Questions tagged [pl-attribution]
The pl-attribution tag has no usage guidance.
14
questions
1
vote
1
answer
206
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Decompose Option price into greeks
I am trying to decompose option prices into various greeks and trying to see if I can recover option prices from various of its greeks.
At the start of certain time ...
- 806
2
votes
1
answer
359
views
Attributing change in option prices to greek components
A noob question. I'm trying to get my head wrapped around this but getting lost, please guide.
From the entry and exit prices of an European option, how do I attribute the P&L to various greeks (...
- 123
0
votes
0
answers
148
views
P&L explain for swap?
I try to make a P&L explanation of a swap from the delta, gamma, to the N instruments of the rate curve (money market, futures and swap).
I use a perturbative shock of 1bp for each instrument of ...
- 51
2
votes
0
answers
343
views
Model based PnL explain for FX Options
In FX options the vol surface for a given maturity is usually described by three or five points, I.e. Atm, 25 delta risk reversal and butterfly and 10 delta risk reversal and butterfly. Then models ...
- 253
3
votes
2
answers
348
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Return Attribution for Long/Short Fund
Let's say a fund's net returns are described by the following table:
Long
Short
Total
1.0%
0.25%
1.25%
1.0%
0.25%
1.25%
...
...
...
1.0%
0.25%
1.25%
After 12 months the net performance of the ...
- 31
0
votes
1
answer
549
views
Principal component analysis on a yield curve
When conducting principal component analysis on the yield curve, PC1 = constant (level shift), PC2 = Slope, PC3 = Curvature. How do you interpret PC>3, e.g. PC 4?
- 37
2
votes
1
answer
1k
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Explain daily P&L by risk factor for a portfolio of bonds and FX forwards
I was once an intern for a small bank with a portfolio mainly composed of gov. bonds, FX Forwards and time deposits. We used to report the daily P&L along with a P&L atributtion to each of the ...
- 480
2
votes
3
answers
722
views
Attribute P&L to PCA vectors (swaps)
I have a daily US swaps data here for 2020 https://easyupload.io/yh4rnd . I have run PCA on standardized data and got PCA matrix (and basic statistics):
I also have such hypothetical portfolio that ...
- 21
0
votes
1
answer
446
views
Principal Component Analysis for attributing yield curve changes
I have calculated the Principal components using daily yield curve changes. After calculating these components, i noticed that 98% of the return can be attributed to the first 3 components.
How do i ...
- 37
2
votes
2
answers
142
views
Vega of option with market derived parameters
Suppose I have a volatility model of the form $\sigma=f(X(x,y), Y(x, y))$ where $f$ is some function of the variables $X, Y$ which are calibrated using some calibration procedure with market implied ...
- 21
5
votes
2
answers
3k
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Good references on PNL explain?
Can anyone share good references for how PNL explain should be calculated and presented for the best use of a derivatives trading desk?
- 1,875
5
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1
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721
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Swaption PnL approximation/attribution
With a payer swaptions delta and gamma is there a method for approximating pnl for a given move in underlying swap rate? (An equivalent to the Taylor expansion for a vanilla call)
Thanks!
- 51
2
votes
1
answer
471
views
Pnl explain using adjusted SABR delta
When looking at SABR, the starting point for a swaption's delta is the usual:
$\Delta = \partial V/\partial F $
However, since we have expressed our volatility $ \sigma $ as a function of our ...
- 146
4
votes
1
answer
2k
views
PnL Explained Using Scenario(Full Reval Model)
I was wondering if any quant guru can help . How to calculate the PnL explained using full reval aka scenario based = > t - (t-1) approach for linear instrument. I am finding difficulty to understand ...
- 127