NO.PZ202206140600000404
问题如下：
Based on Exhibit 2, the market-adjusted cost of trade execution by ZB is closest to:
选项：
A.70.57 bps.
B.74.69 bps.
C.101.21 bps.
解释：
SolutionB is correct. Market-adjusted cost (bps) = Arrival cost (bps) – Beta × Index cost (bps).
Arrival cost (in bps) = [(Average execution price – Arrival price) ÷ Arrival price] × 10,000 bps
= [($25.75 – $25.50) ÷ $25.50] × 10,000 bps = 98.04 bps.
Index cost (in bps) = [(Average execution index price – Arrival index price) ÷ Arrival index price] × 10,000 bps
= [($12,775 – $12,740) ÷ $12,740] × 10,000 bps = 27.47 bps.
Market-adjusted cost = Arrival cost –Beta × Index cost
= 98.04 – 0.85 × 27.47 = 74.69 bps.
A is incorrect. It is the arrival cost less the index cost (98.04 – 27.47 = 70.57), which is not adjusted for beta.
C is incorrect. The decision price, instead of the arrival price, is used for the arrival cost calculation. [($25.75 – $25.45) ÷ $25.45] × 10,000 bps = 117.88 bps. [($12,775 – $12,750) ÷ $12,750] × 10,000 bps = 19.61 bps.The final calculation becomes 117.88 – 0.85 × 19.61 = 101.21 bps.
老师 书上讲过index cost的公式吗 怎么觉得和常用的公式不太一样
