Which is determined by the rebalancing frequency. But "predicted P&L" refers to a mean over all feasible value paths. So There is certainly not automatically a contradiction below. $endgroup$
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This process calculates the worth of the trade depending on the current as well as prior working day's price ranges. The components for price influence using the revaluation system is
But you require to think about the issue in A much bigger picture feeling. How would hedging frequency have an affect on the outcomes over A large number of simulations?
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$begingroup$ Unsure this is the legitimate problem! Gamma p/l is by definition the p/l due to recognized volatility staying diverse from implied.
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$begingroup$ It's in truth. It truly is Specifically attention-grabbing in the portfolio where you is usually hedging some pitfalls and maintaining Many others. $endgroup$
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So why make a PnL report. As more info I have an understanding of, The rationale for making a PnL report is to show the break up of financial gain/reduction amongst several parameters that result bond cost. Is that ideal? $endgroup$
nbbo2nbbo2 12k33 gold badges2323 silver badges3737 bronze badges $endgroup$ 5 $begingroup$ Thank you a great deal. You calculations are Excellent stated! $endgroup$
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La PNL también se aplica en el campo de la educación para mejorar el aprendizaje y la enseñanza. Los educadores pueden utilizar técnicas de PNL para crear un ambiente de aprendizaje más efectivo, mejorar la comunicación con los estudiantes y ayudar a los estudiantes a desarrollar estrategias de aprendizaje más efectivas.
$begingroup$ The information I have found about delta hedging frequency and (gamma) PnL on This web site and diverse Some others all reiterate the same factor: that the frequency at which you delta-hedge only has an effect on the smoothness and variance of one's PnL.