And this depends upon the rebalancing frequency. But "anticipated P&L" refers to a median in excess of all doable rate paths. So there is not necessarily a contradiction right here. $endgroup$To create the two techniques comparable you need to think of investing/borrowing $PnL_1$ at charge $r$ to ensure it stays while in the technique right up unti
If you hedge each and every minute, You would not recognize the entire pnl from the greater SD moves however , you do seize the complete pnl on the lesser intraday moves. Conversely, if you only hedge as soon as every day, you won't understand the complete pnl with the more compact intraday moves (like in your example) but you'd in return comprehen
Hence the "function circumstance" pnl would be the pnl stripped of cash desire effectiveness, and only displays the risky asset investment performance. I'm able to understand why Here is the pnl Utilized in my firm. Do you concur with this standpoint? $endgroup$La agudeza sensorial se refiere a la capacidad de observar o detectar pequeños detalles