Questions tagged [pl-attribution]
The pl-attribution tag has no usage guidance.
18 questions
1
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1
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104
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How to attribute PnL to factors in a multi factor model
I have a multi factor model and I am trying to decompose PnL of a given portfolio into different factors. This theory makes sense.
But lets consider a portfolio of $n$ ($n$ is same as no of factors ...
3
votes
1
answer
78
views
Correlated random effects: mixed effects as a factor model
I am trying to build a fundamental factor model in the style of Fama-French. I have the FF factors as well as the industries in which my assets belong.
The model is specified as:
$$
\mathbf{Y} = \...
- 331
1
vote
0
answers
92
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Pnl attribution to alphas
I have about 10 alphas. I assign each of these alphas a weight and then add them up to form a combined alpha. Now I am feeding this to a mean variance optimizer that considers transaction costs and ...
- 263
3
votes
1
answer
92
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Literature on PAA for Rates products
There is abundant literature on pricing interest rate derivatives, but it is a struggle to find much on the science and methods behind practical Profit Attribution Analysis (PnL explain) on fixed ...
- 223
1
vote
1
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509
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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 ...
- 851
2
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1
answer
652
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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
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0
answers
359
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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
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0
answers
497
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 ...
- 263
3
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2
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699
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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
940
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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
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1
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2k
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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 ...
- 547
2
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3
answers
1k
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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
791
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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
185
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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
6
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2
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4k
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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?
- 1,885
5
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1
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1k
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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
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1
answer
622
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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
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1
answer
4k
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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 ...
- 137