Taylor VaR 97.5

The following vectors 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 PnL vector is used by the VaR measure with a confidence level of 97.5%, using the VaR Interpolation method.

The VaR metric is the worst PnL scenario at the selected quantile.