PnL attribution software

Discussion in 'Options' started by TskTsk, Mar 2, 2012.

  1. TskTsk


    I tried doing PnL attribution in Excel but it's harder than I thought. Basically I'm looking for some way to attribute my PnL to the various greeks in realtime. Also take into account that if my portfolio changes around by closing / adding positions, the software must correctly understand realized vs unrealized attributed profits...

    If no such software exists, anyone have a suggestion how to do this correctly in Excel? The main problem with Excel isnt the attribution itself, rather it is taking into account portfolio changes, realized vs unrealized etc.
  2. newwurldmn


    I tihnk it's easiest to do:

    Realized, Delta gain, Gamma gain, Vega gain, Theta gain....

    Rather than trying to attribute the realized pnl over those factors.

    Delta and Gamma is really a timestamp issue anyway.
  3. TskTsk


    after some thought i agree, looking at realized is a better solution than what im currently doing. thanks for the tip