Would be the calculations correct? I thought which the netPnl should be often the identical - regardless of the valuation sort

$begingroup$ For a possibility with price tag $C$, the P$&$L, with respect to variations on the underlying asset selling price $S$ and volatility $sigma$, is supplied by

You can even analyse the skewness and kurtosis in the interval PnL by getting third and 4th moments of $Y_t$ respectively. Presumably you might conclude that for two collection with identical expectation and variance, you may prefer the just one with optimistic skew or lessen kurtosis, but possibly not depending on the confidence of the marketplace check out, etcetera..

$begingroup$ The pnl calculation is done in two steps. By definition, you price your portfolio as of today, you price your portfolio as of yesterday, and the main difference might be your pnl.

Or does it seriously not issue? I necessarily mean the two can return distinctive values so I have to ask which worth is more correct. $endgroup$

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For example, a corporation’s revenues could grow on a gradual foundation, but its charges may well grow at a much faster fee.

– Will Commented Nov 24, 2024 at 22:15 $begingroup$ I am not an accountant but I feel that these thoughts have more to carry out with conventions and remaining constant to have the ability to click here explain to if, say, previous year's PnL was better or even worse than this 12 months's. There might be no scientific method to derive a "correct" process.

BongoBobBongoBob 2111 silver badge44 bronze badges $endgroup$ 1 $begingroup$ That could be way too extensive for any parametric strategy to estimate pnl. can't you reprice your cds with today's interest price curve and cds spreads? $endgroup$

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La gente varía mucho a la hora de darse cuenta de lo que ve, escucha o siente. Hay personas que se dedican a observar más su entorno, mientras que otras se fijan más en sus propias emociones y pensamientos.