Delta Vega Risk Position

The Delta/Vega Risk Position measures are $K_b$ in [MAR21.4](4).

For each Bucket, the Delta/Vega Risk Position is calculated from the Delta/Vega Weighted Sensitivities and Delta/Vega Risk Position Correlations using the formula in [MAR21.4](4).

Implementation Note: This calculation has been optimised so that it is performed with $O(N)$ (linear) time complexity, where $N$ is the number of Risk Factors.