2018年5月5日 · 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 …

2014年7月17日 · 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 …

2020年11月13日 · $\begingroup$ Hi Dimitri, I have a method of attributing theoretical PnL (or the change in any function between two points) into an additive series of single effects.

2020年4月20日 · I have the following trades: Sequence Side Quantity @ Price 1. Buy 12 @ 100 2. Buy 17 @ 99 3. Buy 3 @ 103 4. Sell 9 @ 101 5. Sell 4 ...

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 …

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 …

2016年4月10日 · The carry is the PNL resulting from holding a position. However, even if you don't finance the bond in repo, you can still measure your carry as the yield-to-maturity of …

2024年1月16日 · $\begingroup$ Thank you. I heard about the consideration of more charge on the option value, but still not clear for me regarding the no arbitrage principle: indeed the …

2020年9月23日 · multiply 2.5% * 260 observations you have been given = 6.5. Therefore take the 7th day of worst returns and find the asset that had the worst PnL for that observation. The …

2019年6月5日 · $\begingroup$ Thanks @Attack68... that's great. I just wanted to ask a quick clarification question...: if gross basis = spot - conversion factor x futures price, then shouldn't …