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?

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    $\begingroup$ ?? Cost of funding the position ?? $\endgroup$ – Alex C Feb 5 '17 at 18:06
  • $\begingroup$ What about Trading Profit or "P&L of Bonds bought/sold today".(I am thinking of the portfolio of a Bond Dealer for example). $\endgroup$ – noob2 Feb 6 '17 at 13:43
  • $\begingroup$ does the bond bare credit risk? if so I'd say as time passes, you earn a bit of risk premium from there (due to survival) $\endgroup$ – Will Gu Dec 5 '17 at 0:07
  • $\begingroup$ If the bond is in another curremcy, then you'll hav daily P&L from the exchange rate. $\endgroup$ – Dimitri Vulis Mar 23 at 11:54

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),
  • convexity,
  • 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.


Cash flows, such as coupon payments.

Change in various curve marks, such as volatility curve if there are derivative products in the portfolio. Not too sure if there is a prepayment curve but if there is, then a change in the prepayment curve.

Changes in swap spreads.


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