Volga Shift Vector Interpolated Normalized

This measure expands the Volga Shift Vector to the Scenarios hierarchy. 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. If the Tenors, Maturities and Moneyness doesn’t fit exactly the Tenor, Maturity and Moneyness fields of the MarketShifts store, the value is computed with a linear interpolation. The method IInterpolationConfiguration::normalizationShiftOperator is called to eventually adapt the Shift Vector to the sensitivity value.