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Taylor VaE 99 LEstimated Top

Description	Contribution of the upper Top of Value at Earnings with fixed confidence level of 99%

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

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

The resulting pnl.for.var.explain is compared to its value at the grand total location. The LEstimated Measures algorithm is used as the comparator.

The compared value is displayed as a VaE measure with a 99% confidence level, using the VaR Interpolation method.