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005 · 2023年06月04日

a limit order of $42.00.

  1. CFA III
  2. Trading&Performance

NO.PZ2020020202000012

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

请问本题条件中 a limit order of $42.00是否通常不会涉及到trading的相关计算中？

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1 个答案

笛子_品职助教 · 2023年06月05日

嗨，努力学习的PZer你好：


请问本题条件中 a limit order of $42.00是否通常不会涉及到trading的相关计算中？


本题计算中并未涉及到 a limit order of $42.00。


根据执行成本公式：

= [(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


这里只有实际交易价格，以及发出订单时的市场价40元，并不涉及到42元。


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