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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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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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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PnL with FIFO and LIFO

I have the following trades: ...
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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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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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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 $[T_s, T_e]$...