Enumeration | Definition |
---|---|
Basis | The amount of AVA arising from a basis exposure. |
Correlation | The amount of AVA arising from a correlation exposure. |
Delta | The amount of AVA arising from a delta exposure. |
Forward | The amount of AVA arising from a forward curve exposure. |
Other | AVA not attributable to one of the other Exposure Types. |
Skew | The amount of AVA arising from a volatility skew exposure. |
Vega | The amount of AVA arising from a vega exposure. |