Carry SurpriseSubtype of
This is the part of the PnL described in 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 that is produced in association with the key when a tradable is priced with the model input.
It is calculated as the difference:
(Income) - (Carry)
where the two terms are described at and
Plugging I for the first term and C for the second, we get:
I - C
The remaining part of PnL is given by