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K_FX_DeltaMargin
| Description |
Bucket-level margin for FX delta sensitivities |
| Hierarchies required in the view |
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| Notation |
$K_b$ |
| Formula |
$$K_{b} = \sqrt{\sum_{k \in b} WS_{k}^{2} + \sum_{k} \sum_{l \neq k} f_{k,l} \cdot \rho_{k,l} \cdot WS_{k} \cdot WS_{l} }$$ |