TaylorVectorExpand

This measure expands the pnl.for.var.explain Vector to the Scenarios hierarchy. The following vectors are combined to calculate the pnl.for.var.explain vector:

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

See also

• Correlation PnLVectorExpand
• CrossGamma PnLVectorExpand
• Delta PnLVectorExpand
• FxShiftVectorExpand
• FxShiftVectorExpandSensi
• Gamma PnLVectorExpand
• PnLVectorExpand
• PnLVectorVaEExpand
• Scenarios
• TaylorVectorExpand Native
• Vanna PnLVectorExpand
• Vega PnLVectorExpand
• Volga PnLVectorExpand