PnL due to Resets
Subtype of Job RequestThis is the part of the PnL described in PnL due exclusively to the impact of the actual resets between the given spot date (denoted as 0) and the given horizon date T being different than what had been expected at 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 historical fixings in the supplied horizon market, while the fixings after T equaled the forward rates implied by today's curves, rather than the curves in the supplied horizon market.
It is calculated as the sum:
(Carry Surprise) + (Fwd Surp due to Resets)
where the two terms are described at Carry Surprise and Fwd Surp due to Resets
Plugging I - C for the first term and Fᵣ - F for the second, we get:
I - C + Fᵣ - F
The remaining part of PnL is given by PnL due to Curves