$ In the "operate case" you liquidate the portfolio at $t_1$ realising its PnL (let me simplify the notation somewhat) $begingroup$ I estimate day-to-day pnl on the CDS placement using the spread alter instances the CS01. Even so I would want to estimate the PnL for an extended trade which https://www.youtube.com/watch?v=qMmsQ4kKgY4