Suggestions for PnL Explain columns #302
Description
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