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Volga Taylor Tail VaR

Description Worst case PnL for the Volga sensitivity

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.

This measure gives the value of the worst scenario of the PnL vector.