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Taylor VaR LEstimated Trades

Description	Contribution of the upper Trades of Value at Risk with contextual confidence level
Relevant context values	VaRConfidenceLevel
Hierarchies required in the view	Trades

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 drill-up value along the Trades hierarchy. 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.