$ In the "work scenario" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a little) $begingroup$ I estimate everyday pnl on the CDS place utilizing the distribute modify occasions the CS01. Nonetheless I would like to estimate the PnL for an extended trade https://pnl41963.dgbloggers.com/34528532/the-definitive-guide-to-pnl