Delta/Vega Risk Position Correlations

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

Within each Bucket, and for each category of Risk Factor pairs (see Delta/Vega Risk Position Double Sums) the values are looked up from the configuration for [MAR21.45]-[MAR21.49], and [MAR21.93]–[MAR21.94].

Note: See Interpretation Note for inflation and cross-currency basis curves for Vega.