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CrossGamma Taylor VaR

Description Value at Risk with contextual confidence level for the CrossGamma sensitivity
Relevant context values

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 PnL vector is used by the VaR metric with a confidence level defined by the VaRConfidenceLevel context value, using the VaR Interpolation method.

The VaR metric is the worst PnL scenario at the selected quantile.