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Aunque puede no ser una panacea, la PNL puede ser una herramienta útil cuando se utiliza de manera adecuada y en combinación con otras formas de terapia o coaching.
Or does it seriously not matter? I indicate each can return distinct values so I need to ask which benefit is more correct. $endgroup$
BongoBobBongoBob 2111 silver badge44 bronze badges $endgroup$ one $begingroup$ Which might be far too very long for your parametric strategy to estimate pnl. are unable to you reprice your cds with present day interest rate curve and cds spreads? $endgroup$
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So How can delta-hedging frequency just influence the smoothness and variance of PnL if we can Obviously see it has an effect on PnL itself in this instance?
Which will depend on the rebalancing frequency. But "predicted P&L" refers to a median more than all feasible cost paths. So there is not essentially a contradiction in this article. $endgroup$
$begingroup$ The information I have discovered about delta hedging frequency and (gamma) PnL on This website and various Many others all reiterate precisely the same factor: which the frequency at which you delta-hedge only has an effect on the smoothness and variance of one's PnL.
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$begingroup$ If you correctly hedge (infinitesimal moves), theta will offset gamma but if you are doing periodic hedges for finite moves, you might have gamma slippage and after that you find yourself in a very distribution of Pnl close to zero.
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In lots of circumstances (like bonds within your case) these prices are noticed and unambiguous, This is certainly 'marking to industry'; in other circumstances (where you could possibly keep an illiquid exotic, like a PRDC such as) this selling price is approximated from the Entrance Business office pricer, That is 'marking to design'.