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Vanna Taylor VaR

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

The VaR metric is the worst PnL scenario at the selected quantile.