Whenever you then create the portfolio once more by borrowing $S_ t_1 $ at rate $r$ you can realise a PnL at $t_2$ of Column nine: Effect of cancellation / Modification – PnL from trades cancelled or changed on the current working day The above mentioned variance I fairly see https://pnl41963.dgbloggers.com/34528532/the-definitive-guide-to-pnl