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tzdsgn · 2023年06月17日

is 或者expanded is

NO.PZ2020020202000012

问题如下:

The next day, Harding instructs Yellow to revisit their research on BYYP, Inc. Yellow’s research leads her to believe that its shares are undervalued. She shares her research with Harding, and at 10 a.m. he instructs her to buy 120,000 shares when the price is $40.00 using a limit order of $42.00.
The buy-side trader releases the order for market execution when the price is $40.50. The only fee is a commission of $0.02 per share. By the end of the trading day, 90,000 shares of the order had been purchased, and BYYP closes at $42.50. The trade was executed at an average price of $41.42. Details about the executed trades are presented in Exhibit 1.

Based on Exhibit 1, the execution cost for purchasing the 90,000 shares of BYYP is:

选项:

A.

$60,000.

B.

$82,500.

C.

$127,500.

解释:

C is correct.

Execution cost is calculated as the difference between the cost of the real portfolio and the paper portfolio. It reflects the execution price(s) paid for the number of shares in the order that were actually filled or executed. The execution cost is calculated as:
Execution cost = SjPjSjPd\sum S_jP_j-\sum S_jP_d
= [(10,000 shares × $40.75) + (30,000 shares × $41.25) + (20,000 shares × $41.50) + (30,000 shares × $41.75)] – (90,000 × $40.00)
= $3,727,500 – $3,600,000
= $127,500

是否加delay cost就看题目给的条件是吗

1 个答案
已采纳答案

笛子_品职助教 · 2023年06月18日

嗨,努力学习的PZer你好:


是否加delay cost就看题目给的条件是吗

Hello,亲爱的同学~

根据强化讲义16页,execution cost有两个公式:


一是公式一中的,excution cost部分


二是公式二中的excution cost部分


两个公式事实上是统一的。公式二只是对公式一种变形。公式二是对excution cost作了拆分,把delay cost和trading cost单独拆分出来。


具体用哪个,看题目给了哪些条件。

----------------------------------------------
努力的时光都是限量版,加油!

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