Volga

The Volga is expressed in the display currency. The Volga Native is converted from the sensitivity currency to the display currency. The Volga currency is expressed by the level Ccy.

$$\text{Volga}=\text{Volga Native}\cdot\text{FX}_\text{Ccy}$$

The measure can be a spot, a curve, a map or a cube (with a tenor, a maturity and a moneyness) which can be re-bucketed with:

• the DynamicTenors hierarchy,
• the DynamicMaturities hierarchy,
• the DynamicMoneyness hierarchy.