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Taylor WVaE 97.5 LEstimated Booking

Description	Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5%
Hierarchies required in the view	BookHierarchy

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

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

The resulting pnl.for.var.explain is compared to its drill-up value along the BookHierarchy hierarchy.

The LEstimated Measures algorithm is used as the comparator.

The compared value is displayed as a WVaE measure with a 97.5% confidence level, using the Weighted VaR method.