Cross sensitivity

For Vanna, the cross sensitivities are handled by applying the shift formula of both risk factors:

$$ \text{PnL Explain} = f_{\text{marketData2}}(f_{\text{marketData1}}(sens,q_{1},q_{2}),p_{1},p_{2}) $$

Where $q_{n}$ and $p_{n}$ are the market data quotes for a given day $n$ for risk factors $q$ and $p$ respectively.

Currently, cross-bucket sensitivity is not supported.