Delta/Vega/Curvature Risk Weight

The Delta/Vega/Curvature Risk Weight measures are $RW_k$ in [MAR21.4](3) and $RW_k^{(Curvature)}$ in [MAR21.5](2)(e).

For Delta and Curvature, following [MAR21.77], the values are looked up based on the configuration for the Risk Factor’s Bucket and Type.

For Vega, following [MAR21.92], the value is looked up based on the configuration for the Risk Class (and its liquidity horizon).