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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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If you have CDS data, take ( cds spread changes * the dv01 of the cds / cds notional ) to get a percent change in cds. you can use that as a proxy for bond price volatility. Note that in bad times, cash tends to underperform cds so you need to increase the volatility of your bond relative to the cds. if your cds volatility is 3%, multiple that by say 1.5 ...


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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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For FY2012 you may calculate the yield on each bond, and then use marketvalue-weighted average to arrive at pre-tax cost of debt. If you dont have market prices, I would suggest face-weighted coupon average.


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For RV purposes, I have actually continued to use libor discounting for simplicity; otherwise, you'd have to model multiple curves, which become very difficult to work with... That being said, the curve has been trading very differently after the crises. For example, 5y typically didn't deviate that much from 2y and 10y on relative value basis historically, ...


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For the US Treasury market, zero coupon bonds are traded and they are called STRIPS. You can access them through "S GOVT" (coupon Strips) or "SP GOVT" (principal strips) on BBG. With regard to relative value trading, it's actually pretty rare that we fit models to zeros, because a lot of them are not liquid and trade differently from their coupon ...



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