Commodity Vega 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
Hierarchy(ies) required in the view:
Reference [MAR21.4]
Formula $$\sum _{k\in b}\sum _{l\in b}\cdot WS_k \cdot WS_l$$

See also

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