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K_IR_DeltaMargin
| Description |
Bucket-level margin for IR delta sensitivities |
| Hierarchy(ies) required in the view |
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| Notation |
$K_b$ |
| Formula |
$$K_{b} = \sqrt{\sum_{k,i \in b} WS_{k,i}^{2} + \sum_{k,i} \sum_{(j,l) \neq (k,i)} \phi_{i,j} \cdot \rho_{kl} \cdot WS_{k,i} \cdot WS_{l,j} }$$ |