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 beginning of the day. …
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 and why …
Delta-hedging frequency directly affects PnL, and not just PnL ...
Feb 18, 2023 · The information I have found about delta hedging frequency and (gamma) PnL on this site and numerous others all reiterate the same thing: that the frequency at which you delta-hedge …
Good references on PNL explain? - Quantitative Finance Stack Exchange
Nov 13, 2020 · Can anyone share good references for how PNL explain should be calculated and presented for the best use of a derivatives trading desk?
Defining and Calculating Vega PnL for Basket Options
Apr 21, 2025 · 2 Defining and Calculating Vega PnL for Options Dependent on the Volatility Surface I am working with exotic options, such as accumulators, whose value V depends on the entire volatility …
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 returns and do …
volatility - Realized vol, implied vol, and gamma scalping ...
Sep 10, 2024 · In this post, the answer explained the difference between whether m2m implied vol. So if I only want to look at pure gamma pnl, I assume I should ignore m2m implied vol, hence a 0 pnl from …
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 are a posteriori …
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 2002-2010, so it …
options - Gamma PnL Formula and Break-Even volatility - Quantitative ...
Aug 28, 2019 · Gamma PnL Formula and Break-Even volatility Ask Question Asked 6 years, 3 months ago Modified 4 years, 9 months ago