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Taylor WVaE 99 LEstimated Top

Description	Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99%

The following vector 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 value at the grand total location. The LEstimated Measures algorithm is used as the comparator.

The compared value is displayed as a WVaE measure with a 99% confidence level, using the Weighted VaR method.