Curvature Risk Position Up/Down

The Curvature Risk Position Up/Down measures are $K_b^\pm$ in [MAR21.5](3).

Within each Bucket (except the “other” bucket), the Curvature CVR Up/Down values are combined using the formula in [MAR21.5](3).

For the “other” bucket, the Curvature Risk Position Up/Down is calculated as the sum of the positive CVR Up/Down values.

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.