$ Within the "function case" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a bit) $begingroup$ The pnl calculation is finished in 2 steps. By definition, you price your portfolio as of today, you price your portfolio as of yesterday, and the primary https://pnl75309.blogdanica.com/34076883/the-definitive-guide-to-pnl