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Volga Taylor WVaR LEstimated Trades

Description Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Volga sensitivity
Relevant context values
Hierarchies required in the view

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 resulting Volga.Vector.PnL.VarExplain is compared to its drill-up value along the Trades hierarchy. The LEstimated Measures algorithm is used as the comparator.

The compared value is displayed as a WVaR measure with a confidence level defined by the VaRConfidenceLevel context value, using the Weighted VaR method.