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Volga Taylor ES LEstimated Reference Level

Description Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Volga sensitivity
Relevant context values

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

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

The produced Volga.Vector.PnL.VarExplain is compared to its value at the level defined by the ReferenceLevel context value. The LEstimated Measures algorithm is used as the comparator.

The compared value is displayed as an ES measure with a confidence level defined by the ESConfidenceLevel context value, using the VaR Interpolation method.