CSR Sec CTP Delta Risk Position Double Sums

sbm

Description The sum of cross products of the weighted sensitivities under the square root in the bucket-level charge formula
Reference [MAR21.4]
Formula $$\sum _{k\in b}\sum _{l\in b}\cdot WS_k \cdot WS_l$$

The measure requires having hierarchy(ies) in the view: [Double Sums].[CSR non-Sec Vega Double Sums], [Buckets].[CSR non-Sec Buckets].

See also

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