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Vega Taylor WVaR

Description Weighted Value at Risk with contextual confidence level for the Vega sensitivity
Relevant context values

The Vega sensitivity is used to compute the Taylor VaR PnL vector on the local currency using consecutively:

  1. The Taylor VaR calculation to compute the Vega.Vector.PnL.VarExplain.Native on trade currency.
  2. The Sub PnL Vector transformation to produce Vega.Sub.Vector.PnL.VarExplain.Native.
  3. The FX Effect on VaR calculation to convert it to the display currency as Vega.Vector.PnL.VarExplain.

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

The WVaR metric is the best PnL scenario using the Weighted VaR method.