Vega Shift Vector Normalized Percentile

This measure finds the value of the sorted Shift Vector located at the percentile defined by the ShiftPercentile context value.

The vector is stored on the field Values in the MarketShifts store.

The Vega Shift Vector size may be reduced by the Sub PnL Vector transformation.

It is filtered using the members of the level SensitivityName, from the Sensitivity hierarchy, that must match the pattern ^(?i).*vega.*$. This pattern can be configured with the property mr.sensi.types.vega.regex.

If the market data is a curve, a map or a cube, the Tenors, Maturities or Moneyness hierarchies may be required. The method IInterpolationConfiguration::normalizationShiftOperator is called to eventually adapt the Shift Vector to the sensitivity value.