Questions tagged [pl-attribution]

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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 ...
Alfie's user avatar
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1 vote
1 answer
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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 ...
nimbus3000's user avatar
2 votes
1 answer
444 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 (...
chedine's user avatar
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0 answers
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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 ...
SIMO's user avatar
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2 votes
0 answers
392 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 ...
Volwiz's user avatar
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3 votes
2 answers
448 views

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 ...
ccox11's user avatar
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1 answer
683 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?
One Pablo's user avatar
2 votes
1 answer
2k views

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 ...
SuavestArt's user avatar
2 votes
3 answers
871 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 ...
John's user avatar
  • 21
0 votes
1 answer
528 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 ...
One Pablo's user avatar
2 votes
2 answers
152 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 ...
Proctorphd 's user avatar
6 votes
2 answers
3k views

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?
q.t.f.'s user avatar
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5 votes
1 answer
817 views

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!
Laralander's user avatar
2 votes
1 answer
531 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 ...
thetableed's user avatar
4 votes
1 answer
3k 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 ...
user1131338's user avatar