risk bucketing p l ken greg absoutely fine assumption market conditions move relatively small taylor series fast convergence however could run troubles market big move order error proof bucketing use following method finite difference let know guys think implement transport book sensitivity risk parameters p l attribution risk bucket today premium premium based today curves last day premium premium based last day curves change due deliverycurveshift premium based today delivery price last day receipt price volatilities interest rate last time expiration etc last day premium today change due gammal receiptcurveshift premium based today receipt price last day everything else last day premium today change due gamma 2 vegal premium based today delivery volatility last day everything else last day premium vega 2 gas volatility rho interest rate eta correlation theta premium based today days expiration last day everything else drift last day premium 365 25 daily theta sprdopt function returns annualised theta gammal 0 5 last day gammal priceshiftl 2 gamma 2 0 5 last day gamma 2 priceshift 2 2 drift exp last day interest rate today last days 365 25 1 last day premium priceshiftl today delivery price last day delivery price priceshift 2 today receipt price last day receipt price gammal theoretical gammal e gamma spread option gamma 2 theoretical gamma 2 e gamma spread option calculation liquidation premium option expired day e intrinsic value