PnL due to CurvesSubtype of
This is the part of the PnL described in 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 that is produced in association with the key when a tradable is priced with the 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 and
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