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GIRR Vega Double Sums
| Description |
The levels of this hierarchy describe all possible combinations for determining vega risk factor correlations for the GIRR risk class. |
| Reference |
[MAR21.93] |
| Dimension |
Double Sums |
| Hierarchy |
GIRR Vega Double Sums |
| Levels |
[ALL, OptionMaturity1, OptionMaturity2, UnderlyingMaturity1, UnderlyingMaturity2] |