为这么这里spread要除以45？

问题如下：

A trader observes a quote for Stock DUY, and the midpoint of its current best bid and best ask prices is CAD 45. DUY has an estimated daily return volatility of 0.38% and average bid-ask spread of CAD 0.14. Using the constant spread approach on a 20,000-share position and assuming the returns of DUY are normally distributed, what is closest to the estimated liquidity-adjusted, 1-day 95% VaR? (Practice Exam)

选项：

A.

CAD 1,600

B.

CAD 5,625.90

C.

CAD 6,600

D.

CAD 7,025.90

解释：

Explanation: The daily 95% VaR = 45*20,000*(1.645*0.0038) = CAD 5,625.90

The constant spread approach adds half of the bid-ask spread (as a percent) to the VaR calculation, using the following formula:Liquidity Cost (LC) = ½*(Spread * P),where Spread is equal to the actual spread divided by the midpoint and P is the value of the position. Therefore the liquidity cost (LC) = 0.5 * (0.14/45)* 900,000 = CAD 1,400; and Liquidity-adjusted VaR (LVaR) = VaR + LC = 5,625.90 + 1,400 = CAD 7,025.90.