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For Vanna, the cross sensitivities are handled by applying the shift formula of both risk factors: PnL Explain=fmarketData2(fmarketData1(sens,q1,q2),p1,p2)\text{PnL Explain} = f_{\text{marketData2}}(f_{\text{marketData1}}(sens, q_1, q_2), p_1, p_2) Where qnq_{n} and pnp_{n} are the market data quotes for a given day nn for risk factors qq and pp respectively. Currently, cross-bucket sensitivity is not supported.