$ From the "function circumstance" you liquidate the portfolio at $t_1$ realising its PnL (let me simplify the notation a tiny bit) $begingroup$ I estimate each day pnl over a CDS posture utilizing the unfold transform moments the CS01. Nonetheless I want to estimate the PnL for a longer trade https://cristianfviyn.atualblog.com/40355327/the-greatest-guide-to-pnl