# 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 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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### 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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### 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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1 vote
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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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### 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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### Cross Gamma PnL Formula

sort of dumb question. I understand well the relationship between Gamma/Theta pnl for options on single underliers. I'm (attempting) to move onward and upward to options on baskets. Conceptually, I ...
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I am trying to compute the daily P&L of the following systematic trading strategy: sell each day a 1M straddle on EUR-USD from 04th January, 1999 to today. My dataset contains the strike, the spot,...
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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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