THE FACT ABOUT PNL THAT NO ONE IS SUGGESTING

Which relies on the rebalancing frequency. But "anticipated P&L" refers to a median about all probable rate paths. So there is not necessarily a contradiction right here. $endgroup$To create the two techniques similar you need to imagine investing/borrowing $PnL_1$ at rate $r$ so that it stays inside the process right up until $t_2,.$ At that time