I estimate daily pnl on a CDS position using the spread change times the CS01.

However I would like to estimate the PnL for a longer trade that has gone from a 5Y CDS to a 4Y with associated coupon payments.

Lets consider:

  • Trade date 2018-08-01: Sell Protection Nominal 1,000,000 at 455 Spread on 5Y CDS maturity Jun 23
  • Coupon 500 Bps
  • Current 5Y Spread 415
  • Current 4Y Spread 336

How can I calculate the current PnL for this trade?


that may be too long for a parametric method to estimate pnl. can't you reprice your cds with today's interest rate curve and cds spreads?


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.