3 ¬ 0 - q o ø º s ¶ É Àlyuu/finance1/2012/cbis2.pdf · q o ø 3 cbis l £ l ¶ = é k from...

( )

[email protected]

[email protected]

49 http://www.cb.idv.tw

(CBIS)


CBIS

From 2012/04/23 to 2012/05/04

CB CB 89255 378 24864 301 17292 234 81052 227 30233 198 20592 175 61332 174 24993 150 14571 131 29031 109

378

301

234

227 198

175

174

150

131 109


(CBIS)


(CBIS)

http://www.cb.idv.tw/phpbb3/viewforum.php?f=7


(CBIS)

2012/03/28


(CBIS)

2012/03/31


(CBIS)


(CBIS)

2012/04/18


(CBIS)

2012/04/23


NVIDIA CUDA Programming Guide, Version 2.2.1, May 2009.


NVIDIA CUDA Programming Guide, Version 2.2.1, May 2009. 63 http://www.cb.idv.tw

Number of CBs GPU (sec) CPU (sec) Speed up 1 2.4323 22.9500 9.4357

10 2.4649 226.1100 91.7311 20 2.9269 458.6600 156.7073 30 3.3691 681.5600 202.2978 40 5.8333 908.6100 155.7637 50 6.2891 1131.5500 179.9232 60 6.7344 1374.4600 204.0942 70 9.1970 1583.9500 172.2253

Intel CPU Q9550 NVIDIA GTX 275


9.4357

91.7311

156.7073

202.2978

155.7637

179.9232

204.0942

172.2253

0

50

100

150

200

250

0

200

400

600

800

1000

1200

1400

1600

1800

1 10 20 30 40 50 60 70

Spee

d up

Tim

e(se

c)

Number of CBs

CPU GPU Speed up

GPU sec

CPU sec

Speed up


Spec. of NVIDIA GTX 275

http://www.geforce.com/hardware/desktop-gpus/geforce-gtx-275/specifications 67 http://www.cb.idv.tw

CBIS

Google

https://play.google.com/store/apps/details?id=cbvaluation.v1&feature=search_result

Android CPU


Android CPU

Android market


Android Client Server


(45271)

20.50 / Parity (2007/04/26)

26.2, Parity = 127.80 27.5, Parity = 134.15

CB (2007/04/26) 126.00 120.20

( ) 75 http://www.cb.idv.tw

(2007/04/26)


: : 100,000 : 2006 11 7 : 5 : 0%

: 105.4

: 100% (put yield=0%)

50% Implied volatility = 16.75% ( credit spread =1.2522%) 77 http://www.cb.idv.tw

59 (04613) : 2006 12 08

: 2007 09 07 : 130.80 : 4.964

87.2 59 implied volatility = 51.87% implied volatility =16.75%


delta

V : CB

CB

SV


(12101)


%

2012/3/19 1 157 0.01 30.65 2012/9/19 184 2012/2/29 1 47 0.01 32.5 2012/8/29 182 2012/1/2 1 500 3 27.5 2012/7/2 182

2011/12/6 1 235 0.01 28.1 2012/6/6 183 2011/11/16 1 125 0.01 28.25 2012/5/16 182 2011/11/16 2 117 0.01 28.25 2012/5/16 182 2011/10/31 1 50 3 30.9 2012/4/30 182 2011/10/19 1 213 0.01 29.25 2012/4/19 183 2011/10/12 1 150 0.01 29.1 2012/4/12 183 2011/10/5 1 250 0.01 27.5 2012/4/5 183 2011/9/26 1 50 3 26.2 2012/3/26 182 2011/9/2 1 100 0.01 32.05 2012/3/2 182

2011/8/26 1 400 3 29.45 2012/2/24 182 2011/8/3 1 100 0.01 38 2012/2/3 184

2011/7/15 1 100 0.01 35.7 2012/1/13 182 2011/7/14 1 100 3 34.9 2012/1/13 183 2011/7/6 1 100 3.3 32.3 2012/1/6 184

2011/6/28 1 100 3.3 32.15 2011/12/28 183 2011/6/17 1 200 3.3 31.55 2011/12/16 182 2011/5/26 1 195 0.01 31.6 2011/11/25 183 2011/5/12 1 163 3.5 34.85 2011/11/11 183 2011/5/12 2 174 3.5 34.85 2011/11/11 183 2011/5/11 1 163 3.5 34.7 2011/11/11 184 2011/3/31 1 30 3.7 31.4 2011/9/30 183 2011/3/30 1 80 3.8 31.15 2011/9/30 184 2011/3/23 1 70 3.8 31.1 2011/9/23 184 2011/3/22 1 157 0.01 29.6 2011/9/22 184

(1210)


Volatility 30% (12101)


-5000

0

5000

10000

15000

20000

25000

30000

35000

2006/11/10 2007/11/10 2008/11/10 2009/11/10 2010/11/10

PL(MTM)

PL(MTM)


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