1514em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">vega<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.7693em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">Settlement<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.1514em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">var<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1.2141em;vertical-align:-0.35em;\"><\/span><span class=\"minner\"><span class=\"mopen delimcenter\" style=\"top:0em;\"><span class=\"delimsizing size1\">(<\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.8641em;\"><span style=\"top:-2.453em;margin-left:-0.0359em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">realized<\/span><\/span><\/span><\/span><\/span><span style=\"top:-3.113em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.247em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0715em;\">K<\/span><span class=\"msupsub\"><span class=\"vlist-t\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.8641em;\"><span style=\"top:-3.113em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose delimcenter\" style=\"top:0em;\"><span class=\"delimsizing size1\">)<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.1514em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">var<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30d0\u30ea\u30a2\u30f3\u30b9\u30fb\u30ce\u30fc\u30b7\u30e7\u30ca\u30eb\uff08variance notional\uff09\uff1a\u5206\u65631\u5358\u4f4d\u3042\u305f\u308a\u306e\u640d\u76ca\u984d<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.1514em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">vega<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30d9\u30ac\u30fb\u30ce\u30fc\u30b7\u30e7\u30ca\u30eb\uff08vega notional\uff09\uff1a\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a31\u30dd\u30a4\u30f3\u30c8\u3042\u305f\u308a\u306e\u640d\u76ca\u984d<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0715em;\">K<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u30fb\u30b9\u30c8\u30e9\u30a4\u30af\uff08\u5e74\u7387\u3001%\u306e\u6570\u5024\u306e\u307e\u307e\u4f7f\u3046\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8444em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">Settlement<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6e80\u671fT\u6642\u70b9\u306e\u6c7a\u6e08\u984d\uff08\u30ed\u30f3\u30b0\u5074\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.5806em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0359em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">realized<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5b9f\u73fe\uff08realized\uff09\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\uff08\u5e74\u7387\uff09<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u30d9\u30ac\u30fb\u30ce\u30fc\u30b7\u30e7\u30ca\u30eb\u304b\u3089\u5206\u6563\u30ce\u30fc\u30b7\u30e7\u30ca\u30eb\u3092\u6c42\u3081\u3001\u5b9f\u73fe\u5206\u6563\u3068\u5206\u6563\u30b9\u30c8\u30e9\u30a4\u30af\u306e\u5dee\u3092\u639b\u3051\u3066\u5206\u6563\u30b9\u30ef\u30c3\u30d7\u306e\u6e80\u671f\u6c7a\u6e08\u984d\u3092\u8a08\u7b97\u3059\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">17. \u30d0\u30ea\u30a2\u30f3\u30b9\u30b9\u30ef\u30c3\u30d7\u306e\u671f\u4e2d\u6642\u4fa1\u8a55\u4fa1<\/div>\n<div class=\"ne\">Variance Swap: Mark-to-Market Value before Expiration<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9275em;vertical-align:-0.2441em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">VarSwap<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.1864em;\"><span style=\"top:-2.4559em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">t<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2441em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.1514em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">var<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">PV<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2806em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">t<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mopen\">(<\/span><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">T<\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.4em;vertical-align:-0.95em;\"><\/span><span class=\"minner\"><span class=\"mopen delimcenter\" style=\"top:0em;\"><span class=\"delimsizing size3\">[<\/span><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.2921em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord mathnormal\">t<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.686em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.8641em;\"><span style=\"top:-2.428em;margin-left:-0.0359em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">realized<\/span><\/span><span class=\"mopen mtight\">(<\/span><span class=\"mord mtight\">0<\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mathnormal mtight\">t<\/span><span class=\"mclose mtight\">)<\/span><\/span><\/span><\/span><span style=\"top:-3.113em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.447em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3603em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">T<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord mathnormal\">t<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.686em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.8641em;\"><span style=\"top:-2.428em;margin-left:-0.0359em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">implied<\/span><\/span><span class=\"mopen mtight\">(<\/span><span class=\"mord mathnormal mtight\">t<\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><span class=\"mclose mtight\">)<\/span><\/span><\/span><\/span><span style=\"top:-3.113em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.447em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0715em;\">K<\/span><span class=\"msupsub\"><span class=\"vlist-t\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.8641em;\"><span style=\"top:-3.113em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose delimcenter\" style=\"top:0em;\"><span class=\"delimsizing size3\">]<\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9275em;vertical-align:-0.2441em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">VarSwap<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.1864em;\"><span style=\"top:-2.4559em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">t<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2441em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6642\u70b9t\u306e\u30d0\u30ea\u30a2\u30f3\u30b9\u30b9\u30ef\u30c3\u30d7\uff08Variance Swap\uff09\u306e\u6642\u4fa1\uff08\u30ed\u30f3\u30b0\u5074\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.1514em;\"><span style=\"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">var<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30d0\u30ea\u30a2\u30f3\u30b9\u30fb\u30ce\u30fc\u30b7\u30e7\u30ca\u30eb = \u30d9\u30ac\u30fb\u30ce\u30fc\u30b7\u30e7\u30ca\u30eb\/(2K)<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">PV<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2806em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">t<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mopen\">(<\/span><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">T<\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6642\u70b9t\u304b\u3089\u6e80\u671fT\u307e\u3067\u306e\u73fe\u5728\u4fa1\u5024\u4fc2\u6570\uff08PV = Present Value\uff09= 1\/(1 + r\u00d7(T\u2212t)\/12)<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord mathnormal\">t<\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">T<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u7d4c\u904e\u671f\u9593\u30fb\u30b9\u30ef\u30c3\u30d7\u306e\u5168\u671f\u9593\uff08\u6708\u6570\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7858em;vertical-align:-0.3552em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3448em;\"><span style=\"top:-2.5198em;margin-left:-0.0359em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">realized<\/span><\/span><span class=\"mopen mtight\">(<\/span><span class=\"mord mtight\">0<\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mathnormal mtight\">t<\/span><span class=\"mclose mtight\">)<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3552em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u958b\u59cb\u304b\u3089t\u307e\u3067\u306e\u5b9f\u73fe\uff08realized\uff09\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7858em;vertical-align:-0.3552em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3448em;\"><span style=\"top:-2.5198em;margin-left:-0.0359em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">implied<\/span><\/span><span class=\"mopen mtight\">(<\/span><span class=\"mord mathnormal mtight\">t<\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1389em;\">T<\/span><span class=\"mclose mtight\">)<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3552em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6b8b\u5b58\u671f\u9593\u306e\u65b0\u898f\u30b9\u30ef\u30c3\u30d7\u306e\u30d5\u30a7\u30a2\u30b9\u30c8\u30e9\u30a4\u30af\uff08\u30a4\u30f3\u30d7\u30e9\u30a4\u30c9\uff08implied\uff09\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0715em;\">K<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5f53\u521d\u306e\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u30fb\u30b9\u30c8\u30e9\u30a4\u30af<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u7d4c\u904e\u671f\u9593\u306e\u5b9f\u73fe\u5206\u6563\u3068\u6b8b\u5b58\u671f\u9593\u306e\u30a4\u30f3\u30d7\u30e9\u30a4\u30c9\u5206\u6563\u3092\u671f\u9593\u3067\u52a0\u91cd\u5e73\u5747\u3057\u3001\u5206\u6563\u30b9\u30ef\u30c3\u30d7\u306e\u6e80\u671f\u524d\u306e\u6642\u4fa1\u3092\u6c42\u3081\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">18. FF\u91d1\u5229\u5148\u7269\u304b\u3089\u306e\u7e54\u308a\u8fbc\u307f\u78ba\u7387\u306e\u7b97\u51fa<\/div>\n<div class=\"ne\">Fed Funds Futures: Implied Rate and Probability of a Rate Change<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">FFE<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">implied<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7278em;vertical-align:-0.0833em;\"><\/span><span class=\"mord\">100<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">P<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.1389em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">futures<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Prob<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.1963em;vertical-align:-0.836em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3603em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.1514em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">new<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2806em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">current<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">FFE<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">implied<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2806em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">current<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.836em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">FFE<\/span><\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">implied<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5148\u7269\u4fa1\u683c\u304c\u7e54\u308a\u8fbc\u3080\uff08implied\uff09\u5b9f\u52b9FF\u91d1\u5229\uff08FFE = Fed Funds Effective rate\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">P<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.1389em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">futures<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">FF\uff08Fed Funds\uff09\u91d1\u5229\u5148\u7269\u306e\u4fa1\u683c<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Prob<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u653f\u7b56\u91d1\u5229\u5909\u66f4\u306e\u7e54\u308a\u8fbc\u307f\u78ba\u7387\uff08Probability\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.5806em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2806em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">current<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u73fe\u5728\uff08current\uff09\u306e\u30bf\u30fc\u30b2\u30c3\u30c8\u30ec\u30f3\u30b8\u306e\u4e2d\u592e\u5024<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.5806em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.1514em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">new<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5909\u66f4\u5f8c\uff08\u00b125bps\u306a\u3069\uff09\u306e\u30bf\u30fc\u30b2\u30c3\u30c8\u30ec\u30f3\u30b8\u306e\u4e2d\u592e\u5024<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>FF\u91d1\u5229\u5148\u7269\u306e\u4fa1\u683c\u304b\u3089\u30a4\u30f3\u30d7\u30e9\u30a4\u30c9\u91d1\u5229\u3092\u6c42\u3081\u3001\u73fe\u5728\u306e\u5b9f\u52b9\u91d1\u5229\u3068\u5909\u66f4\u5f8c\u306e\u91d1\u5229\u3068\u6bd4\u3079\u3066\u653f\u7b56\u91d1\u5229\u5909\u66f4\u306e\u78ba\u7387\u3092\u63a8\u5b9a\u3059\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">19. \u91d1\u5229\u5148\u7269\u306b\u3088\u308b\u91d1\u5229\u30ed\u30c3\u30af(\u5b9f\u52b9\u91d1\u5229)<\/div>\n<div class=\"ne\">Locking in a Rate with Interest Rate Futures (Effective Rate)<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.5806em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">effective<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">loan<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">P<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.1389em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">sell<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1.0361em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">P<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.1389em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">buy<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">(prices\u00a0in\u00a0IMM\u00a0index:\u00a0<\/span><\/span><span class=\"mord\">100<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"mord text\"><span class=\"mord\">)<\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.5806em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">effective<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5148\u7269\u640d\u76ca\u3092\u53cd\u6620\u3057\u305f\u5b9f\u52b9\uff08effective\uff09\u91d1\u5229<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.5806em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">loan<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5b9f\u969b\u306b\u6210\u7acb\u3057\u305f\u501f\u5165\uff08loan\uff09\u91d1\u5229<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">P<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.1389em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">sell<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">P<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.1389em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">buy<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5148\u7269\u306e\u58f2\u5024\u3068\u8cb7\u623b\u3057\u5024\uff08\u4fa1\u683c1bp\u306e\u5909\u5316=\u91d1\u52291bp\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord text\"><span class=\"mord\">IMM<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">IMM\u6307\u6570\u65b9\u5f0f\uff08IMM = International Monetary Market\uff09\uff1a\u5148\u7269\u4fa1\u683c = 100 \u2212 \u91d1\u5229r\uff08%\uff09<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u91d1\u5229\u5148\u7269\u306e\u58f2\u308a\uff08\u8cb7\u3044\uff09\u3067\u5c06\u6765\u306e\u501f\u5165\uff08\u904b\u7528\uff09\u91d1\u5229\u3092\u56fa\u5b9a\u3057\u305f\u5834\u5408\u306e\u5b9f\u52b9\u91d1\u5229\u3092\u3001\u5148\u7269\u306e\u640d\u76ca\u3092\u53cd\u6620\u3057\u3066\u6c42\u3081\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">20. \u70ba\u66ff\u30d5\u30eb\u30d8\u30c3\u30b8\u5f8c\u306e\u5916\u50b5\u5229\u56de\u308a(\u901a\u8ca8\u30d9\u30fc\u30b7\u30b9\u8fbc\u307f)<\/div>\n<div class=\"ne\">Currency-Hedged Foreign Bond Return (with Cross-Currency Basis)<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">hedged<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.5364em;vertical-align:-1.0412em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.4952em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3448em;\"><span style=\"top:-2.5198em;margin-left:-0.1389em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1076em;\">f<\/span><span class=\"mord mtight\">\/<\/span><span class=\"mord mathnormal mtight\">d<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3552em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.7452em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3448em;\"><span style=\"top:-2.5198em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1076em;\">f<\/span><span class=\"mord mtight\">\/<\/span><span class=\"mord mathnormal mtight\">d<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3552em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\">1<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">i<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1076em;\">f<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.0412em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6444em;\"><\/span><span class=\"mord\">1<\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">hedged<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u70ba\u66ff\u30d5\u30eb\u30d8\u30c3\u30b8\u5f8c\uff08hedged\uff09\u306e\u81ea\u56fd\u901a\u8ca8\u5efa\u3066\u30ea\u30bf\u30fc\u30f3<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1.0385em;vertical-align:-0.3552em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3448em;\"><span style=\"top:-2.5198em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1076em;\">f<\/span><span class=\"mord mtight\">\/<\/span><span class=\"mord mathnormal mtight\">d<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3552em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3448em;\"><span style=\"top:-2.5198em;margin-left:-0.1389em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1076em;\">f<\/span><span class=\"mord mtight\">\/<\/span><span class=\"mord mathnormal mtight\">d<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3552em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30b9\u30dd\u30c3\u30c8\/\u5148\u6e21\u30ec\u30fc\u30c8\uff08f\/d = \u5916\u8ca8\/\u81ea\u56fd\u901a\u8ca8\u306e\u8868\u793a\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9456em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">i<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\" style=\"margin-right:0.1076em;\">f<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5916\u8ca8\u5efa\u3066\u6295\u8cc7\u306e\u5229\u56de\u308a<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u5916\u8ca8\u5efa\u3066\u50b5\u5238\u3078\u306e\u6295\u8cc7\u3092\u70ba\u66ff\u30d5\u30a9\u30ef\u30fc\u30c9\u3067\u5b8c\u5168\u306b\u30d8\u30c3\u30b8\u3057\u305f\u5834\u5408\u306e\u56fd\u5185\u901a\u8ca8\u5efa\u3066\u306e\u30ea\u30bf\u30fc\u30f3\u3092\u3001\u30b9\u30dd\u30c3\u30c8\u3001\u30d5\u30a9\u30ef\u30fc\u30c9\u3001\u5916\u8ca8\u91d1\u5229\u304b\u3089\u6c42\u3081\u308b\u5f0f\u3002<\/div>\n<\/div>\n<h3 id=\"l3-drm-f-lm3\">LM3 Currency Management: An Introduction\uff08\u901a\u8ca8\u30de\u30cd\u30b8\u30e1\u30f3\u30c8\u5165\u9580\uff09<\/h3>\n<div class=\"cfagl-lm\">\u3053\u306e\u5358\u5143\u306e\u8981\u70b9\u89e3\u8aac\uff1a<a href=\"https:\/\/triumphmind.com\/cfa\/2026\/09\/22\/cfa-l3-drm-lm3\/\">LM3 \u901a\u8ca8\u30de\u30cd\u30b8\u30e1\u30f3\u30c8\u5165\u9580<\/a><\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">21. \u81ea\u56fd\u901a\u8ca8\u5efa\u3066\u30ea\u30bf\u30fc\u30f3(\u5358\u4e00\u30fb\u8907\u6570\u5916\u8ca8\u8cc7\u7523)<\/div>\n<div class=\"ne\">Domestic-Currency Return (Single and Multiple Foreign Assets)<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.7em;vertical-align:-1.1em;\"><\/span><span class=\"mord\"><span class=\"mtable\"><span class=\"col-align-r\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.6em;\"><span style=\"top:-3.6em;\"><span class=\"pstrut\" style=\"height:2.84em;\"><\/span><span class=\"mord\"><\/span><\/span><span style=\"top:-2.1em;\"><span class=\"pstrut\" style=\"height:2.84em;\"><\/span><span class=\"mord\"><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.1em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"col-align-l\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.6em;\"><span style=\"top:-3.76em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">DC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\">1<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mopen\">(<\/span><span class=\"mord\">1<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\">1<\/span><\/span><\/span><span style=\"top:-2.26em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">DC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"minner\"><span class=\"mopen delimcenter\" style=\"top:0em;\">[<\/span><span class=\"mopen\">(<\/span><span class=\"mord\">1<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mopen\">(<\/span><span class=\"mord\">1<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\">1<\/span><span class=\"mclose delimcenter\" style=\"top:0em;\">]<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"minner\"><span class=\"mopen delimcenter\" style=\"top:0em;\">[<\/span><span class=\"mopen\">(<\/span><span class=\"mord\">1<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mopen\">(<\/span><span class=\"mord\">1<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\">1<\/span><span class=\"mclose delimcenter\" style=\"top:0em;\">]<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"minner\">\u22ef<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.1em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">DC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u81ea\u56fd\u901a\u8ca8\u5efa\u3066\u30ea\u30bf\u30fc\u30f3\uff08DC = Domestic Currency\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5916\u8ca8\u5efa\u3066\u8cc7\u7523\u306e\u73fe\u5730\u901a\u8ca8\u5efa\u3066\u30ea\u30bf\u30fc\u30f3\uff08FC = Foreign Currency\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5916\u8ca8\u306e\u5bfe\u81ea\u56fd\u901a\u8ca8\u306e\u9a30\u843d\u7387\uff08FX = Foreign Exchange\u3002P\/B = Price\/Base \u8868\u793a\u3067\u81ea\u56fd\u901a\u8ca8\u3092\u30d7\u30e9\u30a4\u30b9\u901a\u8ca8\u3001\u5916\u8ca8\u3092\u30d9\u30fc\u30b9\u901a\u8ca8\u3068\u3057\u3066\u8a08\u7b97\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.625em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"minner\">\u2026<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5404\u5916\u8ca8\u8cc7\u7523\u306e\u30a6\u30a7\u30a4\u30c8<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mathnormal mtight\">i<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mathnormal mtight\">i<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u7b2ci\u5916\u8ca8\u8cc7\u7523\u306e\u73fe\u5730\u901a\u8ca8\u5efa\u3066\u30ea\u30bf\u30fc\u30f3\u30fb\u305d\u306e\u901a\u8ca8\u306e\u9a30\u843d\u7387<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u5916\u8ca8\u5efa\u3066\u8cc7\u7523\u306e\u30ea\u30bf\u30fc\u30f3\u3068\u5916\u8ca8\u306e\u5909\u5316\u7387\u304b\u3089\u56fd\u5185\u901a\u8ca8\u5efa\u3066\u30ea\u30bf\u30fc\u30f3\u3092\u6c42\u3081\u308b\u5f0f\u3002\u8907\u6570\u8cc7\u7523\u306e\u5834\u5408\u306f\u5404\u8cc7\u7523\u306e\u5024\u3092\u52a0\u91cd\u5e73\u5747\u3059\u308b\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">22. \u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u30ea\u30bf\u30fc\u30f3\u306b\u5bfe\u3059\u308b\u901a\u8ca8\u306e\u5bc4\u4e0e<\/div>\n<div class=\"ne\">Contribution of Currency to Portfolio Return<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:4.2em;vertical-align:-1.85em;\"><\/span><span class=\"mord\"><span class=\"mtable\"><span class=\"col-align-r\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:2.35em;\"><span style=\"top:-4.51em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">DC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\">\u00a0<\/span><\/span><\/span><span style=\"top:-3.01em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><\/span><\/span><span style=\"top:-1.51em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">FX\u00a0contribution<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\">\u00a0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.85em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"col-align-l\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:2.35em;\"><span style=\"top:-4.51em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"minner\">\u22ef<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"minner\">\u22ef<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mclose\">)<\/span><\/span><\/span><span style=\"top:-3.01em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"minner\">\u22ef<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mclose\">)<\/span><\/span><\/span><span style=\"top:-1.51em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">DC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"minner\">\u22ef<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.85em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">DC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306e\u81ea\u56fd\u901a\u8ca8\u5efa\u3066\u30ea\u30bf\u30fc\u30f3\uff08DC = Domestic Currency\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.5806em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3117em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">i<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5404\u5730\u57df\u306e\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u30a6\u30a7\u30a4\u30c8<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mathnormal mtight\">i<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5404\u5730\u57df\u306e\u73fe\u5730\u901a\u8ca8\u5efa\u3066\u8cc7\u7523\u30ea\u30bf\u30fc\u30f3\uff08FC = Foreign Currency\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><span class=\"mpunct mtight\">,<\/span><span class=\"mord mathnormal mtight\">i<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5404\u901a\u8ca8\u306e\u5bfe\u81ea\u56fd\u901a\u8ca8\u30ea\u30bf\u30fc\u30f3\uff08FX = Foreign Exchange\u3002\u81ea\u56fd\u8cc7\u7523\u306f0\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">FX\u00a0contribution<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30ea\u30bf\u30fc\u30f3\u306b\u5bfe\u3059\u308b\u901a\u8ca8\uff08\u70ba\u66ff\uff09\u306e\u5bc4\u4e0e<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u591a\u901a\u8ca8\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306e\u56fd\u5185\u901a\u8ca8\u5efa\u3066\u30ea\u30bf\u30fc\u30f3\u3092\u3001\u8cc7\u7523\u30ea\u30bf\u30fc\u30f3\u90e8\u5206\u3001\u70ba\u66ff\u90e8\u5206\u3001\u4e21\u8005\u306e\u4ea4\u5dee\u9805\u306b\u5206\u89e3\u3057\u3001\u901a\u8ca8\u306e\u5bc4\u4e0e\u3092\u6c42\u3081\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">23. \u81ea\u56fd\u901a\u8ca8\u5efa\u3066\u30ea\u30bf\u30fc\u30f3\u306e\u30ea\u30b9\u30af(\u5206\u6563)<\/div>\n<div class=\"ne\">Risk of Domestic-Currency Return<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1.1141em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"msupsub\"><span class=\"vlist-t\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.8641em;\"><span style=\"top:-3.113em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">DC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">\u2248<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1.1141em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"msupsub\"><span class=\"vlist-t\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.8641em;\"><span style=\"top:-3.113em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1.1141em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"msupsub\"><span class=\"vlist-t\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.8641em;\"><span style=\"top:-3.113em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\">2<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord mathnormal\">\u03c1<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1.0641em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"msupsub\"><span class=\"vlist-t\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.8141em;\"><span style=\"top:-3.063em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">DC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u81ea\u56fd\u901a\u8ca8\u5efa\u3066\u30ea\u30bf\u30fc\u30f3\uff08DC = Domestic Currency\uff09\u306e\u5206\u6563<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5916\u8ca8\u5efa\u3066\u8cc7\u7523\u30ea\u30bf\u30fc\u30f3\uff08FC = Foreign Currency\uff09\u306e\u6a19\u6e96\u504f\u5dee\uff08\u03c3\u00b2\u306f\u5206\u6563\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u70ba\u66ff\u30ec\u30fc\u30c8\u30ea\u30bf\u30fc\u30f3\uff08FX = Foreign Exchange\uff09\u306e\u6a19\u6e96\u504f\u5dee<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord mathnormal\">\u03c1<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u8cc7\u7523\u30ea\u30bf\u30fc\u30f3\u3068\u70ba\u66ff\u30ea\u30bf\u30fc\u30f3\u306e\u76f8\u95a2<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u5916\u8ca8\u5efa\u3066\u8cc7\u7523\u30ea\u30bf\u30fc\u30f3\u3068\u70ba\u66ff\u5909\u5316\u7387\u306e\u5206\u6563\u30fb\u76f8\u95a2\u304b\u3089\u3001\u56fd\u5185\u901a\u8ca8\u5efa\u3066\u30ea\u30bf\u30fc\u30f3\u306e\u5206\u6563\u3092\u8fd1\u4f3c\u3059\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">24. 2\u901a\u8ca8(\u30af\u30ed\u30b9\u30d8\u30c3\u30b8)\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306e\u30ea\u30b9\u30af<\/div>\n<div class=\"ne\">Two-Currency (Cross Hedge) Portfolio Risk<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1.1141em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"msupsub\"><span class=\"vlist-t\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.8641em;\"><span style=\"top:-3.113em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1.1141em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.8641em;\"><span style=\"top:-2.453em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><span style=\"top:-3.113em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.247em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"msupsub\"><span class=\"vlist-t\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.8641em;\"><span style=\"top:-3.113em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1.1141em;vertical-align:-0.25em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.8641em;\"><span style=\"top:-2.453em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><span style=\"top:-3.113em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.247em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"msupsub\"><span class=\"vlist-t\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.8641em;\"><span style=\"top:-3.113em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord\">2<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mord mathnormal\">\u03c1<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.625em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0269em;\">w<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5404\u30dd\u30b8\u30b7\u30e7\u30f3\u306e\u30a6\u30a7\u30a4\u30c8\uff08\u7b49\u984d\u30ed\u30f3\u30b0\/\u30b7\u30e7\u30fc\u30c8\u306a\u3089 +1 \u3068 \u22121\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5404\u30dd\u30b8\u30b7\u30e7\u30f3\u306e\u81ea\u56fd\u901a\u8ca8\u5efa\u3066\u30ea\u30bf\u30fc\u30f3<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3117em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">i<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5404\u30dd\u30b8\u30b7\u30e7\u30f3\u306e\u30ea\u30bf\u30fc\u30f3\u306e\u6a19\u6e96\u504f\u5dee\uff08\u03c3\u00b2\u306f\u5206\u6563\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord mathnormal\">\u03c1<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">1<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">2<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u4e21\u30ea\u30bf\u30fc\u30f3\u306e\u76f8\u95a2\uff08\u6b63\u306e\u76f8\u95a2\u304c\u9ad8\u3044\u307b\u3069\u30ed\u30f3\u30b0\u30fb\u30b7\u30e7\u30fc\u30c8\u306e\u30ea\u30b9\u30af\u4f4e\u6e1b\u52b9\u679c\u5927\uff09<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u30ed\u30f3\u30b0\u3068\u30b7\u30e7\u30fc\u30c8\u3092\u7d44\u307f\u5408\u308f\u305b\u305f2\u901a\u8ca8\u30dd\u30b8\u30b7\u30e7\u30f3\u306e\u5206\u6563\u3092\u3001\u30a6\u30a8\u30a4\u30c8\u30fb\u6a19\u6e96\u504f\u5dee\u30fb\u76f8\u95a2\u304b\u3089\u6c42\u3081\u308b\u5f0f\u3002\u30af\u30ed\u30b9\u30fb\u30d8\u30c3\u30b8\u5f8c\u306b\u6b8b\u308b\u30ea\u30b9\u30af\u306e\u8a55\u4fa1\u306b\u4f7f\u3046\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">25. \u6700\u5c0f\u5206\u6563\u30d8\u30c3\u30b8\u6bd4\u7387<\/div>\n<div class=\"ne\">Minimum-Variance Hedge Ratio<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6944em;\"><\/span><span class=\"mord mathnormal\">h<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord mathnormal\">\u03c1<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">DC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.363em;vertical-align:-0.936em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.427em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">DC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.936em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Hedge\u00a0size<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7778em;vertical-align:-0.0833em;\"><\/span><span class=\"mord mathnormal\">h<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Exposure<\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6944em;\"><\/span><span class=\"mord mathnormal\">h<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6700\u5c0f\u5206\u6563\u30d8\u30c3\u30b8\u6bd4\u7387\uff08\u30d8\u30c3\u30b8\u5bfe\u8c61\u30ea\u30bf\u30fc\u30f3\u3092\u30d8\u30c3\u30b8\u624b\u6bb5\u30ea\u30bf\u30fc\u30f3\u306b\u56de\u5e30\u3057\u305f\u03b2\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord mathnormal\">\u03c1<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">DC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30d8\u30c3\u30b8\u5bfe\u8c61\u30ea\u30bf\u30fc\u30f3\u3068\u30d8\u30c3\u30b8\u624b\u6bb5\u30ea\u30bf\u30fc\u30f3\u306e\u76f8\u95a2<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">DC<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30d8\u30c3\u30b8\u5bfe\u8c61\uff08\u81ea\u56fd\u901a\u8ca8\u5efa\u3066\u8cc7\u7523\u30ea\u30bf\u30fc\u30f3\u3002DC = Domestic Currency\uff09\u306e\u6a19\u6e96\u504f\u5dee<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0359em;\">\u03c3<\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30d8\u30c3\u30b8\u624b\u6bb5\uff08\u70ba\u66ff\u30ea\u30bf\u30fc\u30f3\u3002FX = Foreign Exchange\uff09\u306e\u6a19\u6e96\u504f\u5dee<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Hedge\u00a0size<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30d8\u30c3\u30b8\u53d6\u5f15\u306e\u91d1\u984d<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Exposure<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30d8\u30c3\u30b8\u5bfe\u8c61\u306e\u30a8\u30af\u30b9\u30dd\u30fc\u30b8\u30e3\u30fc\uff08\u5916\u8ca8\u5efa\u3066\u8cc7\u7523\u306e\u91d1\u984d\uff09<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u56fd\u5185\u901a\u8ca8\u5efa\u3066\u30ea\u30bf\u30fc\u30f3\u306e\u5206\u6563\u3092\u6700\u5c0f\u306b\u3059\u308b\u30d8\u30c3\u30b8\u6bd4\u7387\u3068\u3001\u305d\u308c\u306b\u5fdc\u3058\u305f\u30d8\u30c3\u30b8\u984d\u3092\u6c42\u3081\u308b\u5f0f\u3002\u30af\u30ed\u30b9\u30fb\u30d8\u30c3\u30b8\u3084\u30de\u30af\u30ed\u30fb\u30d8\u30c3\u30b8\u3067\u4f7f\u3046\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">26. \u30ad\u30e3\u30ea\u30fc\u30c8\u30ec\u30fc\u30c9\u306e\u53ce\u76ca(\u30cd\u30ac\u30c6\u30a3\u30d6\u30ad\u30e3\u30ea\u30fc\u542b\u3080)<\/div>\n<div class=\"ne\">Carry Trade Return \/ Negative Carry Trade<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.1514em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">carry<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">\u2248<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8095em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">i<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3175em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">invest<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8095em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">i<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">fund<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9444em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\">%\u0394<\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.0463em;vertical-align:-0.686em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3603em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.686em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.1514em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">carry<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30ad\u30e3\u30ea\u30fc\u30c8\u30ec\u30fc\u30c9\uff08carry trade\uff09\u306e\u53ce\u76ca\u7387<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.854em;vertical-align:-0.1944em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">i<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3175em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">invest<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\">i<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:0em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">fund<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u904b\u7528\uff08invest\uff09\u901a\u8ca8\/\u8abf\u9054\uff08fund\uff09\u901a\u8ca8\u306e\u91d1\u5229<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8056em;vertical-align:-0.0556em;\"><\/span><span class=\"mord\">%\u0394<\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u904b\u7528\u901a\u8ca8\u306e\u5bfe\u8abf\u9054\u901a\u8ca8\u306e\u70ba\u66ff\u5909\u52d5\u7387\uff08\u30ad\u30e3\u30ea\u30fc\u30c8\u30ec\u30fc\u30c9\u306e\u30ea\u30b9\u30af\u6e90\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0077em;\">R<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3283em;\"><span style=\"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">FX<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5148\u6e21\u30ec\u30fc\u30c8\u3067\u78ba\u5b9a\u3067\u304d\u308b\u70ba\u66ff\u30ea\u30bf\u30fc\u30f3\uff08FX = Foreign Exchange\u3002\u30d5\u30a9\u30ef\u30fc\u30c9\u30d7\u30ec\u30df\u30a2\u30e0\/\u30c7\u30a3\u30b9\u30ab\u30a6\u30f3\u30c8\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5148\u6e21\u30ec\u30fc\u30c8\u3068\u73fe\u5728\u306e\u30b9\u30dd\u30c3\u30c8\u30ec\u30fc\u30c8<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u904b\u7528\u901a\u8ca8\u3068\u8abf\u9054\u901a\u8ca8\u306e\u91d1\u5229\u5dee\u306b\u70ba\u66ff\u306e\u5909\u5316\u3092\u52a0\u3048\u3001\u30ad\u30e3\u30ea\u30fc\u30fb\u30c8\u30ec\u30fc\u30c9\u306e\u53ce\u76ca\u3092\u6c42\u3081\u308b\u5f0f\u3002\u30d5\u30a9\u30ef\u30fc\u30c9\u3068\u30b9\u30dd\u30c3\u30c8\u306e\u95a2\u4fc2\u304b\u3089\u306e\u5224\u5b9a\u306b\u3082\u4f7f\u3046\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">27. \u30d5\u30a9\u30ef\u30fc\u30c9\u30d7\u30ec\u30df\u30a2\u30e0\/\u30c7\u30a3\u30b9\u30ab\u30a6\u30f3\u30c8\u3068\u30d8\u30c3\u30b8\u306e\u30ed\u30fc\u30eb\u30a4\u30fc\u30eb\u30c9<\/div>\n<div class=\"ne\">Forward Premium\/Discount and Roll Yield of a Hedge<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Forward\u00a0premium<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.1963em;vertical-align:-0.836em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3603em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.836em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Expected\u00a0roll\u00a0yield\u00a0(short\u00a0hedge)<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.1963em;vertical-align:-0.836em;\"><\/span><span class=\"mord\">+<\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3603em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.836em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Expected\u00a0FX\u00a0move<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.1963em;vertical-align:-0.836em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3603em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">forecast<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.836em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Forward\u00a0premium<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30d5\u30a9\u30ef\u30fc\u30c9\u30fb\u30d7\u30ec\u30df\u30a2\u30e0\uff08\u8ca0\u306a\u3089\u30c7\u30a3\u30b9\u30ab\u30a6\u30f3\u30c8\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8778em;vertical-align:-0.1944em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\">\u00a0<\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3011em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\">0<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5148\u6e21\u30ec\u30fc\u30c8\u3068\u73fe\u5728\u306e\u30b9\u30dd\u30c3\u30c8\u30ec\u30fc\u30c8\uff08P\/B = Price\/Base \u8868\u793a\u3002\u30d8\u30c3\u30b8\u306f\u30d9\u30fc\u30b9\u901a\u8ca8\u306e\u58f2\u308a\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:1em;vertical-align:-0.25em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Expected\u00a0roll\u00a0yield\u00a0(short\u00a0hedge)<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30d9\u30fc\u30b9\u901a\u8ca8\u58f2\u308a\u30d8\u30c3\u30b8\u3067\u671f\u5f85\u3055\u308c\u308b\u30ed\u30fc\u30eb\u30fb\u30a4\u30fc\u30eb\u30c9<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">Expected\u00a0FX\u00a0move<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u4e88\u60f3\u3055\u308c\u308b\u70ba\u66ff\uff08FX = Foreign Exchange\uff09\u306e\u5909\u52d5\u7387<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">forecast<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u4e88\u60f3\uff08forecast\uff09\u5c06\u6765\u30b9\u30dd\u30c3\u30c8\u30ec\u30fc\u30c8<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u30d5\u30a9\u30ef\u30fc\u30c9\u3068\u30b9\u30dd\u30c3\u30c8\u306e\u5dee\u304b\u3089\u30d5\u30a9\u30ef\u30fc\u30c9\u30fb\u30d7\u30ec\u30df\u30a2\u30e0\uff08\u30c7\u30a3\u30b9\u30ab\u30a6\u30f3\u30c8\uff09\u3068\u30d8\u30c3\u30b8\u306e\u30ed\u30fc\u30eb\u30fb\u30a4\u30fc\u30eb\u30c9\u3092\u6c42\u3081\u3001\u4e88\u60f3\u30b9\u30dd\u30c3\u30c8\u306e\u5909\u5316\u3068\u6bd4\u3079\u3066\u30d8\u30c3\u30b8\u6bd4\u7387\u3092\u5224\u65ad\u3059\u308b\u5f0f\u3002<\/div>\n<\/div>\n<div class=\"cfafm-c\">\n<div class=\"nm\">28. \u901a\u8ca8\u30d5\u30a9\u30ef\u30fc\u30c9\u30d8\u30c3\u30b8\u306e\u6642\u4fa1\u8a55\u4fa1\u30fb\u30af\u30ed\u30fc\u30ba\u30a2\u30a6\u30c8<\/div>\n<div class=\"ne\">Mark-to-Market \/ Close-Out of a Currency Forward Hedge<\/div>\n<div class=\"cfafm-x\"><span class=\"katex-display\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">All-in\u00a0forward<\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.7667em;vertical-align:-0.0833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00b1<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.2253em;vertical-align:-0.8804em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.3449em;\"><span style=\"top:-2.314em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\">10<\/span><span class=\"mord\"><span class=\"mpunct\">,<\/span><\/span><span class=\"mord\">000<\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord text\"><span class=\"mord\">points<\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.8804em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><span class=\"mpunct\">,<\/span><span class=\"mspace\" style=\"margin-right:1em;\"><\/span><span class=\"mspace\" style=\"margin-right:0.1667em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.2222em;\">V<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2806em;\"><span style=\"top:-2.55em;margin-left:-0.2222em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">t<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><span class=\"mrel\">=<\/span><span class=\"mspace\" style=\"margin-right:0.2778em;\"><\/span><\/span><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:2.5942em;vertical-align:-1.1672em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.427em;\"><span style=\"top:-2.1778em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord\">1<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">+<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mopen nulldelimiter\"><\/span><span class=\"mfrac\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.9322em;\"><span style=\"top:-2.655em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord mtight\">360<\/span><\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.4461em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">days<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.345em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><\/span><\/span><span style=\"top:-3.23em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"frac-line\" style=\"border-bottom-width:0.04em;\"><\/span><\/span><span style=\"top:-3.677em;\"><span class=\"pstrut\" style=\"height:3em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u00d7<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mopen\">(<\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.1389em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">offset<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mbin\">\u2212<\/span><span class=\"mspace\" style=\"margin-right:0.2222em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3175em;\"><span style=\"top:-2.55em;margin-left:-0.1389em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">orig<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose\">)<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:1.1672em;\"><span><\/span><\/span><\/span><\/span><\/span><span class=\"mclose nulldelimiter\"><\/span><\/span><\/span><\/span><\/span><\/span><\/div>\n<div class=\"cfafm-lg\">\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">All-in\u00a0forward<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30aa\u30fc\u30eb\u30a4\u30f3\u30fb\u30d5\u30a9\u30ef\u30fc\u30c9\u30ec\u30fc\u30c8\uff08\u30b9\u30dd\u30c3\u30c8\uff0b\u30d5\u30a9\u30ef\u30fc\u30c9\u30dd\u30a4\u30f3\u30c8\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0576em;\">S<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u73fe\u5728\u306e\u30b9\u30dd\u30c3\u30c8\u30ec\u30fc\u30c8<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8623em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">points<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30d5\u30a9\u30ef\u30fc\u30c9\u30fb\u30dd\u30a4\u30f3\u30c8\uff081\u4e07\u5206\u306e1\u5358\u4f4d\u3067\u8868\u793a\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.2222em;\">V<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2806em;\"><span style=\"top:-2.55em;margin-left:-0.2222em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mathnormal mtight\">t<\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6642\u70b9t\u306e\u30d5\u30a9\u30ef\u30fc\u30c9\u30fb\u30dd\u30b8\u30b7\u30e7\u30f3\u306e\u6642\u4fa1<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.6833em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.109em;\">N<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u30d9\u30fc\u30b9\u901a\u8ca8\u5efa\u3066\u306e\u60f3\u5b9a\u5143\u672c<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8333em;vertical-align:-0.15em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3361em;\"><span style=\"top:-2.55em;margin-left:-0.1389em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">offset<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.15em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u53cd\u5bfe\u58f2\u8cb7\uff08offset\uff09\u306e\u30aa\u30fc\u30eb\u30a4\u30f3\u30d5\u30a9\u30ef\u30fc\u30c9\u30ec\u30fc\u30c8\uff08\u30d9\u30fc\u30b9\u901a\u8ca8\u8cb7\u3044\u306foffer\u5074\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.9694em;vertical-align:-0.2861em;\"><\/span><span class=\"mord\"><span class=\"mord mathnormal\" style=\"margin-right:0.1389em;\">F<\/span><span class=\"msupsub\"><span class=\"vlist-t vlist-t2\"><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.3175em;\"><span style=\"top:-2.55em;margin-left:-0.1389em;margin-right:0.05em;\"><span class=\"pstrut\" style=\"height:2.7em;\"><\/span><span class=\"katex-sizing reset-size6 size3 mtight\"><span class=\"mord mtight\"><span class=\"mord text mtight\"><span class=\"mord mtight\">orig<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"vlist-s\">\u200b<\/span><\/span><span class=\"vlist-r\"><span class=\"vlist\" style=\"height:0.2861em;\"><span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u5f53\u521d\uff08original\uff09\u5951\u7d04\u306e\u30aa\u30fc\u30eb\u30a4\u30f3\u30d5\u30a9\u30ef\u30fc\u30c9\u30ec\u30fc\u30c8\uff08\u30d9\u30fc\u30b9\u901a\u8ca8\u58f2\u308a\u306fbid\u5074\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.4306em;\"><\/span><span class=\"mord mathnormal\" style=\"margin-right:0.0278em;\">r<\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6c7a\u6e08\u307e\u3067\u306e\u671f\u9593\u306b\u5bfe\u5fdc\u3059\u308b\u30d7\u30e9\u30a4\u30b9\u901a\u8ca8\u5074\u306e\u91d1\u5229\uff08\u5272\u5f15\u306b\u4f7f\u7528\uff09<\/span><\/div>\n<div><span class=\"s\"><span class=\"katex\"><span class=\"katex-html\" aria-hidden=\"true\"><span class=\"katex-base\"><span class=\"katex-strut\" style=\"height:0.8889em;vertical-align:-0.1944em;\"><\/span><span class=\"mord text\"><span class=\"mord\">days<\/span><\/span><\/span><\/span><\/span><\/span><span class=\"d\">\u6c7a\u6e08\u65e5\u307e\u3067\u306e\u6b8b\u5b58\u65e5\u6570<\/span><\/div>\n<\/div>\n<div class=\"cfafm-u\"><b>\u4f7f\u3044\u3069\u3053\u308d\uff1a<\/b>\u65e2\u5b58\u306e\u70ba\u66ff\u30d5\u30a9\u30ef\u30fc\u30c9\u3092\u53cd\u5bfe\u53d6\u5f15\u3067\u624b\u4ed5\u821e\u3046\u969b\u306e\u30aa\u30fc\u30eb\u30a4\u30f3\u30fb\u30d5\u30a9\u30ef\u30fc\u30c9\u30fb\u30ec\u30fc\u30c8\u3068\u3001\u5dee\u984d\u3092\u73fe\u5728\u4fa1\u5024\u306b\u5272\u308a\u5f15\u3044\u305f\u6642\u4fa1\u3092\u6c42\u3081\u308b\u5f0f\u3002\u30d8\u30c3\u30b8\u306e\u30ed\u30fc\u30eb\u3084\u8abf\u6574\u3067\u4f7f\u3046\u3002<\/div>\n<\/div>\n<h2>\u3042\u308f\u305b\u3066\u4f7f\u3044\u305f\u3044\u30da\u30fc\u30b8<\/h2>\n<ul>\n<li><a href=\"https:\/\/triumphmind.com\/cfa\/2026\/09\/24\/cfa-l3-drm-glossary\/\">CFA\u00ae\ufe0e Level 3 Derivatives and Risk Management \u7528\u8a9e\u96c6\uff08\u82f1\u8a9e\u30fb\u65e5\u672c\u8a9e\u8a33\u30fb\u610f\u5473\uff09<\/a><\/li>\n<li><a href=\"https:\/\/triumphmind.com\/cfa\/cfa-level3-formulas\/\">CFA\u00ae\ufe0e Level 3 \u516c\u5f0f\u96c6\uff08\u5168\u79d1\u76ee\u306e\u4e00\u89a7\uff09<\/a><\/li>\n<li><a href=\"https:\/\/triumphmind.com\/cfa\/cfa-curriculum\/#l3-drm\">CFA\u00ae\ufe0e \u5b66\u7fd2\u5185\u5bb9\u306e\u76ee\u6b21\uff08Level 3 Derivatives and Risk Management\uff09<\/a><\/li>\n<\/ul>\n<h2>\u52b9\u7387\u3088\u304f\u5b66\u3076\u306b\u306f FA-Academy<\/h2>\n<p>CFA\u00ae\ufe0e\u306e\u5354\u4f1a\u30c6\u30ad\u30b9\u30c8\u306f\u82f1\u8a9e\u3067\u5206\u91cf\u3082\u591a\u304f\u3001\u7528\u8a9e\u3084\u516c\u5f0f\u3092\u82f1\u8a9e\u3060\u3051\u3067\u7406\u89e3\u3057\u3066\u3044\u304f\u306e\u306f\u5927\u304d\u306a\u8ca0\u62c5\u3067\u3059\u3002<\/p>\n<p>FA-Academy\uff08Financial Analyst Academy\uff09\u306f\u3001<strong>\u65e5\u672c\u8a9e\u3067\u5b66\u3079\u308b\u6570\u5c11\u306a\u3044CFA\u00ae\ufe0e\u8a66\u9a13\u30b5\u30dd\u30fc\u30c8<\/strong>\u3067\u3059\u3002\u3053\u308c\u307e\u3067 Level 1 \u304b\u3089 Level 3 \u307e\u3067\u591a\u304f\u306e\u5408\u683c\u8005\u3092\u8f29\u51fa\u3057\u3066\u304a\u308a\u3001\u5408\u683c\u8005\u306e\u65b9\u3005\u3068\u306e\u5bfe\u8ac7\u3082\u6570\u591a\u304f\u516c\u958b\u3057\u3066\u3044\u307e\u3059\u3002\u3069\u3093\u306a\u65b9\u304c\u3001\u3069\u306e\u3088\u3046\u306b\u5408\u683c\u3055\u308c\u305f\u306e\u304b\u306f<a href=\"https:\/\/triumphmind.com\/cfa\/category\/gokaku\/\" target=\"_blank\" rel=\"noopener\">\u5408\u683c\u8005\u5bfe\u8ac7\u30fb\u5408\u683c\u4f53\u9a13\u8ac7\u306e\u4e00\u89a7<\/a>\u304b\u3089\u3054\u89a7\u3044\u305f\u3060\u3051\u307e\u3059\u3002<\/p>\n<ul>\n<li><a href=\"https:\/\/triumphmind.com\/cfa\/present1\/\" target=\"_blank\" rel=\"noopener\">Level 1 \u65e5\u672c\u8a9e\u8981\u70b9\u96c6\u306e\u7121\u6599\u30b5\u30f3\u30d7\u30eb\u3092\u53d7\u3051\u53d6\u308b\uff087\u65e5\u9593\u30e1\u30fc\u30eb\u8b1b\u5ea7\uff09<\/a><\/li>\n<li><a href=\"https:\/\/timerex.net\/s\/cfa.tips.slack_2a23\/e72e883e\/\" target=\"_blank\" rel=\"noopener\">\u7121\u6599\u500b\u5225\u9762\u8ac7\u3092\u4e88\u7d04\u3059\u308b\uff08\u5b66\u7fd2\u8a08\u753b\u306e\u3054\u76f8\u8ac7\uff09<\/a><\/li>\n<li><a href=\"https:\/\/triumphmind.com\/cfa\/course\/\" target=\"_blank\" rel=\"noopener\">\u53d7\u8b1b\u6848\u5185\uff08\u30b3\u30fc\u30b9\u4e00\u89a7\u30fb\u53d7\u8b1b\u6599\uff09\u3092\u898b\u308b<\/a><\/li>\n<li><a href=\"https:\/\/triumphmind.com\/cfa\/gokuhi\/\" target=\"_blank\" rel=\"noopener\">Level 3 Leveraged Support Course\uff08\u7528\u8a9e\u96c6\u30fb\u516c\u5f0f\u96c6\u306e\u6574\u7406\u8cc7\u6599\u3064\u304d\uff09\u3092\u898b\u308b<\/a><\/li>\n<\/ul>\n","protected":false},"excerpt":{"rendered":"<p>CFA\u00ae\ufe0e Level 3 Derivatives and Risk Management\uff08\u30c7\u30ea\u30d0\u30c6\u30a3\u30d6\u3068\u30ea\u30b9\u30af\u7ba1\u7406\uff09\u306e\u91cd\u8981\u516c\u5f0f28\u672c\u3092\u3001\u6700\u65b0\u7248\u30ab\u30ea\u30ad\u30e5\u30e9\u30e0\u306e\u5358\u5143\uff08LM\uff09\u5225\u306b\u3001\u6570\u5f0f\u30fb\u8a18\u53f7\u306e\u610f\u5473\u30fb\u4f7f\u3044\u3069\u3053\u308d\u3068\u3042\u308f\u305b\u3066\u6574\u7406\u3057\u305f\u516c\u5f0f\u96c6\u3067\u3059\u3002<\/p>\n","protected":false},"author":1,"featured_media":11611,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_jin_ogp_image_url":"","_jin_last_featured_id":0,"footnotes":""},"categories":[102],"tags":[],"class_list":["post-11451","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-formulas"],"_links":{"self":[{"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/posts\/11451","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/comments?post=11451"}],"version-history":[{"count":5,"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/posts\/11451\/revisions"}],"predecessor-version":[{"id":11941,"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/posts\/11451\/revisions\/11941"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/media\/11611"}],"wp:attachment":[{"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/media?parent=11451"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/categories?post=11451"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/tags?post=11451"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}