Navigation :
FX Vega Double Sums
| Description |
The levels of this hierarchy describe all possible combinations for determining vega risk factor correlations for the FX risk class. |
| Reference |
[MAR21.94] |
| Dimension |
Double Sums |
| Hierarchy |
FX Vega Double Sums |
| Levels |
[ALL, Ccy, Maturity1, Maturity2] |