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Taylor VaR 99

Description	Value at Risk with fixed confidence level of 99%

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 99%, using the VaR Interpolation method.

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