PnL due to Curves

Subtype of Job Request

This is the part of the PnL described in PnL due exclusively to the impact of the actual curves observed at 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.

Specifically, it equals the hypothetical PnL that would have been produced under the assumption that all floating rate fixings before T equaled the forward rates implied by today's curves, while the fixings after T equaled the forward rates implied by the curves in the supplied horizon market.
It is calculated as the difference:
(PnL) - (PnL due to Resets)
where the two terms are described at PnL and PnL due to Resets

Plugging H + I - S/P for the first term and I - C + Fᵣ - F for the second, we get:
H - S/P + C - Fᵣ + F

The remaining part of PnL is given by PnL due to Resets