> ## Documentation Index > Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt > Use this file to discover all available pages before exploring further. # Value at Risk > Reference for the Value at Risk measures in the Sensitivities Cube. ## Taylor VaR | Measure | Description | Relevant context values | | ---------------------------- | ------------------------------------------------------------------------------------------- | ------------------------------------------------------------------------------------- | | Taylor VaR | Value at Risk with contextual confidence level | [VaRConfidenceLevel](../../context-values) | | Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% | | | Taylor VaR 99 | Value at Risk with fixed confidence level of 99% | | | Taylor WVaR | Weighted Value at Risk with contextual confidence level | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Taylor WVaR 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% | | | Taylor WVaR 99 | Weighted Value at Risk with fixed confidence level of 99% | | | Correlation Taylor VaR | Value at Risk with contextual confidence level for the Correlation sensitivity | [VaRConfidenceLevel](../../context-values) | | Correlation Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | | | Correlation Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | | | Correlation Taylor WVaR | Weighted Value at Risk with contextual confidence level for the Correlation sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Correlation Taylor WVaR 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | | | Correlation Taylor WVaR 99 | Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | | | CrossGamma Taylor VaR | Value at Risk with contextual confidence level for the CrossGamma sensitivity | [VaRConfidenceLevel](../../context-values) | | CrossGamma Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | | | CrossGamma Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | | | CrossGamma Taylor WVaR | Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | CrossGamma Taylor WVaR 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | | | CrossGamma Taylor WVaR 99 | Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | | | Delta Taylor VaR | Value at Risk with contextual confidence level for the Delta sensitivity | [VaRConfidenceLevel](../../context-values) | | Delta Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | | | Delta Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Delta sensitivity | | | Delta Taylor WVaR | Weighted Value at Risk with contextual confidence level for the Delta sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Delta Taylor WVaR 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | | | Delta Taylor WVaR 99 | Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity | | | Gamma Taylor VaR | Value at Risk with contextual confidence level for the Gamma sensitivity | [VaRConfidenceLevel](../../context-values) | | Gamma Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | | | Gamma Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | | | Gamma Taylor WVaR | Weighted Value at Risk with contextual confidence level for the Gamma sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Gamma Taylor WVaR 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | | | Gamma Taylor WVaR 99 | Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | | | Vanna Taylor VaR | Value at Risk with contextual confidence level for the Vanna sensitivity | [VaRConfidenceLevel](../../context-values) | | Vanna Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | | | Vanna Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | | | Vanna Taylor WVaR | Weighted Value at Risk with contextual confidence level for the Vanna sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Vanna Taylor WVaR 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | | | Vanna Taylor WVaR 99 | Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | | | Vega Taylor VaR | Value at Risk with contextual confidence level for the Vega sensitivity | [VaRConfidenceLevel](../../context-values) | | Vega Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | | | Vega Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Vega sensitivity | | | Vega Taylor WVaR | Weighted Value at Risk with contextual confidence level for the Vega sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Vega Taylor WVaR 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | | | Vega Taylor WVaR 99 | Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity | | | Volga Taylor VaR | Value at Risk with contextual confidence level for the Volga sensitivity | [VaRConfidenceLevel](../../context-values) | | Volga Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | | | Volga Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Volga sensitivity | | | Volga Taylor WVaR | Weighted Value at Risk with contextual confidence level for the Volga sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Volga Taylor WVaR 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | | | Volga Taylor WVaR 99 | Weighted Value at Risk with fixed confidence level of 99% for the Volga sensitivity | | ## DtD | Measure | Description | Relevant context values | | -------------------------------- | -------------------------------------------------------------------------------------------------------------- | ------------------------------------------------------------------------------------- | | Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level | [VaRConfidenceLevel](../../context-values) | | Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% | | | Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% | | | Taylor WVaR DtD | DtD difference for Weighted Value at Risk with contextual confidence level | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Taylor WVaR 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% | | | Taylor WVaR 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% | | | Correlation Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Correlation sensitivity | [VaRConfidenceLevel](../../context-values) | | Correlation Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | | | Correlation Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | | | Correlation Taylor WVaR DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Correlation sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Correlation Taylor WVaR 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | | | Correlation Taylor WVaR 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | | | CrossGamma Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the CrossGamma sensitivity | [VaRConfidenceLevel](../../context-values) | | CrossGamma Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | | | CrossGamma Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | | | CrossGamma Taylor WVaR DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | CrossGamma Taylor WVaR 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | | | CrossGamma Taylor WVaR 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | | | Delta Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Delta sensitivity | [VaRConfidenceLevel](../../context-values) | | Delta Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | | | Delta Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Delta sensitivity | | | Delta Taylor WVaR DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Delta sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Delta Taylor WVaR 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | | | Delta Taylor WVaR 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity | | | Gamma Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Gamma sensitivity | [VaRConfidenceLevel](../../context-values) | | Gamma Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | | | Gamma Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | | | Gamma Taylor WVaR DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Gamma sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Gamma Taylor WVaR 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | | | Gamma Taylor WVaR 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | | | Vanna Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Vanna sensitivity | [VaRConfidenceLevel](../../context-values) | | Vanna Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | | | Vanna Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | | | Vanna Taylor WVaR DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Vanna sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Vanna Taylor WVaR 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | | | Vanna Taylor WVaR 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | | | Vega Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Vega sensitivity | [VaRConfidenceLevel](../../context-values) | | Vega Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | | | Vega Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Vega sensitivity | | | Vega Taylor WVaR DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Vega sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Vega Taylor WVaR 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | | | Vega Taylor WVaR 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity | | | Volga Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Volga sensitivity | [VaRConfidenceLevel](../../context-values) | | Volga Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | | | Volga Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Volga sensitivity | | | Volga Taylor WVaR DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Volga sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Volga Taylor WVaR 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | | | Volga Taylor WVaR 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Volga sensitivity | | ## DtD % difference | Measure | Description | Relevant context values | | --------------------------------------------- | ------------------------------------------------------------------------------------------------------------------- | ------------------------------------------------------------------------------------- | | Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level | [VaRConfidenceLevel](../../context-values) | | Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% | | | Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% | | | Taylor WVaR DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Taylor WVaR 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% | | | Taylor WVaR 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% | | | Correlation Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Correlation sensitivity | [VaRConfidenceLevel](../../context-values) | | Correlation Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | | | Correlation Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | | | Correlation Taylor WVaR DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Correlation sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Correlation Taylor WVaR 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | | | Correlation Taylor WVaR 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | | | CrossGamma Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the CrossGamma sensitivity | [VaRConfidenceLevel](../../context-values) | | CrossGamma Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | | | CrossGamma Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | | | CrossGamma Taylor WVaR DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | CrossGamma Taylor WVaR 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | | | CrossGamma Taylor WVaR 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | | | Delta Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Delta sensitivity | [VaRConfidenceLevel](../../context-values) | | Delta Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | | | Delta Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Delta sensitivity | | | Delta Taylor WVaR DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Delta sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Delta Taylor WVaR 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | | | Delta Taylor WVaR 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity | | | Gamma Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Gamma sensitivity | [VaRConfidenceLevel](../../context-values) | | Gamma Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | | | Gamma Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | | | Gamma Taylor WVaR DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Gamma sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Gamma Taylor WVaR 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | | | Gamma Taylor WVaR 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | | | Vanna Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Vanna sensitivity | [VaRConfidenceLevel](../../context-values) | | Vanna Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | | | Vanna Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | | | Vanna Taylor WVaR DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Vanna sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Vanna Taylor WVaR 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | | | Vanna Taylor WVaR 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | | | Vega Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Vega sensitivity | [VaRConfidenceLevel](../../context-values) | | Vega Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | | | Vega Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Vega sensitivity | | | Vega Taylor WVaR DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Vega sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Vega Taylor WVaR 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | | | Vega Taylor WVaR 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity | | | Volga Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Volga sensitivity | [VaRConfidenceLevel](../../context-values) | | Volga Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | | | Volga Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Volga sensitivity | | | Volga Taylor WVaR DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Volga sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Volga Taylor WVaR 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | | | Volga Taylor WVaR 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Volga sensitivity | | ## Previous | Measure | Description | Relevant context values | | ------------------------------------- | ------------------------------------------------------------------------------------------------------------------- | ------------------------------------------------------------------------------------- | | Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level | [VaRConfidenceLevel](../../context-values) | | Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% | | | Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% | | | Taylor WVaR Previous | The Weighted Value at Risk of the previous day with contextual confidence level | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Taylor WVaR 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% | | | Taylor WVaR 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% | | | Correlation Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Correlation sensitivity | [VaRConfidenceLevel](../../context-values) | | Correlation Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Correlation sensitivity | | | Correlation Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Correlation sensitivity | | | Correlation Taylor WVaR Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Correlation sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Correlation Taylor WVaR 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Correlation sensitivity | | | Correlation Taylor WVaR 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Correlation sensitivity | | | CrossGamma Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the CrossGamma sensitivity | [VaRConfidenceLevel](../../context-values) | | CrossGamma Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the CrossGamma sensitivity | | | CrossGamma Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the CrossGamma sensitivity | | | CrossGamma Taylor WVaR Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the CrossGamma sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | CrossGamma Taylor WVaR 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the CrossGamma sensitivity | | | CrossGamma Taylor WVaR 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the CrossGamma sensitivity | | | Delta Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Delta sensitivity | [VaRConfidenceLevel](../../context-values) | | Delta Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Delta sensitivity | | | Delta Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Delta sensitivity | | | Delta Taylor WVaR Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Delta sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Delta Taylor WVaR 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Delta sensitivity | | | Delta Taylor WVaR 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Delta sensitivity | | | Gamma Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Gamma sensitivity | [VaRConfidenceLevel](../../context-values) | | Gamma Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Gamma sensitivity | | | Gamma Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Gamma sensitivity | | | Gamma Taylor WVaR Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Gamma sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Gamma Taylor WVaR 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Gamma sensitivity | | | Gamma Taylor WVaR 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Gamma sensitivity | | | Vanna Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Vanna sensitivity | [VaRConfidenceLevel](../../context-values) | | Vanna Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Vanna sensitivity | | | Vanna Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Vanna sensitivity | | | Vanna Taylor WVaR Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Vanna sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Vanna Taylor WVaR 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Vanna sensitivity | | | Vanna Taylor WVaR 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Vanna sensitivity | | | Vega Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Vega sensitivity | [VaRConfidenceLevel](../../context-values) | | Vega Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Vega sensitivity | | | Vega Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Vega sensitivity | | | Vega Taylor WVaR Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Vega sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Vega Taylor WVaR 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Vega sensitivity | | | Vega Taylor WVaR 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Vega sensitivity | | | Volga Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Volga sensitivity | [VaRConfidenceLevel](../../context-values) | | Volga Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Volga sensitivity | | | Volga Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Volga sensitivity | | | Volga Taylor WVaR Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Volga sensitivity | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | | Volga Taylor WVaR 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Volga sensitivity | | | Volga Taylor WVaR 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Volga sensitivity | | ## LEstimated booking | Measure | Description | | ----------------------------------------------- | -------------------------------------------------------------------------------------------------------------------------------- | | Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level | | Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% | | Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% | | Taylor WVaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level | | Taylor WVaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% | | Taylor WVaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% | | Correlation Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Correlation sensitivity | | Correlation Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | | Correlation Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | | Correlation Taylor WVaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Correlation sensitivity | | Correlation Taylor WVaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | | Correlation Taylor WVaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | | CrossGamma Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the CrossGamma sensitivity | | CrossGamma Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | | CrossGamma Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | | CrossGamma Taylor WVaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity | | CrossGamma Taylor WVaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | | CrossGamma Taylor WVaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | | Delta Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Delta sensitivity | | Delta Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | | Delta Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Delta sensitivity | | Delta Taylor WVaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Delta sensitivity | | Delta Taylor WVaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | | Delta Taylor WVaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity | | Gamma Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Gamma sensitivity | | Gamma Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | | Gamma Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | | Gamma Taylor WVaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Gamma sensitivity | | Gamma Taylor WVaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | | Gamma Taylor WVaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | | Vanna Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Vanna sensitivity | | Vanna Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | | Vanna Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | | Vanna Taylor WVaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Vanna sensitivity | | Vanna Taylor WVaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | | Vanna Taylor WVaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | | Vega Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Vega sensitivity | | Vega Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | | Vega Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Vega sensitivity | | Vega Taylor WVaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Vega sensitivity | | Vega Taylor WVaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | | Vega Taylor WVaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity | | Volga Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Volga sensitivity | | Volga Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | | Volga Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Volga sensitivity | | Volga Taylor WVaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Volga sensitivity | | Volga Taylor WVaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | | Volga Taylor WVaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Volga sensitivity | ## LEstimated reference level | Measure | Description | | ------------------------------------------------------- | ---------------------------------------------------------------------------------------------------------------------------------------- | | Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level | | Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% | | Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% | | Taylor WVaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level | | Taylor WVaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% | | Taylor WVaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% | | Correlation Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Correlation sensitivity | | Correlation Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | | Correlation Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | | Correlation Taylor WVaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Correlation sensitivity | | Correlation Taylor WVaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | | Correlation Taylor WVaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | | CrossGamma Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the CrossGamma sensitivity | | CrossGamma Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | | CrossGamma Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | | CrossGamma Taylor WVaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity | | CrossGamma Taylor WVaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | | CrossGamma Taylor WVaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | | Delta Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Delta sensitivity | | Delta Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | | Delta Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Delta sensitivity | | Delta Taylor WVaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Delta sensitivity | | Delta Taylor WVaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | | Delta Taylor WVaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity | | Gamma Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Gamma sensitivity | | Gamma Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | | Gamma Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | | Gamma Taylor WVaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Gamma sensitivity | | Gamma Taylor WVaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | | Gamma Taylor WVaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | | Vanna Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Vanna sensitivity | | Vanna Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | | Vanna Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | | Vanna Taylor WVaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Vanna sensitivity | | Vanna Taylor WVaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | | Vanna Taylor WVaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | | Vega Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Vega sensitivity | | Vega Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | | Vega Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Vega sensitivity | | Vega Taylor WVaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Vega sensitivity | | Vega Taylor WVaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | | Vega Taylor WVaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity | | Volga Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Volga sensitivity | | Volga Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | | Volga Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Volga sensitivity | | Volga Taylor WVaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Volga sensitivity | | Volga Taylor WVaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | | Volga Taylor WVaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Volga sensitivity | ## LEstimated top | Measure | Description | | ------------------------------------------- | ---------------------------------------------------------------------------------------------------------------------------- | | Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level | | Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% | | Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% | | Taylor WVaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level | | Taylor WVaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% | | Taylor WVaR 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% | | Correlation Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Correlation sensitivity | | Correlation Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | | Correlation Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | | Correlation Taylor WVaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Correlation sensitivity | | Correlation Taylor WVaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | | Correlation Taylor WVaR 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | | CrossGamma Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the CrossGamma sensitivity | | CrossGamma Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | | CrossGamma Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | | CrossGamma Taylor WVaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity | | CrossGamma Taylor WVaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | | CrossGamma Taylor WVaR 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | | Delta Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Delta sensitivity | | Delta Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | | Delta Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Delta sensitivity | | Delta Taylor WVaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Delta sensitivity | | Delta Taylor WVaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | | Delta Taylor WVaR 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity | | Gamma Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Gamma sensitivity | | Gamma Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | | Gamma Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | | Gamma Taylor WVaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Gamma sensitivity | | Gamma Taylor WVaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | | Gamma Taylor WVaR 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | | Vanna Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Vanna sensitivity | | Vanna Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | | Vanna Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | | Vanna Taylor WVaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Vanna sensitivity | | Vanna Taylor WVaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | | Vanna Taylor WVaR 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | | Vega Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Vega sensitivity | | Vega Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | | Vega Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Vega sensitivity | | Vega Taylor WVaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Vega sensitivity | | Vega Taylor WVaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | | Vega Taylor WVaR 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity | | Volga Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Volga sensitivity | | Volga Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | | Volga Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Volga sensitivity | | Volga Taylor WVaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Volga sensitivity | | Volga Taylor WVaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | | Volga Taylor WVaR 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Volga sensitivity | ## LEstimated trades | Measure | Description | | ---------------------------------------------- | ------------------------------------------------------------------------------------------------------------------------------- | | Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level | | Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% | | Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% | | Taylor WVaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level | | Taylor WVaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% | | Taylor WVaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% | | Correlation Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Correlation sensitivity | | Correlation Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | | Correlation Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | | Correlation Taylor WVaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Correlation sensitivity | | Correlation Taylor WVaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | | Correlation Taylor WVaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | | CrossGamma Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the CrossGamma sensitivity | | CrossGamma Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | | CrossGamma Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | | CrossGamma Taylor WVaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity | | CrossGamma Taylor WVaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | | CrossGamma Taylor WVaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | | Delta Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Delta sensitivity | | Delta Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | | Delta Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Delta sensitivity | | Delta Taylor WVaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Delta sensitivity | | Delta Taylor WVaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | | Delta Taylor WVaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity | | Gamma Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Gamma sensitivity | | Gamma Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | | Gamma Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | | Gamma Taylor WVaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Gamma sensitivity | | Gamma Taylor WVaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | | Gamma Taylor WVaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | | Vanna Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Vanna sensitivity | | Vanna Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | | Vanna Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | | Vanna Taylor WVaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Vanna sensitivity | | Vanna Taylor WVaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | | Vanna Taylor WVaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | | Vega Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Vega sensitivity | | Vega Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | | Vega Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Vega sensitivity | | Vega Taylor WVaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Vega sensitivity | | Vega Taylor WVaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | | Vega Taylor WVaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity | | Volga Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Volga sensitivity | | Volga Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | | Volga Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Volga sensitivity | | Volga Taylor WVaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Volga sensitivity | | Volga Taylor WVaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | | Volga Taylor WVaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Volga sensitivity |