
# 
Column Name 
Description 

1 
Term 
The item being defined or described 

2 
Application 
The context for which the term may be used. Showing the context means we can have just one consolidated glossary instead of multiple glossaries for each area of study. This is convenient as some terms are in multiple fields of study. Possible values for ‘Application’ are:


3 
Description 
The definition or description of the term, i.e., the word. 
Term 
Application 
Description 
Cross Effects 
greeks, PnL Explained 
In the context of PnL Explained, cross effects are the changes in value of a portfolio of trades from changing two things (e.g., prices and volatilities) simultaneously versus the cumulative effects of changing each item separately. 
Impact of Cross
Gamma 
PnL Explained 
Changes in the value of a trade from changing multiple prices simultaneously versus the cumulative effects of changing each price separately. 
Impact of Cross
Price/Volatility 
PnL Explained 
Changes in the value of a trade from changing prices volatilities simultaneously versus the cumulative effects of changing each item separately. For example, if a trade is valued at $100 on one day and valued at $110 if you just change the prices (to the next day's prices) and valued at $105 if you just change the volatilities then the cumulative effect would be $10 from price changes and $5 from volatility changes = $15 in total. However, because of price/volatility cross effects you might find that the new value is $116.50 and not $15. The $10 is 'Impact of Prices' The $5 is 'Impact of Volatility' The extra $1.50 is the Impact of Cross Price/Volatility. 
Impact of Cross
Vega Gamma 
PnL Explained 
Changes in the value of a trade from changing multiple volatilities simultaneously versus the cumulative effects of changing each volatility separately. 
Impact of Delta 
PnL Explained 
PnL caused by first order effects of price changes (i.e., changes from one day to the next day). 
Impact of Gamma 
PnL Explained 
PnL caused by second order effects of price changes. 
Impact of Vega 
PnL Explained 
PnL caused by first order effects of volatility changes. 
Impact of Vega Gamma 
PnL Explained 
PnL caused by second order effects of volatility changes. 
MTD PnL 
PnL 
MTD stands for ‘MonthtoDate’. It is the PnL from the last day of the prior month to the current day. When PnL is used by itself it is referring to a day over day change. Therefore, on the first day of the month, MTD PnL always equals PnL. There is also LTD (LifetoDate) and YTD (YeartoDate) PnL. 
MTM 
MTM, PnL 
MTM is short for MarktoMarket and in the context of trading is means the value of something, i.e., a trade. This concept is also called ‘Present Value’. Click here for more information about MTM 
PnL 
PnL, PnL Explained 
Short for Profit and/or Loss, the change in the value of a portfolio of trades from one day to the next. Click here for more information about PnL 
PnL Attribution 
PnL Explained 
See PnL Explained 
PnL Explained
(P&L Explained) 
PnL Explained 
A report used by traders, especially derivatives (swaps and options) traders, that attributes or explains the daily fluctuation in the value of a portfolio of trades to the root causes of the changes. 
Present Value 
MTM 
See MTM 
Revaluation Method 
PnL Explained 
A method of calculating PnL Explained that uses formulas based on iteratively revaluing a deal using today's prices/volatilities/interest rates versus using prior day's values. 
Sensitivities
Method 
PnL Explained 
A method of calculating PnL Explained that uses formulas based on the greeks, sensitivities to price/volatility/time movements. 