Delta/Vega Risk Position Correlations

The Delta/Vega Risk Position Correlation measures are $\rho_{kl}$ in [MAR21.4](4).

Within each Bucket, and for each category of Risk Factor pairs (see Delta/Vega Risk Position Double Sums) the values are looked up from the configuration for [MAR21.83] and [MAR21.94].

Note: The $\rho_{kl}^{(Delta)}$ in [MAR21.94] is equivalent to $\rho_{kl}^{(cty)}$ in [MAR21.83] as the Vega Risk Factors are not differentiated by the Delta Sensitivity Tenor or Location.