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Gamma Taylor WVaE

Description Weighted Value at Earnings 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 Weighted VaE measure with a confidence level defined by the VaEConfidenceLevel context value, using the VaR Interpolation method.

The VaE metric is the best PnL scenario using the Weighted VaR method.