The
Delta/Vega
Risk Position Double Sums measures are the $\sum_k \sum_l WS_k \cdot WS_l$ intermediate values that were
requested for the 2017 and 2018 QIS exercises.
Within each Bucket (except the “other” bucket), each pair of Risk
Factors, is categorised according to:
Delta
Same or different Issuer Name
Same or different Tenor
Same or different Curve Type
Vega
Same or different Issuer Name
Same or different Curve Type
Combinations of Option Maturities
Within each category, the pairs of Delta/Vega Weighted Sensitivities
are multiplied together and summed.
Implementation Note: This calculation has been optimised so that it
is performed with $O(N)$ (linear) time complexity, where $N$ is the
number of Risk Factors.