$ In the "get the job done scenario" you liquidate the portfolio at $t_1$ realising its PnL (let me simplify the notation a little) $begingroup$ I estimate day-to-day pnl on the CDS situation using the spread improve situations the CS01. However I would like to estimate the PnL for an https://www.youtube.com/watch?v=qMmsQ4kKgY4