Taylor VaR LEstimated Reference Level

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 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 a VaR measure with a confidence level defined by the VaRConfidenceLevel context value, using the VaR Interpolation method.