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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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Mark-to-market PnL of Repo

My understanding of repos, especially buy-sell-backs, is that the first and second leg amounts are set at the the trade date (with coupon adjustments taken into account should there be any). The mark-...
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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 the 6-month VaR and expected shortfall from the 3-month values

I have this problem that I'm not really sure how to crack. Recall that the log return $X_t$ of a portfolio at time t is defined as $$X_t = log(V_t) - log(V_0)$$ Where V denotes the value of the ...
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PnL ED Futures and FRA

So I have the following question: Assume you buy 1000 ED Futures @ 99 and paying a FRA with the same fixing date (90 Day period) at 1%. The market rally 10bp. What will happen to my PnL? Pretty ...
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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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How does a Short position impact the PnL?

I have several activity records which include several transaction types: buy, sell, short, <...
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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 ...