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HG · 2021年03月23日

老师这个cost的计算都是不考虑fee的吗？

  1. CFA III
  2. Trading&Performance

NO.PZ2020020202000014

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.

The arrival cost for purchasing the 90,000 shares of BYYP is:

选项：

A.

164.4 bp.

B.

227.2 bp.

C.

355.0 bp.

解释：

B is correct.

The arrival cost is calculated as:
Arrival cost (bp) =Side×P‾−P0P0×104bp=+1×41.42−40.5040.50×104bp=227.2bpSide\times\frac{\overline P-P_0}{P_0}\times10^4bp=+1\times\frac{41.42-40.50}{40.50}\times10^4bp=227.2bp

老师这个cost的计算都是不考虑fee的吗？

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1 个答案

吴昊_品职助教 · 2021年03月23日

嗨，努力学习的PZer你好：


同学你好：

这道题让我们求的是arrival cost，和Implementation shortfall是两套计算交易成本的方法，本题中的arrival cost是拿arrival price来作为benchmark，从而来衡量交易执行的好坏。所以不考虑fee。

arrival price bencnmark衡量的是交易发布时的市场价格以及真实交易价格之间的差距，参考基础班讲义P74页。在这道题中The buy-side trader releases the order for market execution when the price is $40.50，这句话描述的是arrival price，所以P0就是40.50。而真实交易价格是41.42，因为The trade was executed at an average price of $41.42. 将两数代入公式即可。

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NO.PZ2020020202000014 问题如下 The next y, Harng instructs Yellow to revisit their researon BYYP, InYellow’s researlea her to believe thits shares are unrvalue She shares her researwith Harng, an10 a.m. he instructs her to buy 120,000 shares when the priis $40.00 using a limit orr of $42.00.The buy-si trar releases the orr for market execution when the priis $40.50. The only fee is a commission of $0.02 per share. the enof the trang y, 90,000 shares of the orr hbeen purchase anBYYP closes $42.50. The tra wexecuteaverage priof $41.42. tails about the executetras are presentein Exhibit 1.The arrivcost for purchasing the 90,000 shares of BYYP is: A.164.4 bp. B.227.2 bp. C.355.0 bp. B is correct.The arrivcost is calculateas:Arrivcost (bp) =Si×P‾−P0P0×104bp=+1×41.42−40.5040.50×104bp=227.2bpSi\times\frac{\overline P-P_0}{P_0}\times10^4bp=+1\times\frac{41.42-40.50}{40.50}\times10^4bp=227.2bpSi×P0​P−P0​​×104bp=+1×40.5041.42−40.50​×104bp=227.2 请问为什么这里的referenprice是40.5，但是后面算implementation shortfall时referenprice就是用的40呢？应该从什么角度去理解可以记住呀？谢谢

2024-05-08 07:29 1 · 回答

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2023-02-20 12:04 1 · 回答

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2023-01-30 16:45 1 · 回答

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2022-02-12 20:38 1 · 回答