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Gamma Taylor ETG LEstimated Reference Level

Description Contribution of the upper Reference Level of Expected Tail Gain with contextual confidence level for the Gamma sensitivity
Relevant context values

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

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

The resulting Gamma.Vector.PnL.VarExplain is compared to its value at the level defined by the ReferenceLevel context value. The LEstimated Measures algorithm is used as the comparator.

The compared value is displayed as an ETG measure with a confidence level defined by the ETGConfidenceLevel context value, using the VaR Interpolation method.