Actual P&L calculated by Finance/ Item Control and relies on the actual cost of the instrument on the market (or perhaps the corresponding product if a industry does not exist). This demonstrates the legitimate P&L In the event the position is shut at market charges.
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I'm considering realizing the PnL among $t_0$ and $t_2$ of remaining extended 1 unit of dangerous asset. Nevertheless I have two contradictory reasonings:
so what you eliminate on premium payment you attain with your gamma investing account and you crack whilst you be expecting!
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El mensaje que intentamos transmitir no siempre es el que los demás reciben. Por tanto, desde la PNL nos dicen que debemos estar pendientes de las reacciones de los demás para ver si nuestro mensaje ha tenido éxito.
$begingroup$ In Black Scholes framework, assuming zero desire rates and understood volatility to generally be similar as implied volatility, gamma pnl is precisely identical and opposite of theta pnl.
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So why develop a PnL report. As I recognize, The explanation for making a PnL report is to show the split of earnings/loss among numerous parameters that outcome bond selling price. Is proper? $endgroup$
After you then setup the portfolio once more by borrowing $S_ t_1 $ at charge $r$ you may realise a PnL at $t_2$ of
Let's also take into account regular interest charge r and frequent hazard rate $lambda$ above the lifetime of the deal. $$
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$begingroup$ Rather naturally here the two PnLs usually do not necessarily coincide. From the "school scenario" You do not touch the portfolio at $t_1=t+delta t$ and liquidate it only at $t_2=t+2delta t,.