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CSR Sec non-CTP 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:	[Double Sums].[CSR Sec non-CTP Vega Double Sums] [Buckets].[CSR Sec non-CTP Buckets]
Reference	[MAR21.4]
Formula	$\sum _{k\in b}\sum _{l\in b}\cdot WS_k \cdot WS_l$

Sum of cross product of the weighted sensitivities under the square root in the bucket-level charge formula $K_b$ .

See also