NOT KNOWN FACTUAL STATEMENTS ABOUT PNL

Which is dependent upon the rebalancing frequency. But "predicted P&L" refers to a mean in excess of all probable rate paths. So there is not necessarily a contradiction right here. $endgroup$To create The 2 approaches similar you must imagine investing/borrowing $PnL_1$ at fee $r$ to make sure that it stays in the system until $t_2,.$ At the momen