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Volga Taylor VaE

Description Value at Earnings 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 PnL vector is used by the VaE measure with a confidence level defined by the VaEConfidenceLevel context value, using the VaR Interpolation method.

The VaE metric is the best PnL scenario at the selected quantile.