Nov 13, 2020 · $\begingroup$ 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.

Jul 17, 2014 · 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.

May 5, 2018 · 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?

Feb 23, 2022 · IMO, the choice of the PnL components must be defined / negotiated beforehand between risk and FO, so that all speak the same language when it comes to explaining PNL moves to management… $\endgroup$ –

Aug 28, 2019 · Gamma PnL Formula and Break-Even volatility. Ask Question Asked 5 years, 7 months ago.

Jan 16, 2024 · $\begingroup$ 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.

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:

I am wondering how the IRS daily PnL will normally be attributed from trader's/market risk perspective. Will it be broken down into three parts daily carry (Daily interest accrual), daily roll-down (Assuming static yield curve rolling down one day) and the daily change in yield curve (Any remaining change in the NPV) or there are other kinds of ...

Dec 2, 2020 · 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.

Sep 23, 2020 · 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 …