Which will depend on the rebalancing frequency. But "anticipated P&L" refers to a mean above all probable cost paths. So There exists not essentially a contradiction here. $endgroup$

La mirada dirigida hacia el ángulo inferior izquierdo revela que estamos inmersos en un monósymbol interior que nos recuerda sensaciones y emociones.

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But you'll need to think about the concern in An even bigger picture sense. How would hedging frequency have an effect on the final results over A huge number of simulations?

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WillWill 13344 bronze badges $endgroup$ four $begingroup$ Did you not say in the beginning that $V$ is self-funding? In that circumstance there is not any cost to finance it and also the PnL is always just $V_T-V_t$ in between any two time points. $endgroup$

Realmente nuestra forma de responder y pensar está condicionada por un mapa neurológico que codifica y almacena nuestro modo de responder ante una situación.

$begingroup$ I estimate daily pnl on the CDS posture using the unfold transform times the CS01. Even so I would want to estimate the PnL for a longer trade that has absent from the 5Y CDS to the 4Y with connected coupon payments. Allows take into consideration:

For swaps, you'll need to estimate its new industry benefit using the new swap curve. Swaptions are identical – you are going to also need to reprice it utilizing the new swap curve & vol cube. Share Strengthen this reply Abide by

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The web effect of everything is always that improved delta hedging frequency does just have the smoothing impact on P/L in excess of extended enough time horizons. But such as you reveal you are subjected to a single-off or exceptional signify reversion (or pattern) consequences, but these dissipate in excess of significant samples.

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$begingroup$ The knowledge I have found about delta hedging frequency and (gamma) PnL on This website and numerous others all reiterate exactly the same factor: that the frequency at which you delta-hedge only has an impact on the smoothness and variance of your respective PnL.