How is PnL calculated - Quantitative Finance Stack Exchange
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 …
Gamma Pnl vs Vega Pnl - Quantitative Finance Stack Exchange
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 …
Using Theta to Approximate the PNL of a Delta-Hedged Option …
Apr 8, 2025 · A long time ago, I was taught that there is a rule-of-thumb approximation of the 1-day PNL of a delta-hedged option position that uses theta. I searched the internet and couldn't …
Good references on PNL explain? - Quantitative Finance Stack …
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?
Delta-hedging frequency directly affects PnL, and not just PnL ...
Feb 18, 2023 · The information I have found about delta hedging frequency and (gamma) PnL on this site and numerous others all reiterate the same thing: that the frequency at which you …
Backtesting of VaR estimates - Quantitative Finance Stack Exchange
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? …
Sharpe Ratio using Daily Returns or Percent Returns
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 …
pnl - Trading desk P&L analysis: why does it makes losses ...
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 …
Confusion about Vega P/L - Quantitative Finance Stack Exchange
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 …
How to calculate cumulative percentage return on a changing base
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 …