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Relationship between Base PnL Explained and Impact Of Delta sim results
This article looks the relationship between Base PnL Explained and Impact Of Amendment sim results and how an adjustment may need to be made.
This article looks the relationship between Base PnL Explained and Impact Of Amendment sim results and how an adjustment may need to be made.
When prices move the change in PnL can be explained by using the greeks and calculating Impact of Delta , Impact of Gamma , Impact of Cross Gamma.
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