Migration notes 4.1.0
This page explains the changes required to migrate to the stated version of Atoti Market Risk.
Migrate to 4.1.0
Upgrading from version 4.0.0 - see Market Risk Accelerator 4.1.0 Release Notes.
- The Accelerator uses ActivePivot 5.10.12 and ActiveUI 5.0.18. For new features and fixes included in these releases, please see the ActiveUI documentation and ActiveUI Migration Notes, and the release notes for ActivePivot.
Headline announcement
- Implementation of additional Taylor measures : Many of the VaR and similar measures that are available in the VaR-ES cube are now available in the Sensitivities Cube. These measures are derived from PnL vectors created with a Taylor expansion of sensitivities and market data. They supplement the existing Taylor VaR measure already available in the Sensitivity module. A full list of the new measures can be found below.
- Removal of IGreekDescription interface : Removed
IGreekDescriptioninterface and replaced it with source- and hierarchy-specific configuration.
IGreekDescription removal
The IGreekDescription interface has been replaced by the ISensiSourceParameters interface. The configuration class using the interface has been split into a set of parameter @Component classes for the source configuration and a configuration class for the hierarchy configuration. All beans can be replaced by using @Qualifier beans.
For implementation details, please refer to the following sections:
Input file formats
No changes.
Configuration files
No changes.
Datastores
No changes.
Cube schema
No changes.
Measures
Added
| Cube | Measure | Details |
|---|---|---|
| Sensitivity | Cash Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor ES 99 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor ES 99 DtD | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor ES 99 Previous | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor ES 99 | Expected Shortfall with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor ES 99 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor ES 99 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor ES LEstimated Top | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor ES 99 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor ES DtD % Difference | DtD difference in % for Expected Shortfall with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor ES DtD | DtD difference for Expected Shortfall with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor ES Previous | The Expected Shortfall of the previous day with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor ES | Expected Shortfall with contextual confidence level for the Cash sensitivity |
| Sensitivity | Correlation Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES 99 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES 99 DtD | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES 99 Previous | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES 99 | Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES 99 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES 99 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES LEstimated Top | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES 99 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES DtD % Difference | DtD difference in % for Expected Shortfall with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES DtD | DtD difference for Expected Shortfall with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES Previous | The Expected Shortfall of the previous day with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ES | Expected Shortfall with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Crossgamma Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES 99 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES 99 DtD | DtD difference for Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES 99 Previous | The Expected Shortfall of the previous day with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES 99 | Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES 99 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES 99 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES LEstimated Top | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES 99 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES DtD % Difference | DtD difference in % for Expected Shortfall with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES DtD | DtD difference for Expected Shortfall with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES Previous | The Expected Shortfall of the previous day with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ES | Expected Shortfall with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Delta Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor ES 99 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor ES 99 DtD | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor ES 99 Previous | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor ES 99 | Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor ES 99 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor ES 99 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor ES LEstimated Top | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor ES 99 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor ES DtD % Difference | DtD difference in % for Expected Shortfall with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor ES DtD | DtD difference for Expected Shortfall with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor ES Previous | The Expected Shortfall of the previous day with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor ES | Expected Shortfall with contextual confidence level for the Delta sensitivity |
| Sensitivity | Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% |
| Sensitivity | Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% |
| Sensitivity | Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% |
| Sensitivity | Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% |
| Sensitivity | Taylor ES 99 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 99% |
| Sensitivity | Taylor ES 99 DtD | DtD difference for Expected Shortfall with fixed confidence level of 99% |
| Sensitivity | Taylor ES 99 Previous | The Expected Shortfall of the previous day with fixed confidence level of 99% |
| Sensitivity | Taylor ES 99 | Expected Shortfall with fixed confidence level of 99% |
| Sensitivity | Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% |
| Sensitivity | Taylor ES 99 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% |
| Sensitivity | Taylor ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with contextual confidence level |
| Sensitivity | Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% |
| Sensitivity | Taylor ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% |
| Sensitivity | Taylor ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level |
| Sensitivity | Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% |
| Sensitivity | Taylor ES 99 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% |
| Sensitivity | Taylor ES LEstimated Top | Contribution of the upper Top of Expected Shortfall with contextual confidence level |
| Sensitivity | Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% |
| Sensitivity | Taylor ES 99 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% |
| Sensitivity | Taylor ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with contextual confidence level |
| Sensitivity | Taylor ES DtD % Difference | DtD difference in % for Expected Shortfall with contextual confidence level |
| Sensitivity | Taylor ES DtD | DtD difference for Expected Shortfall with contextual confidence level |
| Sensitivity | Taylor ES Previous | The Expected Shortfall of the previous day with contextual confidence level |
| Sensitivity | Taylor ES | Expected Shortfall with contextual confidence level |
| Sensitivity | Gamma Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES 99 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES 99 DtD | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES 99 Previous | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES 99 | Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES 99 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES 99 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES LEstimated Top | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES 99 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES DtD % Difference | DtD difference in % for Expected Shortfall with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES DtD | DtD difference for Expected Shortfall with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES Previous | The Expected Shortfall of the previous day with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ES | Expected Shortfall with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Vanna Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES 99 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES 99 DtD | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES 99 Previous | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES 99 | Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES 99 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES 99 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES LEstimated Top | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES 99 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES DtD % Difference | DtD difference in % for Expected Shortfall with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES DtD | DtD difference for Expected Shortfall with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES Previous | The Expected Shortfall of the previous day with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ES | Expected Shortfall with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vega Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor ES 99 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor ES 99 DtD | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor ES 99 Previous | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor ES 99 | Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor ES 99 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor ES 99 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor ES LEstimated Top | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor ES 99 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor ES DtD % Difference | DtD difference in % for Expected Shortfall with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor ES DtD | DtD difference for Expected Shortfall with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor ES Previous | The Expected Shortfall of the previous day with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor ES | Expected Shortfall with contextual confidence level for the Vega sensitivity |
| Sensitivity | Cash Taylor ETG 97.5 DtD % Difference | DtD difference in % for Expected Tail Gain with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG 97.5 DtD | DtD difference for Expected Tail Gain with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG 97.5 Previous | The Expected Tail Gain of the previous day with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG 97.5 | Expected Tail Gain with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG 99 DtD % Difference | DtD difference in % for Expected Tail Gain with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG 99 DtD | DtD difference for Expected Tail Gain with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG 99 Previous | The Expected Tail Gain of the previous day with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG 99 | Expected Tail Gain with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG 99 LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG 97.5 LEstimated Top | Contribution of the upper Top of Expected Tail Gain with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG 99 LEstimated Top | Contribution of the upper Top of Expected Tail Gain with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG LEstimated Top | Contribution of the upper Top of Expected Tail Gain with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG 99 LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG DtD % Difference | DtD difference in % for Expected Tail Gain with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG DtD | DtD difference for Expected Tail Gain with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG Previous | The Expected Tail Gain of the previous day with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor ETG | Expected Tail Gain with contextual confidence level for the Cash sensitivity |
| Sensitivity | Correlation Taylor ETG 97.5 DtD % Difference | DtD difference in % for Expected Tail Gain with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG 97.5 DtD | DtD difference for Expected Tail Gain with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG 97.5 Previous | The Expected Tail Gain of the previous day with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG 97.5 | Expected Tail Gain with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG 99 DtD % Difference | DtD difference in % for Expected Tail Gain with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG 99 DtD | DtD difference for Expected Tail Gain with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG 99 Previous | The Expected Tail Gain of the previous day with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG 99 | Expected Tail Gain with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG 99 LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG 97.5 LEstimated Top | Contribution of the upper Top of Expected Tail Gain with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG 99 LEstimated Top | Contribution of the upper Top of Expected Tail Gain with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG LEstimated Top | Contribution of the upper Top of Expected Tail Gain with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG 99 LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG DtD % Difference | DtD difference in % for Expected Tail Gain with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG DtD | DtD difference for Expected Tail Gain with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG Previous | The Expected Tail Gain of the previous day with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor ETG | Expected Tail Gain with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Crossgamma Taylor ETG 97.5 DtD % Difference | DtD difference in % for Expected Tail Gain with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG 97.5 DtD | DtD difference for Expected Tail Gain with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG 97.5 Previous | The Expected Tail Gain of the previous day with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG 97.5 | Expected Tail Gain with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG 99 DtD % Difference | DtD difference in % for Expected Tail Gain with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG 99 DtD | DtD difference for Expected Tail Gain with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG 99 Previous | The Expected Tail Gain of the previous day with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG 99 | Expected Tail Gain with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG 99 LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG 97.5 LEstimated Top | Contribution of the upper Top of Expected Tail Gain with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG 99 LEstimated Top | Contribution of the upper Top of Expected Tail Gain with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG LEstimated Top | Contribution of the upper Top of Expected Tail Gain with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG 99 LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG DtD % Difference | DtD difference in % for Expected Tail Gain with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG DtD | DtD difference for Expected Tail Gain with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG Previous | The Expected Tail Gain of the previous day with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor ETG | Expected Tail Gain with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Delta Taylor ETG 97.5 DtD % Difference | DtD difference in % for Expected Tail Gain with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG 97.5 DtD | DtD difference for Expected Tail Gain with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG 97.5 Previous | The Expected Tail Gain of the previous day with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG 97.5 | Expected Tail Gain with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG 99 DtD % Difference | DtD difference in % for Expected Tail Gain with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG 99 DtD | DtD difference for Expected Tail Gain with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG 99 Previous | The Expected Tail Gain of the previous day with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG 99 | Expected Tail Gain with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG 99 LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG 97.5 LEstimated Top | Contribution of the upper Top of Expected Tail Gain with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG 99 LEstimated Top | Contribution of the upper Top of Expected Tail Gain with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG LEstimated Top | Contribution of the upper Top of Expected Tail Gain with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG 99 LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG DtD % Difference | DtD difference in % for Expected Tail Gain with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG DtD | DtD difference for Expected Tail Gain with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG Previous | The Expected Tail Gain of the previous day with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor ETG | Expected Tail Gain with contextual confidence level for the Delta sensitivity |
| Sensitivity | Taylor ETG 97.5 DtD % Difference | DtD difference in % for Expected Tail Gain with fixed confidence level of 97.5% |
| Sensitivity | Taylor ETG 97.5 DtD | DtD difference for Expected Tail Gain with fixed confidence level of 97.5% |
| Sensitivity | Taylor ETG 97.5 Previous | The Expected Tail Gain of the previous day with fixed confidence level of 97.5% |
| Sensitivity | Taylor ETG 97.5 | Expected Tail Gain with fixed confidence level of 97.5% |
| Sensitivity | Taylor ETG 99 DtD % Difference | DtD difference in % for Expected Tail Gain with fixed confidence level of 99% |
| Sensitivity | Taylor ETG 99 DtD | DtD difference for Expected Tail Gain with fixed confidence level of 99% |
| Sensitivity | Taylor ETG 99 Previous | The Expected Tail Gain of the previous day with fixed confidence level of 99% |
| Sensitivity | Taylor ETG 99 | Expected Tail Gain with fixed confidence level of 99% |
| Sensitivity | Taylor ETG 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with fixed confidence level of 97.5% |
| Sensitivity | Taylor ETG 99 LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with fixed confidence level of 99% |
| Sensitivity | Taylor ETG LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with contextual confidence level |
| Sensitivity | Taylor ETG 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with fixed confidence level of 97.5% |
| Sensitivity | Taylor ETG 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with fixed confidence level of 99% |
| Sensitivity | Taylor ETG LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with contextual confidence level |
| Sensitivity | Taylor ETG 97.5 LEstimated Top | Contribution of the upper Top of Expected Tail Gain with fixed confidence level of 97.5% |
| Sensitivity | Taylor ETG 99 LEstimated Top | Contribution of the upper Top of Expected Tail Gain with fixed confidence level of 99% |
| Sensitivity | Taylor ETG LEstimated Top | Contribution of the upper Top of Expected Tail Gain with contextual confidence level |
| Sensitivity | Taylor ETG 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 97.5% |
| Sensitivity | Taylor ETG 99 LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 99% |
| Sensitivity | Taylor ETG LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with contextual confidence level |
| Sensitivity | Taylor ETG DtD % Difference | DtD difference in % for Expected Tail Gain with contextual confidence level |
| Sensitivity | Taylor ETG DtD | DtD difference for Expected Tail Gain with contextual confidence level |
| Sensitivity | Taylor ETG Previous | The Expected Tail Gain of the previous day with contextual confidence level |
| Sensitivity | Taylor ETG | Expected Tail Gain with contextual confidence level |
| Sensitivity | Gamma Taylor ETG 97.5 DtD % Difference | DtD difference in % for Expected Tail Gain with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG 97.5 DtD | DtD difference for Expected Tail Gain with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG 97.5 Previous | The Expected Tail Gain of the previous day with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG 97.5 | Expected Tail Gain with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG 99 DtD % Difference | DtD difference in % for Expected Tail Gain with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG 99 DtD | DtD difference for Expected Tail Gain with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG 99 Previous | The Expected Tail Gain of the previous day with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG 99 | Expected Tail Gain with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG 99 LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG 97.5 LEstimated Top | Contribution of the upper Top of Expected Tail Gain with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG 99 LEstimated Top | Contribution of the upper Top of Expected Tail Gain with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG LEstimated Top | Contribution of the upper Top of Expected Tail Gain with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG 99 LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG DtD % Difference | DtD difference in % for Expected Tail Gain with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG DtD | DtD difference for Expected Tail Gain with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG Previous | The Expected Tail Gain of the previous day with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor ETG | Expected Tail Gain with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Vanna Taylor ETG 97.5 DtD % Difference | DtD difference in % for Expected Tail Gain with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG 97.5 DtD | DtD difference for Expected Tail Gain with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG 97.5 Previous | The Expected Tail Gain of the previous day with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG 97.5 | Expected Tail Gain with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG 99 DtD % Difference | DtD difference in % for Expected Tail Gain with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG 99 DtD | DtD difference for Expected Tail Gain with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG 99 Previous | The Expected Tail Gain of the previous day with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG 99 | Expected Tail Gain with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG 99 LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG 97.5 LEstimated Top | Contribution of the upper Top of Expected Tail Gain with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG 99 LEstimated Top | Contribution of the upper Top of Expected Tail Gain with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG LEstimated Top | Contribution of the upper Top of Expected Tail Gain with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG 99 LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG DtD % Difference | DtD difference in % for Expected Tail Gain with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG DtD | DtD difference for Expected Tail Gain with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG Previous | The Expected Tail Gain of the previous day with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor ETG | Expected Tail Gain with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vega Taylor ETG 97.5 DtD % Difference | DtD difference in % for Expected Tail Gain with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG 97.5 DtD | DtD difference for Expected Tail Gain with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG 97.5 Previous | The Expected Tail Gain of the previous day with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG 97.5 | Expected Tail Gain with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG 99 DtD % Difference | DtD difference in % for Expected Tail Gain with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG 99 DtD | DtD difference for Expected Tail Gain with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG 99 Previous | The Expected Tail Gain of the previous day with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG 99 | Expected Tail Gain with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG 99 LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG LEstimated Booking | Contribution of the upper Booking of Expected Tail Gain with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG LEstimated Reference Level | Contribution of the upper Reference Level of Expected Tail Gain with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG 97.5 LEstimated Top | Contribution of the upper Top of Expected Tail Gain with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG 99 LEstimated Top | Contribution of the upper Top of Expected Tail Gain with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG LEstimated Top | Contribution of the upper Top of Expected Tail Gain with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG 99 LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG LEstimated Trades | Contribution of the upper Trades of Expected Tail Gain with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG DtD % Difference | DtD difference in % for Expected Tail Gain with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG DtD | DtD difference for Expected Tail Gain with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG Previous | The Expected Tail Gain of the previous day with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor ETG | Expected Tail Gain with contextual confidence level for the Vega sensitivity |
| Sensitivity | Cash Taylor Tail VaE | Best case PnL for the Cash sensitivity |
| Sensitivity | Cash Taylor Tail VaR | Worst case PnL for the Cash sensitivity |
| Sensitivity | Correlation Taylor Tail VaE | Best case PnL for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Tail VaR | Worst case PnL for the Correlation sensitivity |
| Sensitivity | Crossgamma Taylor Tail VaE | Best case PnL for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Tail VaR | Worst case PnL for the CrossGamma sensitivity |
| Sensitivity | Delta Taylor Tail VaE | Best case PnL for the Delta sensitivity |
| Sensitivity | Delta Taylor Tail VaR | Worst case PnL for the Delta sensitivity |
| Sensitivity | Gamma Taylor Tail VaE | Best case PnL for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Tail VaR | Worst case PnL for the Gamma sensitivity |
| Sensitivity | Taylor Tail VaE | Best case PnL |
| Sensitivity | Taylor Tail VaR | Worst case PnL |
| Sensitivity | Vanna Taylor Tail VaE | Best case PnL for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Tail VaR | Worst case PnL for the Vanna sensitivity |
| Sensitivity | Vega Taylor Tail VaE | Best case PnL for the Vega sensitivity |
| Sensitivity | Vega Taylor Tail VaR | Worst case PnL for the Vega sensitivity |
| Sensitivity | Cash Taylor VaE 97.5 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE 97.5 DtD | DtD difference for Value at Earnings with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE 97.5 Previous | The Value at Earnings of the previous day with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE 97.5 | Value at Earnings with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE 99 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE 99 DtD | DtD difference for Value at Earnings with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE 99 Previous | The Value at Earnings of the previous day with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE 99 | Value at Earnings with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE 99 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE LEstimated Booking | Contribution of the upper Booking of Value at Earnings with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE 97.5 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE 99 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE LEstimated Top | Contribution of the upper Top of Value at Earnings with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE 99 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE LEstimated Trades | Contribution of the upper Trades of Value at Earnings with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE DtD % Difference | DtD difference in % for Value at Earnings with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE DtD | DtD difference for Value at Earnings with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE Previous | The Value at Earnings of the previous day with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor VaE | Value at Earnings with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE 97.5 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE 97.5 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE 97.5 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE 97.5 | Weighted Value at Earnings with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE 99 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE 99 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE 99 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE 99 | Weighted Value at Earnings with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE DtD % Difference | DtD difference in % for Weighted Value at Earnings with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE DtD | DtD difference for Weighted Value at Earnings with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE Previous | The Weighted Value at Earnings of the previous day with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor WVaE | Weighted Value at Earnings with contextual confidence level for the Cash sensitivity |
| Sensitivity | Correlation Taylor VaE 97.5 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE 97.5 DtD | DtD difference for Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE 97.5 Previous | The Value at Earnings of the previous day with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE 97.5 | Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE 99 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE 99 DtD | DtD difference for Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE 99 Previous | The Value at Earnings of the previous day with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE 99 | Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE 99 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE LEstimated Booking | Contribution of the upper Booking of Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE 97.5 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE 99 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE LEstimated Top | Contribution of the upper Top of Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE 99 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE LEstimated Trades | Contribution of the upper Trades of Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE DtD % Difference | DtD difference in % for Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE DtD | DtD difference for Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE Previous | The Value at Earnings of the previous day with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaE | Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE 97.5 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE 97.5 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE 97.5 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE 97.5 | Weighted Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE 99 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE 99 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE 99 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE 99 | Weighted Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE DtD % Difference | DtD difference in % for Weighted Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE DtD | DtD difference for Weighted Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE Previous | The Weighted Value at Earnings of the previous day with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor WVaE | Weighted Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Crossgamma Taylor VaE 97.5 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE 97.5 DtD | DtD difference for Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE 97.5 Previous | The Value at Earnings of the previous day with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE 97.5 | Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE 99 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE 99 DtD | DtD difference for Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE 99 Previous | The Value at Earnings of the previous day with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE 99 | Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE 99 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE LEstimated Booking | Contribution of the upper Booking of Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE 97.5 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE 99 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE LEstimated Top | Contribution of the upper Top of Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE 99 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE LEstimated Trades | Contribution of the upper Trades of Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE DtD % Difference | DtD difference in % for Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE DtD | DtD difference for Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE Previous | The Value at Earnings of the previous day with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaE | Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE 97.5 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE 97.5 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE 97.5 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE 97.5 | Weighted Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE 99 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE 99 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE 99 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE 99 | Weighted Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE DtD % Difference | DtD difference in % for Weighted Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE DtD | DtD difference for Weighted Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE Previous | The Weighted Value at Earnings of the previous day with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor WVaE | Weighted Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Delta Taylor VaE 97.5 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE 97.5 DtD | DtD difference for Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE 97.5 Previous | The Value at Earnings of the previous day with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE 97.5 | Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE 99 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE 99 DtD | DtD difference for Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE 99 Previous | The Value at Earnings of the previous day with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE 99 | Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE 99 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE LEstimated Booking | Contribution of the upper Booking of Value at Earnings with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE 97.5 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE 99 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE LEstimated Top | Contribution of the upper Top of Value at Earnings with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE 99 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE LEstimated Trades | Contribution of the upper Trades of Value at Earnings with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE DtD % Difference | DtD difference in % for Value at Earnings with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE DtD | DtD difference for Value at Earnings with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE Previous | The Value at Earnings of the previous day with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor VaE | Value at Earnings with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE 97.5 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE 97.5 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE 97.5 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE 97.5 | Weighted Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE 99 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE 99 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE 99 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE 99 | Weighted Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE DtD % Difference | DtD difference in % for Weighted Value at Earnings with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE DtD | DtD difference for Weighted Value at Earnings with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE Previous | The Weighted Value at Earnings of the previous day with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor WVaE | Weighted Value at Earnings with contextual confidence level for the Delta sensitivity |
| Sensitivity | Gamma Taylor VaE 97.5 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE 97.5 DtD | DtD difference for Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE 97.5 Previous | The Value at Earnings of the previous day with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE 97.5 | Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE 99 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE 99 DtD | DtD difference for Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE 99 Previous | The Value at Earnings of the previous day with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE 99 | Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE 99 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE LEstimated Booking | Contribution of the upper Booking of Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE 97.5 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE 99 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE LEstimated Top | Contribution of the upper Top of Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE 99 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE LEstimated Trades | Contribution of the upper Trades of Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE DtD % Difference | DtD difference in % for Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE DtD | DtD difference for Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE Previous | The Value at Earnings of the previous day with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaE | Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE 97.5 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE 97.5 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE 97.5 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE 97.5 | Weighted Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE 99 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE 99 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE 99 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE 99 | Weighted Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE DtD % Difference | DtD difference in % for Weighted Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE DtD | DtD difference for Weighted Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE Previous | The Weighted Value at Earnings of the previous day with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor WVaE | Weighted Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Taylor VaE 97.5 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 97.5% |
| Sensitivity | Taylor VaE 97.5 DtD | DtD difference for Value at Earnings with fixed confidence level of 97.5% |
| Sensitivity | Taylor VaE 97.5 Previous | The Value at Earnings of the previous day with fixed confidence level of 97.5% |
| Sensitivity | Taylor VaE 97.5 | Value at Earnings with fixed confidence level of 97.5% |
| Sensitivity | Taylor VaE 99 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 99% |
| Sensitivity | Taylor VaE 99 DtD | DtD difference for Value at Earnings with fixed confidence level of 99% |
| Sensitivity | Taylor VaE 99 Previous | The Value at Earnings of the previous day with fixed confidence level of 99% |
| Sensitivity | Taylor VaE 99 | Value at Earnings with fixed confidence level of 99% |
| Sensitivity | Taylor VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 97.5% |
| Sensitivity | Taylor VaE 99 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 99% |
| Sensitivity | Taylor VaE LEstimated Booking | Contribution of the upper Booking of Value at Earnings with contextual confidence level |
| Sensitivity | Taylor VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 97.5% |
| Sensitivity | Taylor VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 99% |
| Sensitivity | Taylor VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with contextual confidence level |
| Sensitivity | Taylor VaE 97.5 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 97.5% |
| Sensitivity | Taylor VaE 99 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 99% |
| Sensitivity | Taylor VaE LEstimated Top | Contribution of the upper Top of Value at Earnings with contextual confidence level |
| Sensitivity | Taylor VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% |
| Sensitivity | Taylor VaE 99 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 99% |
| Sensitivity | Taylor VaE LEstimated Trades | Contribution of the upper Trades of Value at Earnings with contextual confidence level |
| Sensitivity | Taylor VaE DtD % Difference | DtD difference in % for Value at Earnings with contextual confidence level |
| Sensitivity | Taylor VaE DtD | DtD difference for Value at Earnings with contextual confidence level |
| Sensitivity | Taylor VaE Previous | The Value at Earnings of the previous day with contextual confidence level |
| Sensitivity | Taylor VaE | Value at Earnings with contextual confidence level |
| Sensitivity | Vanna Taylor VaE 97.5 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE 97.5 DtD | DtD difference for Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE 97.5 Previous | The Value at Earnings of the previous day with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE 97.5 | Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE 99 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE 99 DtD | DtD difference for Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE 99 Previous | The Value at Earnings of the previous day with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE 99 | Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE 99 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE LEstimated Booking | Contribution of the upper Booking of Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE 97.5 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE 99 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE LEstimated Top | Contribution of the upper Top of Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE 99 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE LEstimated Trades | Contribution of the upper Trades of Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE DtD % Difference | DtD difference in % for Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE DtD | DtD difference for Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE Previous | The Value at Earnings of the previous day with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaE | Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE 97.5 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE 97.5 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE 97.5 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE 97.5 | Weighted Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE 99 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE 99 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE 99 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE 99 | Weighted Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE DtD % Difference | DtD difference in % for Weighted Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE DtD | DtD difference for Weighted Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE Previous | The Weighted Value at Earnings of the previous day with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor WVaE | Weighted Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vega Taylor VaE 97.5 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE 97.5 DtD | DtD difference for Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE 97.5 Previous | The Value at Earnings of the previous day with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE 97.5 | Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE 99 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE 99 DtD | DtD difference for Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE 99 Previous | The Value at Earnings of the previous day with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE 99 | Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE 99 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE LEstimated Booking | Contribution of the upper Booking of Value at Earnings with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE 97.5 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE 99 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE LEstimated Top | Contribution of the upper Top of Value at Earnings with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE 99 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE LEstimated Trades | Contribution of the upper Trades of Value at Earnings with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE DtD % Difference | DtD difference in % for Value at Earnings with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE DtD | DtD difference for Value at Earnings with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE Previous | The Value at Earnings of the previous day with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor VaE | Value at Earnings with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE 97.5 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE 97.5 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE 97.5 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE 97.5 | Weighted Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE 99 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE 99 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE 99 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE 99 | Weighted Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE DtD % Difference | DtD difference in % for Weighted Value at Earnings with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE DtD | DtD difference for Weighted Value at Earnings with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE Previous | The Weighted Value at Earnings of the previous day with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor WVaE | Weighted Value at Earnings with contextual confidence level for the Vega sensitivity |
| Sensitivity | Taylor WVaE 97.5 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 97.5% |
| Sensitivity | Taylor WVaE 97.5 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 97.5% |
| Sensitivity | Taylor WVaE 97.5 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 97.5% |
| Sensitivity | Taylor WVaE 97.5 | Weighted Value at Earnings with fixed confidence level of 97.5% |
| Sensitivity | Taylor WVaE 99 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 99% |
| Sensitivity | Taylor WVaE 99 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 99% |
| Sensitivity | Taylor WVaE 99 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 99% |
| Sensitivity | Taylor WVaE 99 | Weighted Value at Earnings with fixed confidence level of 99% |
| Sensitivity | Taylor WVaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5% |
| Sensitivity | Taylor WVaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 99% |
| Sensitivity | Taylor WVaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with contextual confidence level |
| Sensitivity | Taylor WVaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 97.5% |
| Sensitivity | Taylor WVaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 99% |
| Sensitivity | Taylor WVaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with contextual confidence level |
| Sensitivity | Taylor WVaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 97.5% |
| Sensitivity | Taylor WVaE 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99% |
| Sensitivity | Taylor WVaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with contextual confidence level |
| Sensitivity | Taylor WVaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 97.5% |
| Sensitivity | Taylor WVaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 99% |
| Sensitivity | Taylor WVaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with contextual confidence level |
| Sensitivity | Taylor WVaE DtD % Difference | DtD difference in % for Weighted Value at Earnings with contextual confidence level |
| Sensitivity | Taylor WVaE DtD | DtD difference for Weighted Value at Earnings with contextual confidence level |
| Sensitivity | Taylor WVaE Previous | The Weighted Value at Earnings of the previous day with contextual confidence level |
| Sensitivity | Taylor WVaE | Weighted Value at Earnings with contextual confidence level |
| Sensitivity | Cash Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar 99 | Weighted Value at Risk with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Cash sensitivity |
| Sensitivity | Cash Taylor Wvar | Weighted Value at Risk with contextual confidence level for the Cash sensitivity |
| Sensitivity | Correlation Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar 99 | Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Correlation Taylor Wvar | Weighted Value at Risk with contextual confidence level for the Correlation sensitivity |
| Sensitivity | Crossgamma Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar 99 | Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Crossgamma Taylor Wvar | Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| Sensitivity | Delta Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar 99 | Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Delta sensitivity |
| Sensitivity | Delta Taylor Wvar | Weighted Value at Risk with contextual confidence level for the Delta sensitivity |
| Sensitivity | Gamma Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar 99 | Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Gamma Taylor Wvar | Weighted Value at Risk with contextual confidence level for the Gamma sensitivity |
| Sensitivity | Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% |
| Sensitivity | Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% |
| Sensitivity | Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% |
| Sensitivity | Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% |
| Sensitivity | Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% |
| Sensitivity | Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% |
| Sensitivity | Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% |
| Sensitivity | Taylor VaR 99 | Value at Risk with fixed confidence level of 99% |
| Sensitivity | Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% |
| Sensitivity | Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% |
| Sensitivity | Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level |
| Sensitivity | Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% |
| Sensitivity | Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% |
| Sensitivity | Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level |
| Sensitivity | Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% |
| Sensitivity | Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% |
| Sensitivity | Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level |
| Sensitivity | Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% |
| Sensitivity | Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% |
| Sensitivity | Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level |
| Sensitivity | Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level |
| Sensitivity | Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level |
| Sensitivity | Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level |
| Sensitivity | Vanna Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar 99 | Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vanna Taylor Wvar | Weighted Value at Risk with contextual confidence level for the Vanna sensitivity |
| Sensitivity | Vega Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar 99 | Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Vega sensitivity |
| Sensitivity | Vega Taylor Wvar | Weighted Value at Risk with contextual confidence level for the Vega sensitivity |
| Sensitivity | Taylor Wvar 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% |
| Sensitivity | Taylor Wvar 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% |
| Sensitivity | Taylor Wvar 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% |
| Sensitivity | Taylor Wvar 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% |
| Sensitivity | Taylor Wvar 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% |
| Sensitivity | Taylor Wvar 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% |
| Sensitivity | Taylor Wvar 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% |
| Sensitivity | Taylor Wvar 99 | Weighted Value at Risk with fixed confidence level of 99% |
| Sensitivity | Taylor Wvar 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% |
| Sensitivity | Taylor Wvar 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% |
| Sensitivity | Taylor Wvar LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level |
| Sensitivity | Taylor Wvar 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% |
| Sensitivity | Taylor Wvar 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% |
| Sensitivity | Taylor Wvar LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level |
| Sensitivity | Taylor Wvar 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% |
| Sensitivity | Taylor Wvar 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% |
| Sensitivity | Taylor Wvar LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level |
| Sensitivity | Taylor Wvar 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% |
| Sensitivity | Taylor Wvar 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% |
| Sensitivity | Taylor Wvar LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level |
| Sensitivity | Taylor Wvar DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level |
| Sensitivity | Taylor Wvar DtD | DtD difference for Weighted Value at Risk with contextual confidence level |
| Sensitivity | Taylor Wvar Previous | The Weighted Value at Risk of the previous day with contextual confidence level |
| Sensitivity | Taylor Wvar | Weighted Value at Risk with contextual confidence level |
Modified
| Cube | Measure | Details |
|---|---|---|
| Sensitivity | Taylor VaR | Moved folder from Value at Risk/Taylor VaR to Value at Risk/Taylor/VaR |
| Sensitivity | Cash Taylor VaR | Moved folder from Value at Risk/Taylor VaR to Value at Risk/Taylor/Cash/VaR |
| Sensitivity | Correlation Taylor VaR | Moved folder from Value at Risk/Taylor VaR to Value at Risk/Taylor/Correlation/VaR |
| Sensitivity | CrossGamma Taylor VaR | Moved folder from Value at Risk/Taylor VaR to Value at Risk/Taylor/CrossGamma/VaR |
| Sensitivity | Delta Taylor VaR | Moved folder from Value at Risk/Taylor VaR to Value at Risk/Taylor/Delta/VaR |
| Sensitivity | Gamma Taylor VaR | Moved folder from Value at Risk/Taylor VaR to Value at Risk/Taylor/Gamma/VaR |
| Sensitivity | Vanna Taylor VaR | Moved folder from Value at Risk/Taylor VaR to Value at Risk/Taylor/Vanna/VaR |
| Sensitivity | Vega Taylor VaR | Moved folder from Value at Risk/Taylor VaR to Value at Risk/Taylor/Vega/VaR |
| Sensitivity | Cash PnLVectorExpand | Moved folder from Value at Risk/Taylor VaR to Value at Risk/Taylor/VaR |
| Sensitivity | Correlation PnLVectorExpand | Moved folder from Value at Risk/Taylor VaR to Value at Risk/Taylor/VaR |
| Sensitivity | CrossGamma PnLVectorExpand | Moved folder from Value at Risk/Taylor VaR to Value at Risk/Taylor/VaR |
| Sensitivity | Delta PnLVectorExpand | Moved folder from Value at Risk/Taylor VaR to Value at Risk/Taylor/VaR |
| Sensitivity | Gamma PnLVectorExpand | Moved folder from Value at Risk/Taylor VaR to Value at Risk/Taylor/VaR |
| Sensitivity | Vanna PnLVectorExpand | Moved folder from Value at Risk/Taylor VaR to Value at Risk/Taylor/VaR |
| Sensitivity | Vega PnLVectorExpand | Moved folder from Value at Risk/Taylor VaR to Value at Risk/Taylor/VaR |
| Sensitivity | Taylor HD VaR | Moved folder from Value at Risk/Taylor VaR to Value at Risk/Taylor/VaR |
Context values
No changes.
Classes
Removed
IGreekDescription removal
| Class | Details |
|---|---|
IGreekDescription |
Interface previously used in measures, sources and hierarchies configuration throughout the project. |
GreekSensiDescriptionConfig |
Configuration class collecting sensitivity descriptions and publishing source and hierarchy beans. |
Added
IGreekDescription removal
| Class | Details |
|---|---|
SensiHierarchyUtilsConfig |
Configuration class providing qualified beans for tenor-related hierarchies. |
Replaced
IGreekDescription removal
| Old class | New class | Details |
|---|---|---|
CashDescription |
CashSourceParameters |
Converted from @Configuration to @Component. Uses the Cash-specific SensiMeasureParameters bean for non-source configuration. |
CorrelationDescription |
CorrelationSourceParameters |
Converted from @Configuration to @Component. Uses the Correlation-specific SensiMeasureParameters bean for non-source configuration. |
CrossGammaDescription |
CrossGammaSourceParameters |
Converted from @Configuration to @Component. Uses the Cross Gamma-specific SensiMeasureParameters bean for non-source configuration. |
DeltaDescription |
DeltaSourceParameters |
Converted from @Configuration to @Component. Uses the Delta-specific SensiMeasureParameters bean for non-source configuration. |
GammaDescription |
GammaSourceParameters |
Converted from @Configuration to @Component. Uses the Gamma-specific SensiMeasureParameters bean for non-source configuration. |
ThetaDescription |
ThetaSourceParameters |
Converted from @Configuration to @Component. Uses the Theta-specific SensiMeasureParameters bean for non-source configuration. |
VannaDescription |
VannaSourceParameters |
Converted from @Configuration to @Component. Uses the Vanna-specific SensiMeasureParameters bean for non-source configuration. |
VegaDescription |
VegaSourceParameters |
Converted from @Configuration to @Component. Uses the Vega-specific SensiMeasureParameters bean for non-source configuration. |
VolgaDescription |
VolgaSourceParameters |
Converted from @Configuration to @Component. Uses the Volga-specific SensiMeasureParameters bean for non-source configuration. |
VolgaDescription |
VolgaSourceParameters |
Converted from @Configuration to @Component. Uses the Volga-specific SensiMeasureParameters bean for non-source configuration. |
GreekDimensionType |
DimensionType |
Enum renamed for simplicity. |
Modified
IGreekDescription removal
| Class | Details |
|---|---|
SensiCsvSourceParametersProviderConfig |
Added beans for the sensitivity type lookup function (retrieving the type of a sensitivity based on its name) and the map of sensitivity types to source parameters. |
SpringConstants |
Added qualifiers for the lookup function, the sensitivity type to source parameters map and the individual source parameter components. |
Other
| Class | Details |
|---|---|
MessengerDefinitionConfig |
Moved to the mr-common-config module. New package: com.activeviam.mr.common.cube |
DatastoreConfiguratorSetup |
Moved to the mr-common-config module. New package: com.activeviam.mr.common.datastore |
CustomParametersConfig |
Moved to the mr-common-config module. New package: com.activeviam.mr.common.measures |
MarketDataRetrievalServiceConfig |
Moved to the mr-common-config module. New package: com.activeviam.mr.common.measures |
MaturityConverterConfig |
Moved to the mr-common-config module. New package: com.activeviam.mr.common.measures |
PartitionManagerConfig |
Moved to the mr-common-config module. New package: com.activeviam.mr.common.measures |
TailMeasureCalcConfig |
Moved to the mr-common-config module. New package: com.activeviam.mr.common.measures |
WeightedTailMeasureCalcConfig |
Moved to the mr-common-config module. New package: com.activeviam.mr.common.measures |
IESConfidenceLevel |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.context |
IETGConfidenceLevel |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.context |
IVaEConfidenceLevel |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.context |
IWeightedVaRLambda |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.context |
ESConfidenceLevel |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.context.impl |
ESConfidenceLevelTranslator |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.context.impl |
ETGConfidenceLevel |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.context.impl |
ETGConfidenceLevelTranslator |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.context.impl |
VaEConfidenceLevel |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.context.impl |
VaEConfidenceLevelTranslator |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.context.impl |
WeightedVaRLambda |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.context.impl |
WeightedVaRLambdaTranslator |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.context.impl |
IContextualMeasures |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.measures.factory.intf |
IFixedConfidenceMeasures |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.measures.factory.intf |
IIncrementalMeasures |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.measures.factory.intf |
IVaRESMeasures |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.measures.factory.intf |
VaRMetricParametersAndNames |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.measures.parameters |
ACopperWPostProcessor |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
AVaEPostProcessor |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
AVaRPostProcessor |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
CopperESPostProcessors |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
CopperETGPostProcessor |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
CopperVaEPostProcessor |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
CopperWVaEPostProcessor |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
CopperWVaRPostProcessor |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
IWeightedTailMeasureCalc |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
IWeightedTailMeasureCalcAware |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
ParametricVaEPostProcessor |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
ParametricVaRPostProcessor |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
PnLDistributionPostProcessor |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
PnLValuesPostProcessor |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
ReferenceLevelLocationShift |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
ScenarioNamePostProcessor |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
TopPostProcessor |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
WeightedTailMeasureCalc |
Moved to the mr-common-lib module. New package: com.activeviam.mr.common.calculations.postprocessors |
Beans
IGreekDescription removal
Added
| Constant | Qualifier | Type | Details |
|---|---|---|---|
| SP_QUALIFIER__SENSI_TYPE_LOOKUP | “sensi-type-lookup” | UnaryOperator<String> |
Function that returns the sensitivity type when applied to a sensitivity name. |
| SP_QUALIFIER__SENSI_SOURCE_PARAMETERS | “sensi-source-parameters” | Map<String, ISensiSourceParameters> |
The map of sensitivity type to associated ISensiSourceParameters. |
| SP_QUALIFIER__CASH_SOURCE_PARAMETERS | “cash-source-parameters” | ISensiSourceParameters |
Cash-specific ISensiSourceParameters bean. |
| SP_QUALIFIER__CORRELATION_SOURCE_PARAMETERS | “correlation-source-parameters” | ISensiSourceParameters |
Correlation-specific ISensiSourceParameters bean. |
| SP_QUALIFIER__CROSS_GAMMA_SOURCE_PARAMETERS | “cross-gamma-source-parameters” | ISensiSourceParameters |
Cross Gamma-specific ISensiSourceParameters bean. |
| SP_QUALIFIER__DELTA_SOURCE_PARAMETERS | “delta-source-parameters” | ISensiSourceParameters |
Delta-specific ISensiSourceParameters bean. |
| SP_QUALIFIER__GAMMA_SOURCE_PARAMETERS | “gamma-source-parameters” | ISensiSourceParameters |
Gamma-specific ISensiSourceParameters bean. |
| SP_QUALIFIER__THETA_SOURCE_PARAMETERS | “theta-source-parameters” | ISensiSourceParameters |
Theta-specific ISensiSourceParameters bean. |
| SP_QUALIFIER__VANNA_SOURCE_PARAMETERS | “vanna-source-parameters” | ISensiSourceParameters |
Vanna-specific ISensiSourceParameters bean. |
| SP_QUALIFIER__VEGA_SOURCE_PARAMETERS | “vega-source-parameters” | ISensiSourceParameters |
Vega-specific ISensiSourceParameters bean. |
| SP_QUALIFIER__VOLGA_SOURCE_PARAMETERS | “volga-source-parameters” | ISensiSourceParameters |
Volga-specific ISensiSourceParameters bean. |
| SP_QUALIFIER__SENSI_CURRENCY_HIERARCHIES | “sensi-currency-hierarchies” | String[][] |
Currency hierarchies for individual sensitivities. |
| SP_QUALIFIER__SENSI_LABELS_HIERARCHIES | “sensi-labels-hierarchies” | String[][] |
Labels hierarchies for tenors, maturities, and moneyness. |
| SP_QUALIFIER__SENSI_DATES_HIERARCHIES | “sensi-dates-hierarchies” | String[][] |
Dates hierarchies for tenors, maturities, and moneyness. |
Other
The following beans have moved from the mr-application to the mr-common-config module. They can be replaced by defining a new bean, with the relevant @Qualifier and an @Primary annotation.
| Constant | Qualifier | Type | Details |
|---|---|---|---|
| SP_QUALIFIER__QUERY_CUBE_MESSENGER_DEFINITION | “query-cube-messenger-definition” | IMessengerDefinition | Properties for a messenger used by a query cube. |
| SP_QUALIFIER__DATA_CUBE_MESSENGER_DEFINITION | “data-cube-messenger-definition” | IMessengerDefinition | Properties for a messenger used by a data cube. |
| SP_QUALIFIER__CUSTOM_PARAMETERS | “custom-parameters” | ICustomParameters | Used to provide additional parameters to service beans. |
| SP_QUALIFIER__INTERPOLATION_CONFIGURATION | “interpolation-configuration” | IInterpolationConfiguration | Defines the behavior of an IMarketDataRetrievalService. |
| SP_QUALIFIER__MARKET_DATA_RETRIEVAL_SERVICE | “market-data-retrieval-service” | IMarketDataRetrievalService | A service providing market data based on a store or another service. |
| SP_QUALIFIER__MATURITY_CONVERTER | “maturity-converter” | IMaturityConverter | A service used to perform custom maturity/date conversions. |
| SP_QUALIFIER__SMILE_CONVERTER | “smile-converter” | ISmileConverter | Used to convert Moneyness pillars into the corresponding distance to the ATM Pillar. |
| SP_QUALIFIER__TENOR_UTIL | “tenor-util” | ITenorUtil | Utility functions to support working with tenors. |
| SP_QUALIFIER__BUSINESS_DAY_CALENDAR_FACTORY | “business-day-calendar-factory” | IBusinessDayCalendarFactory | Returns a calendar defining appropriate business days |
| SP_QUALIFIER__TAIL_MEASURE_CALC | “tail-measure-calc” | ITailMeasureCalc | Functions for calculating tail measures. |