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 …
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 …
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 …
options - Gamma PnL Formula and Break-Even volatility
Aug 28, 2019 · Gamma PnL Formula and Break-Even volatility Ask Question Asked 6 years, 4 months ago Modified 4 years, 10 months ago
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 …
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? …
Bergomi: Skew arbitrage - Quantitative Finance Stack Exchange
It is smaller than the skew PnL, but has a non negligible effect on the PnL. In my replication I am using the S&P and my time period is 2010 to 2019, while Bergomi is using Eurostoxx and …
How to attribute daily options P&L between Greek sensitivities
When building a P&L attribution system for options, what is the market convention for attributing daily P&L between delta, gamma, vega, and theta Greeks? I'm particularly …
black scholes - Taylor expansion or Itô's formula - Quantitative ...
Nov 28, 2024 · Then the PnL above would be always 0, which is obviously wrong. So it means the first formula above is indeed a Taylor expansion and not Itô's formula, but then: How do we …