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Taylor VaR 97.5 LEstimated Top

Description	Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5%

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

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

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 VaR measure with a 97.5% confidence level, using the VaR Interpolation method.