Unless you're running a complex position, you can wrap the 2nd derivatives into the calculation directly. Then it's as straight forward as it gets: delta/gamma contribution = average(Delta_sod + Delta_eod) * change_in_underlying vega/vega^2 contribution = average(Vega_sod + Vega_eod) * change_in_underlying theta = theta * change_in_time
I have used all of those and know they have simulated slides but I do not recall them having P&L attribution. If I understand the intent, each open position would have a P&L since inception and that would be attributed to the greeks. The P&L attribution calculation would have to be done daily and greeks netted out. Daily because theta is not time linear so this wouldn't work right: theta = theta * change_in_time Daily too because the rest of the greeks (delta, gamma, vega) do not change linearly with time. We are working on the risk component of our software over the coming months so I am interested to hear what is important to other traders. I have typically used the P&L slides like the above vendors have but not any off the shelf P&L attribution. When I backed market makers, we would time stamp all the trades and review daily the greeks at each trade and try to understand where we were making and losing money. I think there is an interest in the journaling of trades / P&L attribution to see what strategies are working for traders and understand why they are making money.