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Taylor WVaR

Description	Weighted Value at Risk with contextual confidence level
Relevant context values	VaRConfidenceLevel WeightedVaRLambda

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 PnL vector is used by the WVaR measure with a confidence level defined by the VaRConfidenceLevel context value.

The WVaR metric is the best PnL scenario using the Weighted VaR method.