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Lisa Li · 2020年04月09日

问一道题：NO.PZ2020020202000012 [ CFA III ]

  1. CFA III
  2. Trading&Performance

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 = ∑SjPj−∑SjPd\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

請問為何不能直接用平均交易價格直接去乘以成交股數？算出來會有點差異
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1 个答案

吴昊_品职助教 · 2020年04月09日

这道题是可以用90000*（41.42-40）来做的，些许误差就是在算平均的时候保留小数导致的，不影响选择正确答案。

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