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I was wondering if any quant guru can help . How to calculate the PnL explained using full reval aka scenario based = > t - (t-1) approach for linear instrument. I am finding difficulty to understand the order for the input and how to move them. My portfolio contains Physical forward and future.

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  • $\begingroup$ It's difficult to answer without more information. Sometimes what is locally linear , isn't over a large move. $\endgroup$ – dm63 Apr 20 '16 at 0:19

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