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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?

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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?

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