What Does pnl Mean?
What Does pnl Mean?
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$begingroup$ You will be suitable that the Total P&L (or while you connect with it The online P&L) have to be the identical for The 2 procedures, so something went Incorrect.
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InnocentRInnocentR 72211 gold badge66 silver badges1818 bronze badges $endgroup$ one $begingroup$ In case you had been to delta hedge consistently and over a costless basis, then your payoff at expiry would match that of the vanilla solution.
This method calculates the worth of the trade based on The present plus the prior day's rates. The system for rate influence using the revaluation process is
Money is exactly how much you happen to be investing (inclusive of margin). Your funding expenses is forty nine * Money as that is the amount you might be borrowing for getting to 50x leverage.
Two traders have acquired a one hundred strike ATM straddle (extended gamma) that expires in per week on stock XYZ. The stock rate is a hundred. They may be the two originally delta neutral. All through expiry, Trader A delta-hedges each moment, and trader B hedges every single end of day at current market close.
$begingroup$ Very Obviously The 2 PnLs never necessarily coincide. Within the "college situation" you don't contact the portfolio at $t_1=t+delta t$ and liquidate it only at $t_2=t+twodelta t,.
Then again, the gamma PnL is paid to you personally within the aspect, not on the choice top quality, but from the investing routines within the fundamental you perform your hedging account.
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