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Gamma Taylor ETG

Description 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 PnL vector is used by the ETG measure with a confidence level defined by the ETGConfidenceLevel context value, using the VaR Interpolation method.

The ETG measure is the average of the best PnL scenario above the selected quantile.