Delta/Vega Sensitivities

The Delta/Vega Sensitivities measures are the $s_k$ in [MAR21.4](1) and (2).

For each Sensitivity Currency, the Interpolated Sensitivities are converted to the reference currency using the IFxRates API (supplied by the reference implementation). After this currency conversion, the values are aggregated for each Risk Factor (Vega) or Bucket (Delta).

For Delta, if the Counter Currency for a Risk Factor does not equal the reporting currency, then filtering and translations may be used. See Base Currency and Jurisdiction.