wake2000

i'm trading irs, so here are some insights:

take into account the tiering of customers. on CSA customers market makers show (only valid for liquid markets like USD, EUR) bid/offer spreads up to 10y with only 0.5- 1bp. so assuming equal flows on bid and offer its simple to compute p&l (in reality thats not the case as you have to hedge for example with futures, so be a bit more conservative). when it comes to non-csa counterparts margins are extremely different (from no margins at all for cross selling purposes to 20 or more bp for project customers where the desk is not in competition with other banks). so what you need is a pretty good idea of the (average) structure of a brokers customers. if you can break that down give every customer a weight, an average margin and an average bpv (depending on nominal and maturity) per deal. but be cautious with whatever you come up with because it can be only a rough estimate and everything is before other costs (all that mid- and backoffice things). what i said is only true for vanilla irs stuff, if your pupose is to include ccs and vega-products - good luck!