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 [MAR21.87], the risk weights are looked up from the configuration. For specified currency pairs (and first-order crosses), where the right-hand side of the pair is the base or reporting currency, the risk weight may be divided by the square root of 2 (as per [MAR21.88]).

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