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 [MAR21.42]–[MAR21.44], the values are looked up based on the configuration for the Curve Type and Tenor. For specified currencies, these risk weights may be divided by the square root of 2.

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