$begingroup$ In Set Cash flow, I understand that bonds PnL are evaluated according to where by the worth lies on value/yield curve at the end of the day, when compared to where by it started off from at starting on the day.
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When there is autocorrelation while in the intraday return approach that you choose to hedge at (which will subsequently influence day-to-day annualised volatility), then your P/L is undoubtedly impacted by your selection of hedging interval.
ExIRExIR 16711 bronze badge $endgroup$ 1 $begingroup$ Thanks for encouraging, but does that suggest theta pnl only partly offsets Gamma pnl and never absolutely whether or not implied vol = understood vol? Due to the fact assuming desire charges are zero, there isn't any other source of earning cash. $endgroup$
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In expenditure banking, PnL described (also known as P&L describe, P&L attribution or profit and reduction stated) is surely an money statement with commentary that attributes or clarifies the everyday fluctuation in the worth of a portfolio of trades to the basis causes on the changes.
Are definitely the calculations correct? I believed which the netPnl has to be normally the identical - whatever the valuation type
As it is the pnl of the hedge that offsets the choice quality. Be sure to overlook differences due to periodic vs steady for this issue. $endgroup$
– equanimity Commented Oct 7, 2021 at 1:07 $begingroup$ The get issues just for the cumulatuve brute-power P&L. The purchase isn't going to make a difference for impartial brute-drive P&L or for risk-theoretical P&L (Taylor sereis approximation of the P&L applying deltas - initially buy and gammas and cross-gammas - second order risk steps). I feel you are asking about RTPL? $endgroup$
1 $begingroup$ @KaiSqDist: that could be A different question. The approximation here is connected with the understood volatility. $endgroup$
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In lots of circumstances (like bonds within your case) these prices are noticed and unambiguous, That is 'marking to industry'; in other instances (where you could possibly maintain an illiquid exotic, similar to a PRDC one example is) this value is more info estimated via the Entrance Workplace pricer, This really is 'marking to product'.