5 Easy Facts About pnl Described
5 Easy Facts About pnl Described
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In investment banking, PnL described (also referred to as P&L demonstrate, P&L attribution or profit and loss explained) is definitely an cash flow assertion with commentary that characteristics or clarifies the day by day fluctuation in the worth of the portfolio of trades to the root brings about with the modifications.
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$begingroup$ You are proper that the overall P&L (or as you get in touch with it The web P&L) needs to be the identical for The 2 approaches, so a little something went wrong.
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$begingroup$ Undecided this can be a legitimate problem! Gamma p/l is by definition the p/l as a consequence of understood volatility becoming distinct from implied.
Above any longer stretch of time, You can find not often a statistically substantial autocorrelation in higher frequency returns. If there was, then the above might be applicable which would dampen the result.
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The implied volatility surface and the option Greeks - to what extent is the information contained within their day-to-day actions the exact same? 4
Are the calculations correct? I thought which the netPnl must be normally the exact same - whatever the valuation variety
The web influence of all of that is always that greater delta hedging frequency does just contain the smoothing impact on P/L in excess of very long more than enough time horizons. But like you suggest you will be exposed to a single-off or unusual indicate reversion (or craze) consequences, but these dissipate around large samples.
$begingroup$ When you check out just a single example, it could seem like the frequency of hedging immediately outcomes the EV/Avg(Pnl), like in the situation you described where hedging each minute proved to get extra worthwhile.
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