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Suggestions for PnL Explain columns

Open quantthingy opened this issue 4 months ago • 0 comments

Some small changes to make the PnL Explained report more inline with usual market practices in a multi asset environment:

Changes

  • ScenarioPnl -> PnLExplained
  • move Theta into the sum of Scenario PnL (oe PnL Explained) as Theta is part of the Taylor expansion, and is also model dependant
  • HypotheticalCleanPnL -> CleanPnL (as Theta is now in PnL explained)

** New column ** PnLUnexplained = (CleanPnL - ExplainedPnL) this show the PnL part not explained by the greeks

quantthingy avatar Aug 12 '25 04:08 quantthingy