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CrossGamma Taylor VaR DtD
| Description |
DtD difference for Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| Relevant context values |
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Difference between CrossGamma Taylor VaR and CrossGamma Taylor VaR Previous.
$$\text{CrossGamma Taylor VaR DtD}=\text{CrossGamma Taylor VaR}-\text{CrossGamma Taylor VaR Previous}$$