Mark-to-Market P&L Calculation

Valuing Your Trading Book Every Day

FUNDAMENTALS


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Key Topics Covered

  • MTM Principles: Understanding fair value and market-based valuation.
  • Daily P&L Attribution: Breaking down P&L into curve moves, new trades, and settlements.
  • Curve Construction: Building reliable forward curves for valuation.
  • Practical Examples: Real-world scenarios showing how to calculate P&L step by step.