$begingroup$ I'm not sure That which you mean by "cross" consequences - the only real correlation is they the two are functions from the transform in fundamental ($Delta S$) The portfolio of bonds will likely have a certain DV01, that may be used to compute the PnL. Can someone convey https://juliusdyofx.thelateblog.com/34611086/a-simple-key-for-pnl-unveiled