The
Delta/Vega
Risk Position Correlation measures are $\rho_{kl}$ in
[MAR21.4](4).
Within each Bucket, and for each category of Risk Factor pairs
(see Delta/Vega Risk Position Double Sums) the values are looked up from the
configuration for [MAR21.83] and [MAR21.94].
Note: The $\rho_{kl}^{(Delta)}$ in [MAR21.94] is equivalent to
$\rho_{kl}^{(cty)}$ in [MAR21.83] as the Vega Risk Factors are
not differentiated by the Delta Sensitivity Tenor or Location.