Suppose I am long USDIDR straddle with my start of the day delta being USD10m long IDR and USDIDR gamma being $5m.
There is a 1% intra-day IDR strengthening, so my delta becomes roughly long IDR 15m. I execute a 15m long USDIDR 1Y NDF to re-balance my delta (bid/ask spread 20 fwd points, 1Y USDIDR NDF mid 14850).
How do I calculate total risk sensitivities based PnL from delta balancing including transaction costs from trading new NDF? Thanks.