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Volga Shift Vector Average

Description Average of the Market Shift vector used by the Volga sensitivity, not interpolated, not normalized
Hierarchies required in the view

This measure computes the average value of the shift vector.

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

The Volga 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).*volga.*$. This pattern can be configured with the property mr.sensi.types.volga.regex.

If the market data is a curve, a map or a cube, the Tenors, Maturities or Moneyness hierarchies may be required.