Taylor WVaE 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 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 level defined by the ReferenceLevel context value. The LEstimated Measures algorithm is used as the comparator.

The compared value is displayed as a WVaE measure with a confidence level defined by the VaEConfidenceLevel context value, using the Weighted VaR method.