I manage a Vanilla Interest rate swap portfolio. The rate curves are interpolated using Monotone convex interpolation. We use Murex to book our deals and manage risk.Most of the DV01 (PVBP) risk in the book is hedged and we have a small net DV01 of approx USD 10k. I check P&L variance report everyday and am noticing that most of the P&L is coming from the time factor. When I simulate the portfolio, the number looks okay.I would generally generally assume that P&L attributed due the date change should not be very materialIs there any known issues of time decay P&L when using Monotone convex interpolation, because our P&L attributed to time decay is much more than the P&L attributed to miovement of rates.Appreciate if somebody can help on this issueThanks in advance

roll down ?

You are correct. It is roll down.But I assumed that roll down should be smooth. Lets say if today's roll down is 70,000, then tomorrows roll down should not be 10,000.The fact that our roll down is not smooth, I would imagine it has to do with the forward curveThts why i wanted to know if this is because of using monotone conves interpolationThanks