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Vanna Taylor Tail VaR

Description Worst case PnL for the Vanna sensitivity

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.

This measure gives the value of the worst scenario of the PnL vector.