Vanna Native

The Vanna is the sum of the Value field of the table TradeSensitivities. It is filtered using the members of the level SensitivityName, from the Sensitivity hierarchy, that must match the pattern ^(?i).*vanna.*$. This pattern can be configured with the property mr.sensi.types.vanna.regex. The measure can be a spot, a curve, a map or a cube (with a tenor, a maturity and a moneyness) which can be re-bucketed with:

• the DynamicTenors hierarchy,
• the DynamicMaturities hierarchy,
• the DynamicMoneyness hierarchy.