PnL Explain
| Measure | Description |
|---|---|
| Correlation PnL Explain | Correlation-driven PL estimate expressed in the display currency |
| CrossGamma PnL Explain | Cross-Gamma-driven PL estimate expressed in the display currency |
| Delta PnL Explain | Delta-driven PL estimate expressed in the display currency |
| Dividend PnL Explain | Dividend-driven PL estimate expressed in the display currency |
| Gamma PnL Explain | Gamma-driven PL estimate expressed in the display currency |
| PnL Explain | Total greek-based PL estimate expressed in the display currency |
| Theta PnL Explain | Theta-driven PL estimate expressed in the display currency |
| Vanna PnL Explain | Vanna-driven PL estimate expressed in the display currency |
| Vega PnL Explain | Vega-driven PL estimate expressed in the display currency |
| Volga PnL Explain | Volga-driven PL estimate expressed in the display currency |
Methodology
Each PnL Explain measure is computed by FX-converting its native-currency counterpart using the day-1 FX rate: X PnL Explainday=X PnL Explain Nativeday⋅FXCcy,day-1 The date shift described in the PnL Explain calculations guide is applied after the FX conversion. The calculation rules for each greek are configured via the following properties:| Measure | Configuration property |
|---|---|
| Correlation PnL Explain | mr.sensi.rules.correlation.pnl-explain.* |
| CrossGamma PnL Explain | mr.sensi.rules.cross-gamma1.pnl-explain.* (1st axis), mr.sensi.rules.cross-gamma2.pnl-explain.* (2nd axis) |
| Delta PnL Explain | mr.sensi.rules.delta.pnl-explain.* |
| Gamma PnL Explain | mr.sensi.rules.gamma.pnl-explain.* |
| Theta PnL Explain | mr.sensi.rules.theta.pnl-explain.* |
| Vanna PnL Explain | mr.sensi.rules.vanna1.pnl-explain.* (1st axis), mr.sensi.rules.vanna2.pnl-explain.* (2nd axis) |
| Vega PnL Explain | mr.sensi.rules.vega.pnl-explain.* |
| Volga PnL Explain | mr.sensi.rules.volga.pnl-explain.* |
PnL Explain native CCY
NativeCurrency| Measure | Description | Required hierarchies |
|---|---|---|
| Correlation PnL Explain Native | Correlation-driven PL estimate expressed in units of original currency | Currencies |
| CrossGamma PnL Explain Native | Cross-Gamma-driven PL estimate expressed in units of original currency | Currencies |
| Delta PnL Explain Native | Delta-driven PL estimate expressed in units of original currency | Currencies |
| Dividend PnL Explain Native | Dividend-driven PL estimate expressed in units of original currency | Currencies |
| Gamma PnL Explain Native | Gamma-driven PL estimate expressed in units of original currency | Currencies |
| PnL Explain Native | Total greek-based PL estimate expressed in units of original currency | |
| Theta PnL Explain Native | Theta-driven PL estimate expressed in units of original currency | Currencies |
| Vanna PnL Explain Native | Vanna-driven PL estimate expressed in units of original currency | Currencies |
| Vega PnL Explain Native | Vega-driven PL estimate expressed in units of original currency | Currencies |
| Volga PnL Explain Native | Volga-driven PL estimate expressed in units of original currency | Currencies |