I have DV01 and Gamma Ladder for IR Swaptions and the historical market data of the underlying swap curve. Can someone please help me understand how to calculate historical PNL using taylor expansion for large move in swap curve
If the swap curve changed by 60bp, I believe the delta PNL would be 100k*60. I need help in understanding how the 2nd term of taylor expansion i.e. 0.5 * Gamma * (change)^2 works when we have gamma ladder rather than a single gamma number.
Thanks a lot