$ Inside the "function case" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation somewhat) $begingroup$ Assuming that you'll be Performing for just a financial institution, you can find 3 diverse P&Ls based on the operate/ utilization: At the conclusion of the working day, https://pnl40901.ampblogs.com/the-best-side-of-pnl-70774296