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.
- 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?