再多嘴一句，tasly朋友： 1、根据今天下午的交流，我的感觉是，如果您想学一个新的工具，最适合您需要的，可能是R。免费、开源。不过，R的期权packages怎么样，我没有试过。似乎是有的。看Hull的书，如果同时做些计算练习，可能效果更好。 2、期权的定价公式不止一个，变形更多。网络上的计算期权价值的玩意儿，大多仅仅是个BS模型，也就配合塔勒布的黑天鹅那种书，玩玩还算可以，恐怕不堪重任。当然，如果把它们当作一个报价转换器，就无所谓。价格<->波动性。本来就是同义反复。 3、如果用D，就是另外一种考量了。MatLab之类，估计在期权计算方面也很强大、灵活。说不定提供的模型更多。毕竟MatLab卖那么贵。 4、如果打算用大陆特色的方法做期权，或者大多数散户的方法，也另当别论。方法无所谓好坏，自己喜欢就好。其实，用什么方法都可以发财，也都可以赔钱。 其实，其实我也不懂期权，不过看中您的勤奋，所以再胡扯几句。 祝顺利。
谢谢风的教诲， 学习过程中遇到一个问题，CME中有一个currency fixing price，始终弄不清是很么东西，具体做什么用，应该不会是strike price。 CME Group FX Fixing Price Methodology On Sunday, April 3, 2005, on CME Globex and on Monday, April 4, 2005, on the CME Upper Trading Floor, CME Group began trading European-style FX options. European-style options by definition are exercised only at expiration. These new options will be exercised at expiration based upon the “CME Group FX fixing price,” which is a volume-weighted average price for the nearby currency futures contract released as soon as practicable after 9:00 a.m. Central time (10:00 a.m. Eastern time). CME Group calculates & publishes the “fixing prices” daily for its European-style FX options, but on option expiration days (usually Fridays), it is used to exercise in-the-money British Pound, Canadian Dollar, Euro FX and Japanese Yen and Swiss Franc European-style options. The methodology for calculating the CME Group FX fixing price is composed of several “tiers” and is consistently applied to each nearby currency futures contract underlying the European-style option. Depending upon the pricing history unique to each FX futures contract, the resulting CME Group FX fixing price calculations can be based on varying tiers. For example, the British pound and Swiss franc CME currency fixing prices might be based on Tier 2 (when listed for trading at a future date), but the Euro FX and Japanese yen fixings might be based only on Tier 1 on the same day. The “fixing prices” are rounded to the nearest whole (one-point) tick as defined by the respective contract’s Price Increment rule. Tier 1 Take the two-minute average of sale (trade) prices, weighted by volume where available, from 8:58 to 9:00 a.m. Central time on the day of determination of the CME Group FX fixing price. Tier 2 If no sales (trades) occurred during the two-minute interval noted above, take the midpoint of each bid & ask spread where available and average the resulting midpoints over the two-minute interval. However, when looking at each bid / ask spread, if it is wider than a specified number of points (inputted variable, e.g., 3 points for Euro and Japanese yen, 4 points for British pound, etc.), then ignore that average bid & ask pair in the calculation. Tier 3 If no sales (trades) and no bid and ask prices occurred during the two-minute interval, then take the five-minute average of sale (trade) prices, weighted by volume where available, from 8:55 to 9:00 a.m. Central time. Tier 4 If no sales (trades) occurred during the five-minute interval noted above, take the midpoint of each bid & ask spread where available and average the resulting midpoints over the five-minute interval. However, when looking at each bid / ask spread, if it is wider than a specified number of points (inputted variable, e.g., 3 points for Euro and Japanese yen, 4 points for British pound, etc.), then ignore that average bid & ask pair in the calculation. Tier 5 If no sales (trades) and no bid and ask prices occurred during the five-minute interval, then Exchange staff shall take into consideration any other information it deems appropriate to determine the CME Group FX fixing price for that day. This information may include, but is not limited to the following, and the procedures to determine the information may be performed in any order by Exchange staff: (1) repeat the steps described in Tiers 3 or 4 at ever increasing five-minute increments (e.g., intervals of 10, 15, 20, etc. minutes) until data is obtained; (2) derive synthetic futures prices from quote vendor spot rates and appropriate maturity forward points; and (3) set the CME Group FX fixing price using any other information or method deemed appropriate. Knowledge of the forced exercise of all in-the-money options combined with automatic forced abandonment of all at- and out-of-the-money options enable CME Clearing, clearing firms and their customers to predict shortly after 9:00 a.m. Central time on Friday, which expiring FX options positions will be assigned futures positions. Therefore, customers/clearing firms will know to hedge or trade out of the newly assigned futures positions at a time when the futures and OTC markets are open and trading. Since the OTC FX options market also values its expiring options at 9:00 a.m. Central time each day, OTC market participants can look at their combined OTC options, futures and European-style futures options books at the same time and make appropriate trading decisions. This compatibility makes European-style FX options appealing to OTC FX options traders.
那一大段内容还真没时间看完。不过，就你关心的currency fixing price，其实关键是其中的一句，“These new options will be exercised at expiration based upon the “CME Group FX fixing price,” which is a volume-weighted average price for the nearby currency futures contract released as soon as practicable after 9:00 a.m. Central time (10:00 a.m. Eastern time).” 这些新的期权在到期日清算时，将根据 “CME Group FX fixing price”来进行。它相当于期权清算时用的现价。
CME Group calculates & publishes the “fixing prices” daily for its European-style FX options, but on option expiration days (usually Fridays), it is used to exercise in-the-money British Pound, Canadian Dollar, Euro FX and Japanese Yen and Swiss Franc European-style options. 就是这种了