How is PnL calculated - Quantitative Finance Stack Exchange The pnl calculation is done in 2 steps By definition, you value your portfolio as of today, you value your portfolio as of yesterday, and the difference will be your pnl Now that's an important number (that gets reported, etc ) but that doesn't give you a lot of information on what generated that pnl
Gamma Pnl vs Vega Pnl - Quantitative Finance Stack Exchange Why does Gamma Pnl have exposure to realised volatility, but Vega Pnl only has exposure to implied volatility? I am confused as to why gamma pnl is affected (more) by IV and why vega pnl isnt affected (more) by RV? Essentially how do you show what gamma pnl will be mathematically and how do you show what vega pnl will be?
Confusion about Vega P L - Quantitative Finance Stack Exchange Vega is the change in the price of volatility or the change in the implied volatility of options prices This will be a measure of the PnL strictly due to the fact that the price of volatility has changed (the underlying has not changed in value) Theta will measure the amount of PnL due to the passage of time
pnl - Trading desk P L analysis: why does it makes losses . . . Derivative portfolios PnL is completely dependent on statistical properties of the underlying (and any other risk factor) If realized vol is higher than implied vol, the call deltahedge leaks money Derivative portfolios take damage because the correct cost of hedging (i e correct dynamics of the underlying and all risk factors) is difficult
CDS Credit Default Swap PnL - Quantitative Finance Stack Exchange I estimate daily pnl on a CDS position using the spread change times the CS01 However I would like to estimate the PnL for a longer trade that has gone from a 5Y CDS to a 4Y with associated coupon payments Lets consider: Trade date 2018-08-01: Sell Protection Nominal 1,000,000 at 455 Spread on 5Y CDS maturity Jun 23; Coupon 500 Bps
How to attribute daily options P L between Greek sensitivities Gamma PnL is $(1 2) \Gamma * (\Delta S)^2$ Essentially the first and second terms of a taylor expansion Vega and Theta are sensetivities to volatility and time, respectively, so their contribution would be:
Using Theta to Approximate the PNL of a Delta-Hedged Option Position One of the reasons that this approximation is handy, is that it gives a succinct way of describing the PNL implications of your gamma position I always found gamma hard to interpret from a PNL standpoint, and this approximation bridges that gap So, my question: is anyone else familiar with this approximation?
pricing formulae - Which PnL is correct? - Quantitative Finance Stack . . . So the "work case" pnl is the pnl stripped of cash interest performance, and only reflects the risky asset investment performance I can understand why this is the pnl used in my company Do you agree with this point of view? $\endgroup$
equities - Markout PnL why looking in the past - Quantitative Finance . . . $\begingroup$ but for a MM looking at the markout PnL seems weird because the quote you sent at t = 0 might not be executed for t < 0 because there were more competitive quotes in the book Also for a taker strategy I was thinking it more in: if you see that you loose a lot of PnL for T < 0 but then for t > 0 the pnl is upward slopping then it