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Commodity 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 |
Commodity Vega Double Sums |
| Levels |
[ALL, Cty, Maturity1, Maturity2] |