Navigation : test ../ test user-getting-started.html Getting started test ../ test release-notes.html Release and migration notes test ../ test cube.html Cube reference test ../ test cube/context_values.html - Context Values test ../ test cube/dimensions.html - Dimensions test ../ test cube/measures.html - Measures test ../ test cube/measures/additional-margin.html -- Additional Margin test ../ test cube/measures/bucket-level-margin.html -- Bucket level margin test ../ test cube/measures/interim-results.html -- Interim results test ../ test cube/measures/risk-class-level-margin.html -- Risk class level margin test ../ test cube/measures/schedule.html -- Schedule test ../ test cube/measures/sensitivities.html -- Sensitivities test ../ test cube/measures/sensitivity-level-margin.html -- Sensitivity level margin test ../ test cube/im_commodity_curvaturemargin.html --- IM_Commodity_CurvatureMargin test ../ test cube/im_commodity_deltamargin.html --- IM_Commodity_DeltaMargin test ../ test cube/im_commodity_vegamargin.html --- IM_Commodity_VegaMargin test ../ test cube/im_creditnonq_curvaturemargin.html --- IM_CreditNonQ_CurvatureMargin test ../ test cube/im_creditnonq_deltamargin.html --- IM_CreditNonQ_DeltaMargin test ../ test cube/im_creditnonq_vegamargin.html --- IM_CreditNonQ_VegaMargin test ../ test cube/im_creditq_basecorrmargin.html --- IM_CreditQ_BaseCorrMargin test ../ test cube/im_creditq_curvaturemargin.html --- IM_CreditQ_CurvatureMargin test ../ test cube/im_creditq_deltamargin.html --- IM_CreditQ_DeltaMargin test ../ test cube/im_creditq_vegamargin.html --- IM_CreditQ_VegaMargin test ../ test cube/im_equity_curvaturemargin.html --- IM_Equity_CurvatureMargin test ../ test cube/im_equity_deltamargin.html --- IM_Equity_DeltaMargin test ../ test cube/im_equity_vegamargin.html --- IM_Equity_VegaMargin test ../ test cube/im_fx_curvaturemargin.html --- IM_FX_CurvatureMargin test ../ test cube/im_fx_deltamargin.html --- IM_FX_DeltaMargin test ../ test cube/im_fx_vegamargin.html --- IM_FX_VegaMargin test ../ test cube/im_ir_curvaturemargin.html --- IM_IR_CurvatureMargin test ../ test cube/im_ir_deltamargin.html --- IM_IR_DeltaMargin test ../ test cube/im_ir_vegamargin.html --- IM_IR_VegaMargin test ../ test cube/measures/weighted-sensitivities.html -- Weighted sensitivities test ../ test cube/additional-margin.html -- Additional Margin test ../ test cube/count.html -- Count test ../ test cube/fxrate.html -- FxRate test ../ test cube/simm.html -- SIMM test ../ test cube/total-im.html -- Total IM test ../ test cube/total-im-segregated.html -- Total IM Segregated test ../ test cube/total-im-unsegregated.html -- Total IM Unsegregated test ../ test cube/worst-regulation.html -- Worst Regulation test ../ test calculations.html Calculations guide test ../ test input-files.html Input file formats test ../ test datastores.html Datastores test ../ test what-if.html What-If test ../ test widgets.html Widgets IM_CreditQ_VegaMargin Description Margin aggregation from Credit vega sensitivities Notation VegaMarginVegaMargin Formula Margin=√∑bK2b+∑b∑c≠bγb,c⋅gb,c⋅Sb⋅Sc+KresidualMargin=∑bKb2+∑b∑c≠bγb,c⋅gb,c⋅Sb⋅Sc+Kresidual IM_CreditQ_DeltaMargin IM_Equity_CurvatureMargin