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Assuming that you are working for a bank, there many different different P&Ls depending on the function Actual P&L calculated by Finance/ Product Control and is based on the actual price of the instrument in the market (or the corresponding model if a market does not exist). This reflects the true P&L if the position is closed at market prices. ...


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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. The second step is to move every variable that could ...


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You can use DV01 * (change in yields) to calculate the approximated P&L, but you really shouldn't do it. The exact PnL calculation depends on the instruments you're trading. If it's exchange-traded (e.g., futures, futures options), then its price is readily available from the exchange, and the daily change in price should be used for marking to market. ...



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