HOW MUCH YOU NEED TO EXPECT YOU'LL PAY FOR A GOOD PNL

Which depends on the rebalancing frequency. But "anticipated P&L" refers to a mean about all feasible rate paths. So There's not essentially a contradiction listed here. $endgroup$To generate the two strategies similar you must think about investing/borrowing $PnL_1$ at amount $r$ so that it stays during the method till $t_2,.$ At that time your$be