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 [MAR21.45]-[MAR21.49], and
[MAR21.93]–[MAR21.94].
Note: See Interpretation Note for inflation and cross-currency basis curves for Vega.