swappers;i have a portfolio of vanilla swaps all maturing in 5 Y,all started in the past.i want my portfoliodaily P&L.question.do i include the past cash generated from the swaps as an ingridient to my dailyportfolio P&L ?

P&L= (PV today - PV start) + (Cash today - Cash start)P&L is reset every year so past cash flows should be in your cash balance only if they happened after the reset date (1st of Jan for most companies)

i get my daily P&L per swap as follows:p&L =PV(Today)-PV(yesterday).PV=Mark-to-market.is this correct ?also i did not get your second part.i have a portfolio that has a MtM (Today) without the past cash of -15mm $$.with the past cash the MtM is +4mm $$ ,is this what you are saying ?

Let's say you traded this morning the following swap:You receive 2.5% annualy vs 6m euribor on EUR 100mioLater, in the afternoon, the market rallies about 10bps and you can then pay 2.4% on the same swap. You decide to lock your profit with an offsetting swap. Of course you could unwind but it's just an example. Instead of paying the lower swap rate you agree with the counterparty to pay a higher rate and receive an upfront fee.You pay 2.5% annualy vs 6m euribor on EUR 100mio and you receive an upfront fee of 10 times the bp value (let's say 500k).What's your P&L?3 days later the upfront fee has been paid and you have 2 perfectly offsetting swaps in your book (you pay 2.5% you receive 2.5%)What's your year to date P&L? The 500K obviously should not disappear... PV means Present Value (of future cash flows!), that's why you also need to take into account the cash part of the book.If you are only interested in daily P&L then P&L_day - P&L_previous_day is what you want to calculate. Only what happened those 2 days matters (PV changes but also cash changes).If it's not clear, speak to someone in your middle office.

thanks Digga.i got your point about the daily P&L.so it is incorrect to include the cash portion of the bokk as part of the daily P&L .is this misrepresenting the daily P&L ?-what does the P&L with the upfront fee looks like ?

Cash is not included in PV. ValueToday = PVToday + NetCashTodaySo the PV of your book will have a 'sawtooth' appearance over time -- PV rises until the cash payment date and then dropsGainLossToday = (PVToday - PVYesterday) + NetCashTodayPreviously paid cash (along with closed out futures positions) are as, GoldDigga says, are held in year-to-date accounts and then 'zeroed' out at the end of the year. These need not be included in your daily calculations

is it correct to say the PV today is the "Fair-value" or mark to market of the book ?is there any refernce on not including past cash in daily P&L calculations,refrences such as FSA rules and such ?

1) Yes, PV is the 'mark to market' of the book (the present value of future cash flows)2) The year to date (or month to date) P&L would inlcude the net cash during that time interval -- but it has no impact on the fair value of the book3) If you want to compute the total P&L on a trade (or a group of trades), you will need to include all the cash from those trades. Say a swap ten year swap trade was initiated five-years ago. The trade is liquidated today. You want to find the total P&L on the trade:(Price Paid at Liquidation - Price Paid at Inititation) + Total Cash EarnedI've rarely seen #3 ever calcuated and then only to show a swap correlated with some other asset.

Thanks ReallyOld.....