This is a slightly tough one because they don’t have an example like this in the bluebox orin the text where trades are done on two days .
I think of it as tying everything back towards the benchmark price:
Delay = Days_Close - Benchmark
Realized P&L = Trade_Price - Prev_Day_Close.
If you add these two components ( with a day lag between Realized P&L and Delay , the Prev_Day_Close in first is same as Days_Close in the second ).
Then you get the sum of the two terms ( equivalent to implicit costs minus missed trade )
= Trade_Price - Benchmark , which intuitively is the total P&L for these two terms . The only way you can make the math add up is if you treat the Prev_Day_Close in first same as Days_Close in second … And You must have two values for each of the two equations above for two trading dates.