☰
Navigation :

Vanna Taylor VaR LEstimated Reference Level

Description Contribution of the upper Reference Level of Value at Risk 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 resulting Vanna.Vector.PnL.VarExplain is compared to its value at the level defined by the ReferenceLevel context value. The LEstimated Measures algorithm is used as the comparator.

The compared value is displayed as a VaR measure with a confidence level defined by the VaRConfidenceLevel context value, using the VaR Interpolation method.