Taylor WVaR 99 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 WVaR
• CrossGamma.Vector.PnL.VarExplain, intermediate measure of CrossGamma Taylor WVaR
• Delta.Vector.PnL.VarExplain, intermediate measure of Delta Taylor WVaR
• Gamma.Vector.PnL.VarExplain, intermediate measure of Gamma Taylor WVaR
• Vanna.Vector.PnL.VarExplain, intermediate measure of Vanna Taylor WVaR
• Vega.Vector.PnL.VarExplain, intermediate measure of Vega Taylor WVaR
• Volga.Vector.PnL.VarExplain, intermediate measure of Volga Taylor WVaR

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 WVaR measure with a 99% confidence level, using the Weighted VaR method.