CrossGamma Taylor Tail VaR

The CrossGamma sensitivity is used to compute the Taylor VaR PnL vector on the local currency using consecutively:

1. The Taylor VaR calculation to compute the CrossGamma.Vector.PnL.VarExplain.Native on trade currency.
2. The Sub PnL Vector transformation to produce CrossGamma.Sub.Vector.PnL.VarExplain.Native.
3. The FX Effect on VaR calculation to convert it to the display currency as CrossGamma.Vector.PnL.VarExplain.

This measure gives the value of the worst scenario of the PnL vector.