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 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?

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 that's an important number (that gets reported, etc.) but that doesn't give you a lot of information on what generated that pnl.

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 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

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:

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 maturity of the bond vs the yield of the alternative default investment you would have made with your cash (for example 0% if sitting on your bank account at 0%, but maybe it'd ...

2024年9月23日 · pnl; See similar questions with these tags. Featured on Meta Network-wide maintenance scheduled starting ...

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 option payoff could be replicated by a delta hedging folio so why the buyer will accept a higher volatility.

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 portfolio or correlation effect will be accounted for in that …