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- 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
- Good references on PNL explain? - Quantitative Finance Stack Exchange
Can anyone share good references for how PNL explain should be calculated and presented for the best use of a derivatives trading desk?
- 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!
- Defining and Calculating Vega PnL for Basket Options
2 Defining and Calculating Vega PnL for Options Dependent on the Volatility Surface I am working with exotic options, such as accumulators, whose value V depends on the entire volatility surface σ (K, T), encompassing both the term structure and the smile skew across different strikes K and expiries T
- 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:
- Backtesting of VaR estimates - Quantitative Finance Stack Exchange
Regulators want to backtesting VaR estimates based on both Risk theoretical PnL and Actual PnL My question is how can Backtesting of VaR be done with Actual PnL? Typically, financial instruments are
- Bergomi: Skew arbitrage - Quantitative Finance Stack Exchange
It is smaller than the skew PnL, but has a non negligible effect on the PnL In my replication I am using the S P and my time period is 2010 to 2019, while Bergomi is using Eurostoxx and 2002-2010, so it is possible that I am picking up on a structural difference or a regime shift My questions are: Is there some mistake in my thinking?
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