The Profit and Loss (PnL) is defined as the sum of realized and unrealized profit incurred between the given spot date and the given horizon date T specified in
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.
By default, the spot date equals the globally set trade date ( i.e. valuation date) that usually equals today's date.
But if the entry to the function exists, the latter date is then regarded as the spot date.
It is represented by the time 0 in the documentation context of
Precisely, PnL represents an amount regarded as being received at the horizon date T and defined as:
PnL = H + I - S/P, where
H is the tradable's price at T as described in
I is the actual income realized between the given spot date (denoted as 0) and T as described in
S is the tradable's price at 0 as described in
P is the discount factor for maturity T implied by the curve associated with the issuer supplied in as described in
One may also define an equivalent PnL amount that is assumed to be payable at 0 and be equal to the product PnL*P
Note the quantity subtracted from H is not S, but rather S/P
This is the correct treatment for a P&L defined in an "economic" rather than "nominal" sense and satisfies the economic criterium that the P&L owes to be exactly 0 when the market volatility vanishes.
The alternative definition involving S rather than S/P leads to a "nominal" P&L that fails to satisfy this criterium, but still reported under