Description Right border of the PnL sub-vector (index)

The “PnLEnd” context value, together with the PnLStart context value can be used to filter the scenarios and use a sub-vector instead of the whole vector when computing the tail measures measures (VaR, ES, VaE).

In the following screenshot, only scenarios with indexes from 21 to 25 will contribute to the Value-at-Risk measures.

Using PnLEnd and PnLStart context values