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Vanna Taylor ETG 97.5 LEstimated Trades

Description Contribution of the upper Trades of Expected Tail Gain with fixed confidence level of 97.5% for the Vanna sensitivity
Hierarchies required in the view

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 resulting Vanna.Vector.PnL.VarExplain is compared to its drill-up value along the Trades hierarchy. The LEstimated Measures algorithm is used as the comparator.

The compared value is displayed as an ETG measure with a 97.5% confidence level, using the VaR Interpolation method.