“…Especially, relevant among the bonds within the financial industry is the treasury bills since the largest position in the banks is usually held in this kind of instrument. Therefore, it is important to develop models with credit contribution that can be added to the daily P&L calculation (Arvanitis, Gregory, & Laurent, 1999;Horta, 2010;Malz, 2022;Gregory, 2012;Cooper & Mello, 1991;Bisetti, Li, & Yu, 2021). An industrial model for the P&L needs for simple implementation and high-speed performance, the P&L is calculated daily, so that, there are strict time limits to finish the calculation processes, particularly in a tier-one bank where the number of instruments and positions is extremely large.…”