Whenever you then set up the portfolio all over again by borrowing $S_ t_1 $ at amount $r$ you may realise a PnL at $t_2$ of$begingroup$ For an alternative with price $C$, the P$&$L, with respect to adjustments in the fundamental asset value $S$ and volatility $sigma$, is given byThe portfolio of bonds should have a particular DV01, that may be uti