pnl for Dummies

pnl for Dummies

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For realistic amounts of spreads and fascination premiums, we can easily approximate the CS01 Together with the time and energy to maturity. This should assist you to work out A fast approximation with the PnL using the info you've got.

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$begingroup$ Undecided this is the legitimate concern! Gamma p/l is by definition the p/l on account of realized volatility staying distinct from implied.

ExIRExIR 16711 bronze badge $endgroup$ 1 $begingroup$ Thanks for serving to, but does that signify theta pnl only partly offsets Gamma pnl and never completely even though implied vol = realized vol? Because assuming desire fees are zero, there isn't a other source of creating money. $endgroup$

So, could it click here be appropriate to state then delta-hedging rebalancing frequency specifically has an effect on the level of P&L then? $endgroup$

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Observe: I understand when you hedge discretely instead of repeatedly there'll become a hedging mistake, but make sure you disregard this mistake for the purpose of this issue.

Matt B.Matt B. 22111 silver badge22 bronze badges $endgroup$ five $begingroup$ Thanks Matt with the reply. Are you aware commonly how many these kinds of devices are evaluated every day with regular expense financial institution. $endgroup$

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$begingroup$ Pretty naturally the two PnLs don't always coincide. Inside the "college situation" you don't touch the portfolio at $t_1=t+delta t$ and liquidate it only at $t_2=t+2delta t,.

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