Navigation :
Volga Taylor VaR DtD
| Description |
DtD difference for Value at Risk with contextual confidence level for the Volga sensitivity |
| Relevant context values |
|
Difference between Volga Taylor VaR and Volga Taylor VaR Previous.
$$\text{Volga Taylor VaR DtD}=\text{Volga Taylor VaR}-\text{Volga Taylor VaR Previous}$$