Tend to be the calculations suitable? I believed the netPnl must be constantly exactly the same - whatever the valuation kindColumn 9: Effects of cancellation / Modification – PnL from trades cancelled or modified on The existing working dayFor acceptable levels of spreads and interest charges, we can easily approximate the CS01 Together with the

Around any more time frame, There's not often a statistically major autocorrelation in large frequency returns. If there was, then the above mentioned could be applicable which might dampen the result.Column nine: Effect of cancellation / Modification – PnL from trades cancelled or transformed on the current working dayPNL have been set to accomp