interest rate swap P&L

wpjwpjgg · April 7th, 2012, 5:41 pm

hi Guys,How would you answer the P&L calculation for swaps, swaptions?I know this sounds like a trivial answer, but it's actually accounting related, there's economic pnl, accounting pnl etc..This is a file I found useful, but as a guy without accounting background, it makes me confused....http://www.nbs.sk/_img/Documents/BIATEC ... 3.pdfThank you!

DavidJN · April 8th, 2012, 3:37 pm

Are you interested in accounting P&L or real (what you call economic) P&L? I cannot help you with accounting. But the real P&L for anything is a straightforward calculation. You note any cash that is either received or paid during the P&L measurement period and you note the change in price (the present value of what remains to be paid or received in the future).

wpjwpjgg · April 8th, 2012, 6:59 pm

hi David,When we calculate the real PnL, do we take the borrowing cost into account?thanks