Carry Surprise
Subtype of Job RequestThis is the part of the PnL described in PnL due exclusively to the impact of the realized carry (i.e. income) until the given horizon date T being different than what had been expected at the given spot date (denoted as 0).
It is also part of the PnL Explain table PnLExplain Table that is produced in association with the key PnL Explain when a tradable is priced with the Advanced Pricing model input.
It is calculated as the difference:
(Income) - (Carry)
where the two terms are described at Income and Carry
Plugging I for the first term and C for the second, we get:
I - C
The remaining part of PnL is given by Forward Surprise