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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
- How to attribute daily options P L between Greek sensitivities
When building a P amp;L attribution system for options, what is the market convention for attributing daily P amp;L between delta, gamma, vega, and theta Greeks? I'm particularly interested in how
- 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
- 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
- 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
- CDS Credit Default Swap PnL - Quantitative Finance Stack Exchange
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
- fixed income - Literature on PAA for Rates products - Quantitative . . .
There is abundant literature on pricing interest rate derivatives, but it is a struggle to find much on the science and methods behind practical Profit Attribution Analysis (PnL explain) on fixed income portfolios, or portfolios in any asset class in general
- 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 θ θ figure into the calculations of delta-hedged PnL? Thanks in advance for the assitance
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