Commodity Delta Risk Position Correlations

For each bucket, the factors $\rho_{kl}^{cty}$, $\rho_{kl}^{tenor}$ and $\rho_{kl}^{basis}$ and looked up based on cases cty, tenor, basis - represented by the levels in the hierarchy [Double Sums].[Commodity Delta Double Sums].

The measure requires having hierarchy(ies) in the view: [Double Sums].[Commodity Delta Double Sums], [Buckets].[Commodity Buckets].

See also

• Commodity Delta Risk Charge
• Commodity Delta Sensitivities
• Commodity Delta Risk Position Double Sums
• Commodity Delta Weighted Sensitivities
• Commodity Delta Risk Position
• Commodity Delta Risk Weight