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Commodity Vega Risk Position Double Sums
| 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: |
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| Reference |
[MAR21.4] |
| Formula |
$$\sum _{k\in b}\sum _{l\in b}\cdot WS_k \cdot WS_l$$ |
See also
FRTB Accelerator Cubes Guide