Overview
PnL Scalloping is a method of PnL Attribution in Derivatives. It is based on the Path Based (Scalloping) Methodology.The follwoing code utilizes the Black Scholes Library to implement a Pnl Scalloping algorithm.
Attribution Methodologies
let bs = await import('/code/black-scholes/v1.0.0/black-scholes.mjs');
let att = await import('/code/attribution/v1.0.0/attribution.mjs');
let price = function(S, sigma, r, t){
let K = 100;
return bs.call(S,K,sigma,r,t);
}
let S0 = 100;
let S1 = 105;
let sigma0= 0.16;
let sigma1 = 0.17;
let r0 = 0.05;
let r1 = 0.048;
let t0 = 1;
let t1 = 0.95
let attribution = att.path(price, [S0,sigma0,r0,t0],[S1,sigma1,r1,t1]);