Delta/Vega Risk Position Double Sums

The Delta/Vega Risk Position Double Sums measures are the $\sum_k \sum_l WS_k \cdot WS_l$ intermediate values that were requested for the 2017 and 2018 QIS exercises.

Within each Bucket (except the “other” bucket), each pair of Risk Factors, is categorised according to:

• Delta

  • Same or different Equity Name
  • Same or different Type

• Vega

  • Same or different Equity Name
  • Combinations of Option Maturities

Within each category, the pairs of Delta/Vega Weighted Sensitivities are multiplied together and summed.

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.