Jul 17, 2014 · In Fixed Income, I know that bonds PnL are evaluated depending on where the price lies on price/yield curve at the end of the day, compared to where it started from at …

May 5, 2018 · Why does Gamma Pnl have exposure to realised volatility, but Vega Pnl only has exposure to implied volatility? I am confused as to why gamma pnl is affected (more) by IV …

Nov 13, 2020 · Can anyone share good references for how PNL explain should be calculated and presented for the best use of a derivatives trading desk?

Dec 15, 2023 · Regulators want to backtesting VaR estimates based on both Risk theoretical PnL and Actual PnL. My question is how can Backtesting of VaR be done with Actual PnL? …

Nov 19, 2024 · To calculate the annualized sharpe ratio, can I do: mean (PnL) / std (PnL) * sqrt (252)? This gets me 16.5. Alternatively, I've read online people say you need to calculate the …

Dec 2, 2020 · This makes little sense to me - implied volatility is computed using option prices in the first place, so it makes little sense to have a greek like this, if changes in implied volatility …

Jun 3, 2024 · 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 …

Aug 28, 2019 · Gamma PnL Formula and Break-Even volatility Ask Question Asked 6 years, 3 months ago Modified 4 years, 10 months ago

Sep 10, 2024 · a) Your PnL formula is correct and tells you that you want realized vol to be larger than implied vol to have positive PnL. What makes you think that implied vol is "always" higher …

Dec 1, 2024 · Obviously this method's cumulative % return doesn't make sense as on day 3 -- cumulative return is 8.68% while the \$ PnL is negative -\$10,000. This is because the same …