PnL NominalSubtype of
This is similar to the , with the only difference being that the S/P in the definition PnL = H + I - S/P is replaced by S
So the definition of PnL Nominal is:
PnL Nominal = H + I - S
Note, this definition is not "economically" correct, in the sense it leads to a non-zero result when the market volatility vanishes.
It is nevertheless important as it is generally used to determine margin requirements in daily P&L intervals.
Also note, the income part I is not treated in the same sense like S
Concretely, the added cash flow amounts are not evaluated at the time they are paid.
They are first compounded forward to the horizon time and then are summed over to form the income I, thus evaluated as of the horizon time.
In the context of daily P&L where the PnL Nominal is mostly used, this is of no concern since the involved cash flows occur exactly at the horizon time.