$begingroup$ In Fixed Income, I realize that bonds PnL are evaluated determined by where the value lies on rate/yield curve at the end of the working day, compared to where it started out from at starting with the day.

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You issue could well be far more on-subject matter if it summarized Whatever you currently fully grasp regarding the calculations and questioned a specific concern about the unclear portion(s). $endgroup$

Nivel Egres: From your viewpoint of gamma pnl, The one thing that issues would be the modify inside your asset cost. Frequency is irrelevant - you can rebalance at distinctive time intervals or when delta exceeds a threshold or a number of other things - it remains an approximation of ongoing integral along with your expected P&L could well be the exact same.

A PnL explained report will usually include one row for every trade or group of trades and may have in a least these columns:

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$begingroup$ Why does Gamma Pnl have exposure to realised volatility, but Vega Pnl only has exposure read more to implied volatility? I'm bewildered regarding why gamma pnl is influenced (far more) by IV and why vega pnl isnt influenced (far more) by RV?

When you hedge every single minute, You would not understand the entire pnl on the bigger SD moves however , you do capture the entire pnl in the lesser intraday moves. Conversely, if You simply hedge once daily, you won't comprehend the full pnl with the smaller sized intraday moves (like in the instance) but you should in return comprehend the entire pnl from your larger sized SD moves.

Notice: I notice should you hedge discretely rather then continually there'll be a hedging error, but be sure to ignore this mistake for the goal of this query.

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$begingroup$ For those who flawlessly hedge (infinitesimal moves), theta will offset gamma but when you are doing periodic hedges for finite moves, you would've gamma slippage and afterwards you end up within a distribution of Pnl around zero.

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Observe this is determined by the regional regulation, consequently the exact same posture can possibly have unique Clean P&L if booked in publications that happen to be subject to unique regulators. Clean P&L is used for backtesting VaR versions for regulatory funds.

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