$ Within the "function case" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation somewhat) $begingroup$ I estimate day-to-day pnl over a CDS placement using the spread alter occasions the CS01. On the other hand I wish to estimate the PnL for an extended https://www.youtube.com/watch?v=qMmsQ4kKgY4