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Taylor ETG LEstimated Reference Level

Description	Contribution of the upper Reference Level of Expected Tail Gain with contextual confidence level
Relevant context values	ETGConfidenceLevel ReferenceLevel

The following vectors are combined to calculate the pnl.for.var.explain vector:

Correlation.Vector.PnL.VarExplain, intermediate measure of Correlation Taylor ETG
CrossGamma.Vector.PnL.VarExplain, intermediate measure of CrossGamma Taylor ETG
Delta.Vector.PnL.VarExplain, intermediate measure of Delta Taylor ETG
Gamma.Vector.PnL.VarExplain, intermediate measure of Gamma Taylor ETG
Vanna.Vector.PnL.VarExplain, intermediate measure of Vanna Taylor ETG
Vega.Vector.PnL.VarExplain, intermediate measure of Vega Taylor ETG
Volga.Vector.PnL.VarExplain, intermediate measure of Volga Taylor ETG

The resulting pnl.for.var.explain 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.