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Suppose on day 1 we calculate a delta wrt. a point on an interest curve of zero rates, we then let 1 day pass, recalculate the interest curve of zero rates with the same bonds (though now day 20 bond becomes day 19 etc.), we take the change in the risk factor (the difference in a point on the two risk factors matching the delta) and we estimate the PL for day 2.

Does our estimate contain P/L associated with time passing? what we might call theta or time PnL.

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Yes. The time p/l can be found by leaving all the inputs the same and allowing a day to pass. I prefer not to call it theta - that term is used to describe the time decay of options.

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