I can’t say for sure what is the relationship between the deal value generated by the pricing model – which is the thing you control with an EPM – and how PnL Details then splits this down into realised & unrealised value.
But both the things you were proposing – split the value by month for Futures, and add closeout PnL – would seem to me to be things that by definition you would have to override in the sim result and not the pricing model.
I am pretty sure the EPM itself cannot control what is realised or unrealised. The only thing you can control is whether the EPM output is
1. A single value for the deal
2. A single value per parameter leg
3. A single value per profile leg
And even that I am not sure of – or might have changed.
I have worked with EPMs for modified Option pricing models, where it is only the unrealised value that changes, and for Storage inventory valuation, which is also kind of by definition only ever unrealised. In neither case can I remember what happens with realised value.
I think I did once have a doc that explained how PnL Details derives the realised/unrealised value split. It might have been that Pricer (EPM) Value = total_value; Realised Value = something calculated from prior cash; unrealised value is the difference.
Or it might be the other way around.
I think Phil might have a better idea here.
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