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 beginning of the day. The por...
I understand this delta hedged portfolio pnl formula and how it's derived. $$ \text{P&L}=\dfrac{1}{2}\Gamma(\Delta S)^{2}-\theta\delta t $$ However, if I think it from a different angle like t...
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 are a posteriori computed from changes in option prices. How does $\theta$ figure into the calculations of delta-hedged PnL? Thanks in advance for the assitance.
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 and why vega pnl isnt affec...
Gamma PnL Formula and Break-Even volatility Ask Question Asked 6 years, 8 months ago Modified 5 years, 2 months ago
Your delta PnL is also coming from gamma since the deltas you accumulate is a consequence of gamma (ignoring other second order spot Greeks). Just decide on a frequency you want to report the Greek PnL at and keep it consistent that way.
In fixed income trading, a portfolio may have a large number of derivatives (swaps) positions which are typically aggregated into bucketed points on a curve and a PnL estimation is usually derived ...
fixed income - Allocating bond PnL in a similar way to swaps ...