$ Within the "function situation" you liquidate the portfolio at $t_1$ realising its PnL (let me simplify the notation a bit) The portfolio of bonds will likely have a specific DV01, that may be accustomed to compute the PnL. Can a person inform me if this is true or is https://jaredkquzc.yomoblog.com/40715065/the-definitive-guide-to-pnl