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.
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How to calculate P&L for Repo transactions?
I am looking for a clear definition of P&L for Repo transactions.
Could someone explain how to calculate P&L for a Repo transaction (or alternatively provide a pointer to literature explaining ...
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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 ...
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Logical mistake in PL attribution
We are attributing the PnL of a single stock option to risk factors, solving the PLA problem. We have desk quotes $MV(T-1), MV(T)$, and $PnL_{T}=MV(T)-MV(T-1)$. We associate $MV$'s to $\sigma_{iv}^{T-...
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Trading desk P&L analysis: why does it makes losses?
There is an invesment bank and the trading desk with negative cumulative P&L within some period of time (say, a 3-month one), and my common question why is it so?
The desk issues structured bonds ...
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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 ...
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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 ...
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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.
...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 (...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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?
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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 ...
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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 ...
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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 ...
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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 ...
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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 $<...
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Gamma PnL from Itô's Lemma derivation
The change in a call portfolio ($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 &=...
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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 ...
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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:
...
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What is "swimming delta" as a risk attribute in pnl explain?
What is swimming delta as in risk attribution?
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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 ...
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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:
$$
\dfrac{1}{...
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Break-even volatility for delta hedge portfolio
After simulating practical and theoretical PnL of a delta hedged portfolio on some data from the SPX500 under 0.15 management Vol I want to find the Vol which gives me an accumulated PnL of 0.
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Greeks Intraday Characteristics and PnL of options
I am modeling intraday and short term options on Futures.Think Monday, wednesday, friday contracts on these tickers: ES, NQ, CL, ZN, ZF, NG.
I am wondering about documentation for Intraday greek ...
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Delta hedging/Gamma PnL
Suppose I am long USDIDR straddle with my start of the day delta being USD10m long IDR and USDIDR gamma being $5m.
There is a 1% intra-day IDR strengthening, so my delta becomes roughly long IDR 15m....
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Resource to learn about Long / Short Commodities portfolio
As title says, I'm looking to learn more about Commodities trading and how to report and monitor a Long short Portfolio.
Can anyone point me to a good book / website where I can improve my knowledge?
...
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Return on a CDS portfolio
Good evening,
I try to compute the performance of a portfolio of a CDS. I already know how to mark-to-market a CDS but typically, the first time you enter a CDS, you invest zero as the mark-to-market ...
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performance measure using pnl series
I have a time series of \$pnl of a strategy and nothing else. Can i use it to come up with some sort of a performance measure adjusted for risk? Is $$ \frac{average(\$pnl)} {sigma(\$pnl)}$$ ok to use ...
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Calculating PnL on Swap Spread Trade
Say I am a long a 10Y US govt. bond and short (i.e., pay fixed) a 10Y US IRS. The swap spread moves, for example, from -0.25 to -0.3. What do I need to calculate P&L (approximately)?
Are such ...
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VarSwap PnL formula
I came across this formula for the varswap PNL:
let $r_i$ be the log return over $[t_i,t_{i+1}]$ and suppose we risk manage the VS at a fixed implied volatility sigma, the PnL of (the payoff) over ...
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Can we rewrite the pnl of a continuous hedge option as the time average of the volatility weighted by the square gamma?
From what I understand of El Karoui BS Robustness Formula, we can write the PnL of a continuously hedged option as the time average of the volatility weighted by the square gamma, is that right?
$$PnL ...
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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 ...
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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 $[T_s, T_e]$...
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