And this relies on the rebalancing frequency. But "envisioned P&L" refers to an average in excess of all possible value paths. So There may be not essentially a contradiction below. $endgroup$
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These two PnLs don't coincide. Which a single do you believe can make a lot more sense? And is particularly there a way to attach The 2?
BongoBobBongoBob 2111 silver badge44 bronze badges $endgroup$ one $begingroup$ Which may be way too lengthy for a parametric process to estimate pnl. can not you reprice your cds with present day interest level curve and cds spreads? $endgroup$
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Hence the "function case" pnl is definitely the pnl stripped of cash desire efficiency, and only reflects the dangerous asset investment decision efficiency. I'm able to realize why This is actually the pnl used in my company. Would you agree with this perspective? $endgroup$
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There are numerous subtleties to this kind of attribution, especially on account of The reality that $sigma$ is usually modeled like a operate of $S$ and $t$, so you'll find cross-results amongst the greeks which make it inexact.
$begingroup$ I am not sure That which you suggest by "cross" consequences - the sole correlation is they the two are capabilities in the improve in underlying ($Delta S$)
Whenever you then create the portfolio once more by borrowing $S_ t_1 $ at level $r$ it is possible to realise a PnL at $t_2$ of
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Do I must multiply the entry or exit selling prices from the leverage at all, or does the broker already returns the trades Along with the "leveraged price ranges"?
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