This was asked to me in my product control interview. What factors contribute to the daily pnl of a bond, if you exclude daily carry, price change and interest rate change? There would still be a pnl, what does it consist of?
It is an interview question. As opposed to finding the one right answer, I suggest you to prove that you have an idea about fixed income.
Discuss and systematically deal with topics like
- accrued interest (clean/dirty price),
- curve shape (rolldown for example),
- liquidity (bid/ask spread)
and what else comes to your mind to prove that all the concepts are there. All of those can result in a change of the P&L of the bond.