LITTLE KNOWN FACTS ABOUT PNL.

And this relies on the rebalancing frequency. But "expected P&L" refers to a median about all probable rate paths. So there is not necessarily a contradiction right here. $endgroup$Kurt G.Kurt G. 2,38944 silver badges1717 bronze badges $endgroup$ 3 $begingroup$ Many thanks lots for finding the time to reply. As a result of your very last equality I