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CrossGamma Taylor VaE 97.5 LEstimated Trades

Description Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity
Hierarchies required in the view

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.

The resulting CrossGamma.Vector.PnL.VarExplain is compared to its drill-up value along the Trades hierarchy.

The LEstimated Measures algorithm is used as the comparator.

The compared value is displayed as a VaE metric with a 97.5% confidence level, using the VaR Interpolation method.