在implementation shortfall的分解,realized profit/loss的计算我始终不是很明白,在原版书中是这么定义的:
Realized profit/loss, reflecting the price movement from the decision price (usually taken to be the previous day’s close)17 to the execution price for the part of the trade executed on the day it is placed.
原版书说realised profit/loss是execution price和decision price的差额,但是有些计算题,比如trading经典题2.5的答案中计算realised profit/loss是用execution price和前一天close price(下图的$50.50)来计算:
有些计算题,比如trading经典题2.1计算realised profit/loss又是用execution price和decision price的差额:
所以我的问题是,到底什么情况下计算realised profit/loss用decision price,什么时候用前一天收盘价?