How is PnL calculated - Quantitative Finance Stack Exchange In Fixed Income, I know that bonds PnL are evaluated depending on where the price lies on price yield curve at the end of the day, compared to where it started from at beginning of the day The por
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 affec
volatility - Realized vol, implied vol, and gamma scalping . . . In this post, the answer explained the difference between whether m2m implied vol So if I only want to look at pure gamma pnl, I assume I should ignore m2m implied vol, hence a 0 pnl from vega, correct? And I'll be always looking at the implied vol I paid (at purchase) and compare that to the actual realized vol for gamma pnl? Thanks!
Sharpe Ratio using Daily Returns or Percent Returns To calculate the annualized sharpe ratio, can I do: mean (PnL) std (PnL) * sqrt (252)? This gets me 16 5 Alternatively, I've read online people say you need to calculate the returns and do the calculation on the returns If I do percent change on the cumulative sum series, I would get:
Confusion about Vega P L - Quantitative Finance Stack Exchange This makes little sense to me - implied volatility is computed using option prices in the first place, so it makes little sense to have a greek like this, if changes in implied volatility are a posteriori computed from changes in option prices How does $\theta$ figure into the calculations of delta-hedged PnL? Thanks in advance for the assitance
pnl - Trading desk P L analysis: why does it makes losses . . . There is an invesment bank and the trading desk with negative cumulative P amp;L within some period of time (say, a 3-month one), and my common question why is it so? The desk issues structured bonds