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Gary G · 2020年02月13日

问一道题:NO.PZ201512181000007304 第4小题 [ CFA II ]

* 问题详情,请 查看题干

问题如下图:

选项:

A.

B.

C.

解释:

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

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星星_品职助教 · 2020年02月14日

同学你好,

这道题要求按照Exhibit 2来计算,Exhibit2里面给的就是buy的情况,按照题干的说明计算即可。

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NO.PZ201512181000007304 老师 想确认一下公式 effective sprea计算公式,答案里面,是2*(tra price-(biprice+ask price)/2)。老师上课说的是2*(tra price-miquote) 而miquote=(insi ask+insi bi/2。 insi ask和insi bi是指的best ask和best bi所以我有点疑问,这里到底应该是用best ask/bi还是直接用ask/biprice就可以? 如果是best ask/bi 这道题应该只有一个best ask/bi而不是答案解析里面用每一次的ask/bi 请老师帮忙确认一下这个公式到底是怎么计算呢?谢谢!

2021-07-09 22:04 1 · 回答

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