Skip to main content

Questions tagged [pnl]

P&L, or pnl, is a short hand for "profit and loss". which denote the balance sheet of a position in assets over a period of time.

Filter by
Sorted by
Tagged with
0 votes
0 answers
37 views

Application of Reciprocal Currency Rates and Triangular Arbitrage in FX Trading

After nearly a decade as a software engineer in finance, I find myself grappling with a question about FX trading that I've always hesitated to ask, particularly concerning the calculation of ...
seldonzzz's user avatar
0 votes
1 answer
165 views

What is the P&L

I have a question about the P&L calculation, please. If we sell a call option on a stock with a volatility of 16%. Theta is worth 100€/day. Let's assume that the spot moves by 2% in one day. What ...
Raphael Morel's user avatar
0 votes
0 answers
130 views

help calculating Pnl for fx forwards

Below there is a trader’s portfolio. What is PnL explain for eod 04-July-2022? If you think that some information is missed feel free to add any data you need for calculations. ...
Jim's user avatar
  • 1
3 votes
2 answers
313 views

Allocating bond PnL in a similar way to swaps

In fixed income trading, a portfolio may have a large number of derivatives (swaps) positions which are typically aggregated into bucketed points on a curve and a PnL estimation is usually derived via ...
Attack68's user avatar
  • 10.5k
3 votes
1 answer
70 views

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
  • 223
0 votes
2 answers
324 views

Pnl on delta hedged option

When we sell an option and we hedge it using Delta, we replicate the option payoff until maturity according to its Delta. If we replicate the option perfectly and with high frequency, we should be ...
Ouissem's user avatar
0 votes
1 answer
72 views

How to compute % return of a strategy with Vega notional [duplicate]

I'm currently running some backtest on a strategy 2 legs and where the product traded is straddle. I aim on this strategy to be Vega neutral thanks to a balance between 2 legs. Thus, I deal with Vega ...
Fiatpanda2000's user avatar
0 votes
0 answers
61 views

Where am I going wrong with the calculation of conitnuous PnL from delta hedging?

I am trying to work out the PnL of continuous delta hedging. I saw This link to an answer here, however, I obtained a different answer without resorting to Black Scholes, which I will outline below. ...
Slugger's user avatar
  • 111
2 votes
0 answers
79 views

PTP 10% Withholding [closed]

Apparently there's a new IRS rule that can be summarized as "starting January 1st, 2023, investors who are not U.S. taxpayers must withhold 10% of proceeds from the sale of PTPs (Publicly Traded ...
Gabi's user avatar
  • 131
0 votes
2 answers
2k views

Delta-hedging frequency directly affects PnL, and not just PnL smoothness and variance?

The information I have found about delta hedging frequency and (gamma) PnL on this site and numerous others all reiterate the same thing: that the frequency at which you delta-hedge only has an effect ...
user avatar
1 vote
1 answer
493 views

Interest rate swap Profit and loss attribution

I am wondering how the IRS daily PnL will normally be attributed from trader's/market risk perspective. Will it be broken down into three parts daily carry (Daily interest accrual), daily roll-down (...
kit's user avatar
  • 11
0 votes
1 answer
471 views

How to calculate daily returns when the cumulative PnL can become negative?

I would like to know a way to compute returns when the total PnL of a strategy can become negative. For example: Total PnL day 1: 100 Total PnL on day 2: -20 Total PnL on day 3: 30 I have that kind of ...
Maxime Willemet's user avatar
1 vote
1 answer
2k views

FX Swap PnL and NPV

Suppose I have an existing FX Swap, suppose the spot leg is already settled, so only forward leg is left. Question: What will be the P&L for this instrument - only forward leg NPV or spot leg is ...
Philipp Rott's user avatar
0 votes
1 answer
624 views

compute Expected Shortfall / Conditional VaR from distribution

I want to compute the Expected Shortfall from a distribution of returns. I have no closed solution for my distribution of returns, so I wonder if I can simply compute ES by taking the mean of all the ...
charelf's user avatar
  • 105
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
1 vote
3 answers
1k views

Gamma PnL when hedging with implied volatility - where is the mark to market PnL?

It is well known that hedging with implied volatility involves a PnL: $0.5*(σ^{2}_r−σ^{2}_i)S^{2}*Γ_{i}dt$ In the Wilmott paper (http://web.math.ku.dk/~rolf/Wilmott_WhichFreeLunch.pdf), they imply ...
user121416's user avatar
1 vote
1 answer
5k views

How to attribute daily options P&L between Greek sensitivities [duplicate]

When building a P&L attribution system for options, what is the market convention for attributing daily P&L between delta, gamma, vega, and theta Greeks? I'm particularly interested in how ...
equanimity's user avatar
0 votes
0 answers
495 views

Calculating Rolling P&L of Trade Log

I have an extensive trade log of historical buy and sell orders and I am trying to calculate the running p&l of the trading results. Most rows represent partial fills where there is still a ...
William G's user avatar
1 vote
0 answers
200 views

Gamma PNL for Convertible Bond

so just trying to compute gamma PNL for some CB positions using Bloomberg data for delta/gamma. for a CB, BBG has delta 0.74 and Gamma 0.00524. if I want to compute the delta PNL and Gamma PNL for a ...
user51725's user avatar
1 vote
1 answer
583 views

How to compute a portfolio PnL and Sharpe?

I understand this is quite the common question but I haven't been able to understand this concept through the previous posts. My situation is that each day, I'm interested in buying/selling one ...
user54677's user avatar
1 vote
0 answers
143 views

Market maker hedging model

I understand that most market makers maintain non directionality i.e. they always aim to be perfectly hedged. So if they take a long position in X, they will take an offsetting short position in a ...
ecxnfmdnamdnrnrm's user avatar
2 votes
2 answers
1k views

Why using mid price to compute mark-to-market P&L if it is less accurate than using bid/offer price?

Why using mid price to compute mark-to-market P&L if it is less accurate than using bid/offer price? If spread is wide, mid is really not representative of what you would get by getting rid of ...
AnastasiaShishkova'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
  • 1,885
0 votes
1 answer
252 views

Using Taylor formula with logarithmic returns

I would like to calculate PnL scenarios for an FX portfolio using Taylor series approximation: $$ \begin{align} \text{PnL} \approx \delta \Delta r + \frac{1}{2} (\Delta r)^2 \Gamma \end{align} $$ I ...
user92234's user avatar
1 vote
1 answer
144 views

Structured Trade / Hedge consistency

I have a question regarding the marking consistency (from an accounting point of view) between bespoke structured trades and the listed instruments that may be used for their hedging purpose: Since ...
Ouadia's user avatar
  • 65
5 votes
4 answers
2k views

How to determine what's driving the VaR?

I am given the following data: Historical (260 days) P&L vector of a portfolio. Specific P&L's for each investment in the portfolio, for the 10 days with the lowest P&L. The question ...
Mkch's user avatar
  • 151
2 votes
1 answer
184 views

Continuous Percentage Profit and Loss calculation

I need to calculate a profit and loss for an equity timeseries. The position size (column D in the below table) is not binary (not moving from zero position to a position and then back to zero ...
Stacey's user avatar
  • 183
1 vote
1 answer
428 views

Question about using Ito's lemma in Gamma PnL

While deriving the delta hedge error if we hedge with implied vol, and the true vol is different, we say that the PnL of the call option is: $$dC=C_tdt+C_SdS+0.5C_{ss}<QV>dt - (1)$$ Where $<...
Arshdeep's user avatar
  • 2,202
3 votes
1 answer
619 views

Gamma PnL from Itô's Lemma derivation

The change in a call portfolio ($f$), derived from Itô's Lemma, is: \begin{align*} \left( \frac{\partial f}{\partial t}+\frac{1}{2}\sigma^2S^2\frac{\partial^2 f}{\partial S^2}\right)\mathrm{d}t &=...
DUM03's user avatar
  • 65
0 votes
1 answer
1k views

Historical PNL using Taylor Expansion for Gamma Ladders

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 ...
pyEnthusiast's user avatar
0 votes
2 answers
905 views

realized/unrealized PnL with leverage

Look at this trade: ...
nimo23's user avatar
  • 145
0 votes
1 answer
429 views

realized/unrealized PnL with multiplier

Look at this trade: Sequence Side Quantity @ Price 1. Buy 1000 @ 1000 2. Sell 1000 @ 1250 The calculation of the realized PnL: ...
nimo23's user avatar
  • 145
3 votes
1 answer
3k views

PnL with FIFO and LIFO

I have the following trades: ...
nimo23's user avatar
  • 145
1 vote
2 answers
1k views

What is "swimming delta" as a risk attribute in pnl explain?

What is swimming delta as in risk attribution?
CyrF's user avatar
  • 11
0 votes
2 answers
725 views

Delta Hedged PnL on Call Spread

Suppose I buy a call and then sell a call one dollar in strike higher. Suppose I get into this position for 10 cents lower than it is theoretically worth. (I.e if this spread is worth 0.50 I just ...
roz's user avatar
  • 979
5 votes
1 answer
8k views

Gamma PnL Formula and Break-Even volatility

When we derive the P&L of a delta hedged option we obtain: $$ \text{P&L}=\dfrac{1}{2}\Gamma(\delta S)^{2}-\theta\delta t $$ and setting equal to zero and rearranging we obtain: $$ \dfrac{1}{...
roz's user avatar
  • 979
1 vote
0 answers
586 views

Break-even volatility for delta hedge portfolio

After simulating practical and theoretical PnL of a delta hedged portfolio on some data from the SPX500 under 0.15 management Vol I want to find the Vol which gives me an accumulated PnL of 0. ...
DasBoot's user avatar
  • 141
0 votes
0 answers
391 views

Greeks Intraday Characteristics and PnL of options

I am modeling intraday and short term options on Futures.Think Monday, wednesday, friday contracts on these tickers: ES, NQ, CL, ZN, ZF, NG. I am wondering about documentation for Intraday greek ...
Lovinthecane's user avatar
1 vote
1 answer
692 views

Delta hedging/Gamma PnL

Suppose I am long USDIDR straddle with my start of the day delta being USD10m long IDR and USDIDR gamma being $5m. There is a 1% intra-day IDR strengthening, so my delta becomes roughly long IDR 15m....
babaji's user avatar
  • 45
1 vote
0 answers
87 views

Resource to learn about Long / Short Commodities portfolio

As title says, I'm looking to learn more about Commodities trading and how to report and monitor a Long short Portfolio. Can anyone point me to a good book / website where I can improve my knowledge? ...
Nicola Torrisi's user avatar
0 votes
2 answers
539 views

Return on a CDS portfolio

Good evening, I try to compute the performance of a portfolio of a CDS. I already know how to mark-to-market a CDS but typically, the first time you enter a CDS, you invest zero as the mark-to-market ...
Gamma's user avatar
  • 1
3 votes
2 answers
2k views

performance measure using pnl series

I have a time series of \$pnl of a strategy and nothing else. Can i use it to come up with some sort of a performance measure adjusted for risk? Is $$ \frac{average(\$pnl)} {sigma(\$pnl)}$$ ok to use ...
dayum's user avatar
  • 343
4 votes
1 answer
3k views

Calculating PnL on Swap Spread Trade

Say I am a long a 10Y US govt. bond and short (i.e., pay fixed) a 10Y US IRS. The swap spread moves, for example, from -0.25 to -0.3. What do I need to calculate P&L (approximately)? Are such ...
Vladimir Nabokov's user avatar
1 vote
0 answers
675 views

VarSwap PnL formula

I came across this formula for the varswap PNL: let $r_i$ be the log return over $[t_i,t_{i+1}]$ and suppose we risk manage the VS at a fixed implied volatility sigma, the PnL of (the payoff) over ...
JiLight's user avatar
  • 173
1 vote
1 answer
385 views

Can we rewrite the pnl of a continuous hedge option as the time average of the volatility weighted by the square gamma?

From what I understand of El Karoui BS Robustness Formula, we can write the PnL of a continuously hedged option as the time average of the volatility weighted by the square gamma, is that right? $$PnL ...
astudentofmaths's user avatar
0 votes
3 answers
3k views

Calculating PnL on Eurodollar futures trading

I'm trying to understand how the published prices for futures relate to how much is actually spent when you execute. For example: looking at GEH8 on 4/19/2017. The quotes look like 98.50, 98.515, but ...
bpeikes's user avatar
  • 103
2 votes
0 answers
97 views

An arbitrage strategy involving forward contracts to show that LIBOR rates are martingales

I note $L_{t}^{[T_s, T_e]}$ the forward rate at time $t$ for the period $[T_s, T_e]$. Recall it is the strike making equal to $0$ the value at time $t$ of a forward contract for the period $[T_s, T_e]$...
Olórin's user avatar
  • 1,223
0 votes
1 answer
545 views

How does a Short position impact the PnL?

I have several activity records which include several transaction types: buy, sell, short, <...
WJA's user avatar
  • 217
3 votes
1 answer
258 views

Generating a P&L that is linear in the variation on an underlying at no cost

I am actually reading Lorenzo Bergomi's "Stochastic Volatility Modelling" book, and came across this bit : I understand everything up to (5.5) included. But I don't see the point in mentioning the ...
Olórin's user avatar
  • 1,223