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stevenxing · 2022年06月13日

这题怎么判断decision price的?

* 问题详情,请 查看题干

NO.PZ202110280100000104

问题如下:

The implementation shortfall, in basis points (bps), for the sell order of West Commerce shares is closest to:

选项:

A.139. B.198. C.206.

解释:

Execution cost = [(–6,000 × 26.80) + (–3,000 × 26.30)] – (–9,000 × 27.10) = 4,200.

Opportunity cost = [–10,000 – (–9,000)] × (26.00 – 27.10) = 1,100.

Fees = 9,000 × 0.03 = 270.

So, the implementation shortfall ($) is calculated as

Implementation shortfall ($) = 4,200 + 1,100 + 270 = 5,570.

Finally, the implementation shortfall (bps) is calculated as

rt

1 个答案

吴昊_品职助教 · 2022年06月14日

嗨,从没放弃的小努力你好:


首先,无论是decision price还是arrival price都是市场价格。decision price是起心动念时的市场价格,而非自己设定的价格(limit price是他自己设定的)。对应题干,27.1是他起心动念准备交易时的市场价格,所以27.1对应的是decision price。

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