Delta/Vega Risk Position Correlations

The Delta/Vega Risk Position Correlation measures are $\rho_{kl}$ in [MAR21.4](4).

For Delta, since there is only a single Risk Factor per Bucket, the $\rho_{kl}$ correlations are always 100%.

For Vega, within each Bucket, and for each combination of Option Maturities (see Risk Position Double Sums) the values are looked up from the configuration for [MAR21.94].

Note: The $\rho_{kl}^{(Delta)}$ in [MAR21.94] is always 100%, since there is only a single Delta Risk Factor per Bucket.