The PnL in between $t$ and $T$ is definitely the sum of all incrementals PnLs. Which is if we denote by $PnL_ uto v $ the PnL involving times $u$ and $v$, then $begingroup$ The pnl calculation is done in two measures. By definition, you value your portfolio as of https://iwanttobookmark.com/story19368976/the-5-second-trick-for-pnl