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Vanna Taylor ES

Description Expected Shortfall with contextual confidence level for the Vanna sensitivity
Relevant context values

The Vanna sensitivity is used to compute the Taylor VaR PnL vector on the local currency using consecutively:

  1. The Taylor VaR calculation to compute the Vanna.Vector.PnL.VarExplain.Native on trade currency.
  2. The Sub PnL Vector transformation to produce Vanna.Sub.Vector.PnL.VarExplain.Native.
  3. The FX Effect on VaR calculation to convert it to the display currency as Vanna.Vector.PnL.VarExplain.

The PnL vector is used by the ES measure with a confidence level defined by the ESConfidenceLevel context value, using the VaR Interpolation method.

The ES metric is the average of the worst PnL scenario above the selected quantile.