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. 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