Delta/Vega Risk Position Double Sums

The Delta/Vega Risk Position Double Sums measures are the $\sum_k \sum_l WS_k \cdot WS_l$ intermediate values.

Within each Bucket, each pair of Risk Factors, is categorised according to:

• Delta

  • Same or different Risk Factor

• Vega

  • Same or different Risk Factor

Within each category, the pairs of Delta/Vega Weighted Sensitivities are multiplied together and summed.