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Volga Taylor VaR 99 DtD
| Description |
DtD difference for Value at Risk with fixed confidence level of 99% for the Volga sensitivity |
Difference between Volga Taylor VaR 99 and Volga Taylor VaR 99 Previous.
$$\text{Volga Taylor VaR 99 DtD}=\text{Volga Taylor VaR 99}-\text{Volga Taylor VaR 99 Previous}$$