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vivmak
Topic Author
Posts: 6
Joined: June 17th, 2008, 11:17 am

PnL Estimate

August 26th, 2008, 3:18 am

When I am calculating PnL esitmate for a portfolio, I think that I need to calculate the PV of expected future cashflows and I am not sure if I need to include past casflows (realised) for the active trades and also should I be including trades that have matured?
 
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daveangel
Posts: 17031
Joined: October 20th, 2003, 4:05 pm

PnL Estimate

August 26th, 2008, 1:27 pm

it depends on what you are doing but in general you dont if you are just valuing a portfolio. the actual cash flows shoul dbe reflected in the realised p+l bucket.
knowledge comes, wisdom lingers
 
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phil451
Posts: 83
Joined: December 7th, 2007, 8:21 am

PnL Estimate

September 4th, 2008, 11:25 am

The PV of any financial instrument is:"The sum of future unsettled discounted cash flows" This means that when calculating a PV you only need to consider future cash flows. However, when calculating PnL you will need to consider the cash that has already settled on the deal and the cost of funding the position. The standard PnL formula isPnL = Change in PV + Change in accumulated Cash + Change in accumulated Funding
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