Vanna

The Vanna is expressed in the display currency. The Vanna Native is converted from the sensitivity currency to the display currency. The Vanna currency is expressed by the level Ccy.

$$\text{Vanna}=\text{Vanna Native}\cdot\text{FX}_\text{Ccy}$$

The measure can be a spot, a curve, a map or a cube (with a tenor, a maturity and a moneyness) which can be re-bucketed with:

• the DynamicTenors hierarchy,
• the DynamicMaturities hierarchy,
• the DynamicMoneyness hierarchy.