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Taylor WVaR LEstimated Booking

Description	Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level
Relevant context values	VaRConfidenceLevel WeightedVaRLambda
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 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 drill-up value along the BookHierarchy hierarchy.

The LEstimated Measures algorithm is used as the comparator.

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