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小呀小田螺 · 2021年07月09日

老师 想确认一下公式

  1. CFA II
  2. Portfolio

* 问题详情，请 查看题干

NO.PZ201512181000007304

问题如下：

Based on Exhibit 2, the average effective spread of the three trades is closest to:

选项：

A.

$0.0333.

B.

$0.0367.

C.

$0.0400.

解释：

C is correct. The effective bid–ask spread for buy orders is calculated as:
Effective bid–ask spread (buy order) = 2 × {Trade price – [(Ask price +Bid price) / 2)]} or
= 2 × (Trade price – Midpoint of the market at the time an order is entered).
So, the effective bid–ask spreads for the three buy trades are calculated as:
Effective spread of Trade 1 = 2 × {$25.20 – [($25.20 + $25.17)/2]} = $0.0300.
Effective spread of Trade 2 = 2 × {$25.22 – [($25.22 + 25.19)/2]} = $0.0300.
Effective spread of Trade 3 = 2 × {$25.27 – [($25.26 + $25.22)/2]} = $0.0600.
The resulting average effective spread is then calculated as:
Average effective spread = (Effective spread of Trade 1 + Effective spread of Trade 2 + Effective spread of Trade 3)/3.
Average effective spread = ($0.0300 + $0.0300 + $0.0600)/3 = $0.0400.

老师 想确认一下公式

effective spread的计算公式，答案解释里面，是2*(trade price-(bid price+ask price)/2)。老师上课说的是2*(trade price-mid quote)

而mid quote=(inside ask+inside bid)/2。 inside ask和inside bid，是指的best ask和best bid

所以我有点疑问，这里到底应该是用best ask/bid,还是直接用ask/bid price就可以？


如果是best ask/bid, 这道题应该只有一个best ask/bid，而不是答案解析里面用每一次的ask/bid。


请老师帮忙确认一下这个公式到底是怎么计算呢？谢谢！

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星星_品职助教 · 2021年07月09日

同学你好，

用的是在这笔交易时，能够取到的best ask/bid。

交易分三次进行，所对应市场上的bid和ask是随之变化的，所以不能用一个统一的值。需要逐笔交易来看。

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NO.PZ201512181000007304 老师好 这题是sell position,为什么不是算出来是负的， 是用sum of three (miquote pri- tra price)*2 , 再求average 对吗，这里的miquote prices 都小于tra prices. 谢谢。

2021-04-04 01:01 1 · 回答

$0.0367. $0.0400. C is correct. The effective biask sprefor buy orrs is calculateas: Effective biask spre(buy orr) = 2 × {Tra pri– [(Ask pri+Biprice) / 2)]} or = 2 × (Tra pri– Mioint of the market the time orr is entere. So, the effective biask sprea for the three buy tras are calculateas: Effective spreof Tra 1 = 2 × {$25.20 – [($25.20 + $25.17)/2]} = $0.0300. Effective spreof Tra 2 = 2 × {$25.22 – [($25.22 + 25.19)/2]} = $0.0300. Effective spreof Tra 3 = 2 × {$25.27 – [($25.26 + $25.22)/2]} = $0.0600. The resulting average effective spreis then calculateas: Average effective spre= (Effective spreof Tra 1 + Effective spreof Tra 2 + Effective spreof Tra 3)/3. Average effective spre= ($0.0300 + $0.0300 + $0.0600)/3 = $0.0400. 请问Effective spreof Tra 3 = 2 × {$25.27 – [($25.26 + $25.22)/2]} = $0.0600，为什么不是Effective spreof Tra 3 = 2 × {$25.26 – [($25.26 + $25.22)/2]} = $0.04

2020-08-30 22:37 1 · 回答

$0.0367. $0.0400. C is correct. The effective biask sprefor buy orrs is calculateas: Effective biask spre(buy orr) = 2 × {Tra pri– [(Ask pri+Biprice) / 2)]} or = 2 × (Tra pri– Mioint of the market the time orr is entere. So, the effective biask sprea for the three buy tras are calculateas: Effective spreof Tra 1 = 2 × {$25.20 – [($25.20 + $25.17)/2]} = $0.0300. Effective spreof Tra 2 = 2 × {$25.22 – [($25.22 + 25.19)/2]} = $0.0300. Effective spreof Tra 3 = 2 × {$25.27 – [($25.26 + $25.22)/2]} = $0.0600. The resulting average effective spreis then calculateas: Average effective spre= (Effective spreof Tra 1 + Effective spreof Tra 2 + Effective spreof Tra 3)/3. Average effective spre= ($0.0300 + $0.0300 + $0.0600)/3 = $0.0400. 请问在计算effective sprea不用考虑交易的交易量来进行加权计算吗？

2020-05-23 21:41 1 · 回答

老师这个题目只是buy，计算effective sprea不是可以理解为都要按照rountrip来计算？谢谢

2020-02-13 17:23 1 · 回答