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 Equity Name
Same or different Type
Vega
Same or different Equity Name
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.