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
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Reference [MAR21.4]
Formula kblbWSkWSlkblbWSkWSl

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

See also