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Commodity Vega Risk Charge

sbm

Description	The commodity vega risk charge based on the 'Medium correlations' scenario
Variations	<euler> <incremental> <euler_numerical> <pro_rata> <high> <low>
Reference	[MAR21.4]
Formula	$$K = \sqrt{\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot S_b \cdot S_c}, \text{ where }S_b = \sum _{k} WS_k \text{ if }\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot K_b \cdot K_c >0 \text{ else } S_b = max(min( \sum _{k} WS_k , K_b), -K_b)$$

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