- 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
- 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
- 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
- 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
- pricing formulae - Which PnL is correct? - Quantitative Finance Stack . . .
So the "work case" pnl is the pnl stripped of cash interest performance, and only reflects the risky asset investment performance I can understand why this is the pnl used in my company
- PnL of a delta-hedged straddle - Quantitative Finance Stack Exchange
On Twitter, this question has been making the rounds: If you sold a 30 vol for a one year out at the money straddle, have access to free, perfect, and continuous delta hedging, and stock realizes
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